SPY Options History — September 2022 In September 2022, SPY traded between $359.43 and $410.50. ATM implied volatility averaged 25.0%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.7% (HV 20d: 23.2%). Max pain ranged from $390.00 to $410.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.44.
Notable Days 2022-09-23 : Highest Volume — 12,482,996 contracts2022-09-13 : Largest IV spike — 16.9% change2022-09-27 : Highest IV Rank — 93.9%2022-09-27 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $384.45 $359.43 $410.50 $394.29 $359.43 Max Pain $404.67 $390.00 $410.00 $409.00 $390.00 ATM IV 25.0% 20.0% 30.0% 23.3% 27.9% Expected Move 7.3% 6.0% 8.8% 7.0% 8.4% HV 20d 23.2% 19.0% 26.4% 19.4% 26.4% HV 60d 22.0% 21.0% 24.0% 24.0% 22.5% IV Rank 68.7% 43.5% 93.9% 62.3% 83.2% IV Percentile 78.1% 51.2% 98.8% 70.2% 93.3% Term Structure -0.1% -0.9% 0.5% -0.6% 0.5% VWIV 26.3% 23.0% 31.1% 25.1% 29.3% Skew 25d 5.8% 4.4% 7.3% 6.4% 6.4% Skew 10d 11.0% 8.1% 14.5% 11.7% 13.5% Call IV 25d 22.2% 18.3% 26.1% 20.8% 24.2% Put IV 25d 27.9% 22.7% 33.3% 27.2% 30.7% Bid-Ask Spread % 1.25 0.86 1.75 1.36 0.95 Gamma HHI 0.05 0.03 0.07 0.04 0.05 Net GEX -8.05B -13.28B 1.74B -8.78B -10.41B Net DEX 104.07B -4.98B 164.02B 102.84B 155.81B Net VEX -651.0M -675.8M -626.2M -675.8M -658.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 1.15 1.74 1.40 1.28 Total Volume 8,379,753.429 6,317,166 12,482,996 6,941,533 9,242,605 Total OI 20,104,681.429 17,571,860 21,778,704 19,871,372 21,778,704
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2022-09-01 $394.29 $409.00 23.3% 7.0% 19.4% 62.3% 25.1% 6.4% -0.6% -8.78B 102.84B -675.8M 1.40 1.36 N/A N/A 2,895,417 4,046,116 7,358,882 12,512,490 2022-09-02 $391.07 $408.00 23.2% 7.0% 19.5% 62.0% 24.4% 5.9% 0.0% -10.72B 117.28B -672.7M 1.33 1.75 N/A N/A 4,086,443 5,455,196 7,759,751 12,989,397 2022-09-06 $391.05 $410.00 24.0% 6.9% 19.5% 65.8% 24.7% 6.2% 0.5% -9.04B 107.52B -651.3M 1.52 1.28 N/A N/A 3,345,381 5,091,589 7,492,089 12,507,673 2022-09-07 $398.00 $410.00 22.3% 6.4% 20.8% 54.8% 24.1% 5.5% -0.9% -4.71B 61.91B -658.1M 1.46 1.28 N/A N/A 3,143,616 4,575,595 7,556,019 12,772,157 2022-09-08 $398.81 $410.00 21.5% 6.3% 19.0% 50.9% 23.0% 5.0% -0.3% -5.76B 59.24B -653.9M 1.48 1.24 N/A N/A 2,942,707 4,349,345 7,480,522 12,943,789 2022-09-09 $407.17 $410.00 20.0% 6.0% 20.7% 43.5% 23.2% 4.4% 0.3% 1.74B 3.06B -655.0M 1.51 1.43 N/A N/A 3,277,484 4,936,770 7,791,414 13,346,059 2022-09-12 $410.50 $410.00 21.3% 6.2% 19.9% 50.0% 23.4% 4.4% 0.4% -679.5M -4.98B -647.8M 1.35 1.35 N/A N/A 3,305,951 4,452,379 7,459,132 12,938,294 2022-09-13 $392.45 $410.00 24.9% 7.1% 24.8% 68.0% 25.7% 5.9% 0.4% -9.22B 108.84B -660.4M 1.74 1.31 N/A N/A 2,958,608 5,144,944 7,537,570 13,074,482 2022-09-14 $394.78 $410.00 23.8% 6.8% 25.0% 62.6% 24.3% 5.8% -0.5% -9.83B 94.79B -659.0M 1.43 1.22 N/A N/A 3,254,072 4,662,100 8,025,302 13,626,804 2022-09-15 $390.94 $410.00 23.8% 6.8% 25.0% 62.8% 24.8% 5.4% -0.5% -10.05B 110.29B -652.5M 1.23 1.35 N/A N/A 3,488,192 4,292,623 7,750,972 13,498,005 2022-09-16 $385.24 $410.00 24.7% 7.1% 25.1% 67.1% 25.5% 5.4% 0.2% -13.28B 144.39B -651.7M 1.71 1.30 N/A N/A 3,684,898 6,297,573 7,922,605 13,843,971 2022-09-19 $387.88 $409.00 24.3% 7.0% 25.2% 64.9% 25.2% 5.1% 0.2% -7.10B 84.06B -639.0M 1.45 1.32 N/A N/A 2,806,097 4,079,282 6,345,256 11,226,604 2022-09-20 $385.26 $406.00 25.6% 7.4% 24.3% 71.8% 26.8% 5.5% 0.1% -7.91B 94.17B -643.1M 1.34 1.29 N/A N/A 2,702,756 3,614,410 6,304,491 11,342,898 2022-09-21 $378.51 $405.00 26.7% 7.7% 24.8% 77.2% 26.9% 5.5% -0.7% -10.17B 123.22B -632.5M 1.15 1.42 N/A N/A 4,024,933 4,628,805 6,764,346 11,741,755 2022-09-22 $377.35 $404.00 25.2% 7.3% 24.6% 69.6% 25.8% 4.8% -0.7% -10.04B 121.18B -628.2M 1.56 1.50 N/A N/A 3,038,338 4,751,409 6,842,850 11,649,248 2022-09-23 $367.60 $400.00 27.1% 7.9% 25.1% 79.3% 28.9% 6.2% 0.1% -11.80B 164.02B -626.2M 1.59 1.26 N/A N/A 4,813,628 7,669,368 7,410,800 12,157,277 2022-09-26 $365.57 $400.00 28.6% 8.5% 23.4% 86.8% 30.2% 6.5% 0.2% -9.42B 149.18B -632.4M 1.40 0.98 N/A N/A 3,609,840 5,057,435 7,364,446 12,219,316 2022-09-27 $363.00 $395.00 30.0% 8.8% 23.4% 93.9% 31.1% 7.3% 0.2% -9.22B 150.36B -637.6M 1.42 0.89 N/A N/A 3,608,332 5,110,288 7,404,000 12,199,043 2022-09-28 $371.81 $392.00 27.4% 8.0% 25.3% 80.4% 29.7% 6.5% -0.7% -2.80B 93.26B -674.8M 1.46 0.86 N/A N/A 3,763,555 5,500,153 7,987,797 12,537,924 2022-09-29 $362.74 $390.00 28.4% 8.5% 26.4% 85.8% 30.5% 6.9% -0.8% -9.78B 145.10B -660.8M 1.40 0.90 N/A N/A 3,450,281 4,816,308 7,920,400 12,813,776 2022-09-30 $359.43 $390.00 27.9% 8.4% 26.4% 83.2% 29.3% 6.4% 0.5% -10.41B 155.81B -658.9M 1.28 0.95 N/A N/A 4,061,330 5,181,275 8,594,315 13,184,389
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