SPY Options History — November 2022 In November 2022, SPY traded between $372.24 and $406.01. ATM implied volatility averaged 22.2%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.9% (HV 20d: 26.1%). Max pain ranged from $381.00 to $389.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.25.
Notable Days 2022-11-04 : Highest Volume — 9,611,850 contracts2022-11-10 : Largest IV drop — 11.6% change2022-11-02 : Highest IV Rank — 66.8%2022-11-01 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $391.24 $372.24 $406.01 $384.91 $406.01 Max Pain $384.43 $381.00 $389.00 $381.00 $388.00 ATM IV 22.2% 19.3% 24.6% 24.5% 19.5% Expected Move 6.8% 5.8% 7.8% 7.8% 6.5% HV 20d 26.1% 23.4% 29.7% 24.9% 27.0% HV 60d 26.2% 24.7% 27.5% 24.8% 27.0% IV Rank 52.7% 36.8% 66.8% 66.0% 37.7% IV Percentile 46.7% 25.4% 65.5% 64.3% 26.2% Term Structure -0.1% -0.8% 1.9% 0.3% -0.2% VWIV 24.5% 21.3% 27.5% 27.5% 23.6% Skew 25d 3.8% 2.6% 4.7% 3.2% 3.6% Skew 10d 7.3% 4.8% 9.1% 5.8% 7.2% Call IV 25d 20.3% 17.4% 23.0% 22.6% 17.9% Put IV 25d 24.1% 21.5% 26.3% 25.8% 21.5% Bid-Ask Spread % 1.04 0.82 1.31 0.94 1.28 Gamma HHI 0.03 0.02 0.07 0.02 0.03 Net GEX -1.66B -8.08B 5.52B -2.43B 3.32B Net DEX -6.81B -76.52B 79.07B 9.77B -59.69B Net VEX -631.0M -657.3M -601.8M -657.3M -601.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 1.03 1.52 1.31 1.32 Total Volume 7,078,511 2,210,454 9,611,850 4,843,944 8,568,055 Total OI 21,682,110.81 19,735,964 23,923,351 20,671,979 20,888,699
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 2022-11-01 $384.91 $381.00 24.5% 7.8% 24.9% 66.0% 27.5% 3.2% 0.3% -2.43B 9.77B -657.3M 1.31 0.94 N/A N/A 2,100,489 2,743,455 7,552,959 13,119,020 2022-11-02 $376.66 $382.00 24.6% 7.7% 26.1% 66.8% 26.8% 3.2% -0.5% -7.34B 58.16B -654.8M 1.23 1.12 N/A N/A 3,486,177 4,297,426 7,895,497 13,760,491 2022-11-03 $372.24 $383.00 24.1% 7.4% 26.1% 64.3% 26.3% 2.6% -0.5% -8.08B 79.07B -638.8M 1.52 1.10 N/A N/A 2,651,622 4,027,937 7,843,680 13,666,427 2022-11-04 $375.89 $383.00 23.3% 7.3% 23.6% 59.7% 26.1% 2.7% 0.2% -5.71B 52.41B -650.7M 1.31 0.96 N/A N/A 4,155,829 5,456,021 8,381,960 14,242,798 2022-11-07 $380.03 $383.00 23.1% 7.2% 23.8% 58.5% 25.8% 2.7% 0.3% -2.25B 23.82B -630.1M 1.21 0.82 N/A N/A 2,870,259 3,474,212 8,018,547 13,576,543 2022-11-08 $383.25 $383.00 23.8% 7.4% 23.4% 60.6% 26.4% 3.2% 0.2% -2.44B 9.91B -638.7M 1.27 0.93 N/A N/A 3,047,973 3,871,185 7,951,974 13,527,149 2022-11-09 $374.49 $383.00 24.6% 7.6% 25.2% 64.8% 27.1% 3.6% -0.6% -7.99B 68.56B -647.3M 1.26 0.84 N/A N/A 3,298,178 4,161,651 8,284,525 14,147,794 2022-11-10 $393.91 $382.00 21.7% 6.9% 29.7% 49.8% 24.9% 3.0% -0.6% 1.86B -46.42B -628.9M 1.25 1.31 N/A N/A 3,750,389 4,690,618 8,157,746 14,107,812 2022-11-11 $399.00 $383.00 20.2% 6.6% 28.2% 42.0% 23.8% 3.4% 1.9% 5.52B -76.52B -627.2M 1.07 0.92 N/A N/A 