SPY Options History — October 2022 In October 2022, SPY traded between $357.67 and $388.90. ATM implied volatility averaged 27.7%, placing in the 82.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.2% (HV 20d: 27.9%). Max pain ranged from $380.00 to $387.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.37.
Notable Days 2022-10-13 : Highest Volume — 11,023,751 contracts2022-10-25 : Largest IV drop — 5.0% change2022-10-12 : Highest IV Rank — 97.8%2022-10-11 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $371.80 $357.67 $388.90 $367.01 $387.04 Max Pain $381.90 $380.00 $387.00 $387.00 $381.00 ATM IV 27.7% 24.2% 30.8% 27.2% 24.2% Expected Move 8.1% 7.5% 8.6% 8.1% 7.7% HV 20d 27.9% 24.8% 29.8% 27.9% 26.3% HV 60d 24.1% 22.9% 24.8% 22.9% 24.8% IV Rank 82.3% 64.5% 97.8% 79.8% 64.5% IV Percentile 87.2% 61.9% 99.6% 91.3% 61.9% Term Structure -0.2% -0.9% 0.5% 0.2% 0.4% VWIV 29.2% 27.1% 31.0% 29.8% 27.1% Skew 25d 4.8% 3.4% 6.3% 6.3% 3.4% Skew 10d 10.0% 6.8% 13.1% 12.8% 6.8% Call IV 25d 25.3% 22.4% 28.0% 24.1% 22.5% Put IV 25d 30.1% 25.7% 33.5% 30.4% 25.9% Bid-Ask Spread % 1.03 0.83 1.28 0.90 1.02 Gamma HHI 0.04 0.02 0.05 0.04 0.02 Net GEX -5.00B -10.70B 2.12B -5.05B -1.91B Net DEX 63.92B -28.01B 138.45B 93.57B -4.83B Net VEX -680.5M -718.0M -652.0M -673.5M -652.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 1.09 1.72 1.49 1.09 Total Volume 7,912,363.143 5,429,971 11,023,751 8,021,531 6,161,990 Total OI 21,908,158.238 19,990,972 23,833,018 19,990,972 21,198,151
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 2022-10-03 $367.01 $387.00 27.2% 8.1% 27.9% 79.8% 29.8% 6.3% 0.2% -5.05B 93.57B -673.5M 1.49 0.90 N/A N/A 3,223,098 4,798,433 7,830,201 12,160,771 2022-10-04 $376.75 $386.00 26.1% 7.6% 29.8% 74.1% 28.4% 5.9% 0.3% -3.47B 47.64B -706.4M 1.43 1.09 N/A N/A 2,998,348 4,289,679 7,786,677 12,753,541 2022-10-05 $378.27 $386.00 26.1% 7.6% 29.0% 74.2% 27.6% 6.0% -0.6% -3.69B 41.92B -712.8M 1.42 1.21 N/A N/A 3,444,504 4,905,620 8,025,078 13,626,620 2022-10-06 $373.63 $385.00 27.3% 7.8% 29.1% 80.0% 28.1% 6.3% -0.7% -6.52B 74.95B -718.0M 1.21 1.06 N/A N/A 2,804,233 3,389,345 7,806,102 13,517,462 2022-10-07 $362.27 $385.00 28.2% 8.2% 29.2% 84.9% 28.5% 5.9% 0.5% -10.70B 138.45B -686.3M 1.35 1.09 N/A N/A 3,984,079 5,373,288 8,145,412 13,788,838 2022-10-10 $361.13 $384.00 29.3% 8.4% 28.8% 90.0% 29.7% 5.8% 0.5% -9.18B 129.41B -671.6M 1.43 1.09 N/A N/A 3,097,676 4,421,108 7,995,930 13,268,132 2022-10-11 $357.67 $383.00 30.5% 8.6% 25.0% 96.1% 30.3% 5.7% 0.5% -8.61B 137.73B -667.6M 1.31 1.28 N/A N/A 3,191,054 4,191,582 8,051,027 13,263,579 2022-10-12 $357.85 $382.00 30.8% 8.6% 24.8% 97.8% 29.6% 5.5% -0.9% -8.59B 135.05B -669.1M 1.31 1.07 N/A N/A 3,191,882 4,169,423 8,508,146 13,737,963 2022-10-13 $366.14 $381.00 30.0% 8.4% 26.6% 93.7% 31.0% 4.8% -0.9% -5.54B 82.96B -704.4M 1.72 1.12 N/A N/A 4,056,455 6,967,296 8,461,111 13,803,582 2022-10-14 $358.08 $380.00 29.6% 8.4% 27.1% 91.8% 30.0% 4.9% 0.0% -10.44B 132.31B -676.5M 1.28 1.26 N/A N/A 4,189,787 5,352,225 8,742,387 14,898,977 2022-10-17 $367.45 $380.00 28.8% 8.3% 28.9% 87.6% 30.1% 4.9% 0.2% -4.42B 70.11B -673.5M 1.47 1.09 N/A N/A 3,151,537 4,630,155 8,550,996 13,905,875 2022-10-18 $370.65 $380.00 28.5% 8.2% 29.1% 86.4% 29.2% 4.6% -0.1% -5.07B 58.35B -684.6M 1.23 1.16 N/A N/A 3,494,524 4,312,082 8,468,745 14,287,098 2022-10-19 $367.64 $380.00 28.9% 8.3% 28.6% 88.1% 29.7% 4.9% -0.8% -7.49B 80.19B -677.2M 1.37 0.97 N/A N/A 3,189,028 4,379,393 8,753,022 14,835,382 2022-10-20 $365.23 $380.00 28.3% 8.2% 28.7% 85.0% 29.7% 4.6% -0.8% -8.41B 93.66B -668.5M 1.34 0.98 N/A N/A 2,953,580 3,962,942 8,610,302 14,602,233 2022-10-21 $374.51 $380.00 27.9% 8.2% 28.6% 83.0% 30.0% 4.1% 0.1% -2.82B 29.40B -686.8M 1.46 0.96 N/A N/A 4,222,697 6,150,342 8,967,810 14,865,208 2022-10-24 $379.07 $380.00 28.2% 8.4% 28.8% 84.7% 30.4% 3.6% -0.4% -455.4M 12.63B -679.2M 1.27 0.87 N/A N/A 3,679,574 4,671,751 7,521,633 12,924,564 2022-10-25 $384.94 $380.00 26.8% 8.0% 29.0% 77.7% 29.6% 3.5% -0.5% -143.2M -9.32B -676.0M 1.41 0.83 N/A N/A 2,661,618 3,749,940 7,518,648 13,106,001 2022-10-26 $382.91 $380.00 26.0% 7.9% 28.0% 73.4% 28.6% 3.6% -0.6% -1.94B 5.03B -677.5M 1.40 0.83 N/A N/A 3,559,103 4,993,496 7,833,342 13,964,299 2022-10-27 $380.58 $380.00 25.4% 7.8% 26.4% 70.6% 27.8% 3.5% -0.6% -2.76B 21.00B -666.6M 1.38 0.90 N/A N/A 2,281,439 3,148,532 7,766,202 13,849,298 2022-10-28 $388.90 $380.00 24.4% 7.5% 26.9% 65.4% 27.5% 3.4% 0.1% 2.12B -28.01B -661.5M 1.34 0.89 N/A N/A 3,747,380 5,019,408 8,088,833 14,282,145 2022-10-31 $387.04 $381.00 24.2% 7.7% 26.3% 64.5% 27.1% 3.4% 0.4% -1.91B -4.83B -652.0M 1.09 1.02 N/A N/A 2,943,588 3,218,402 7,674,711 13,523,440
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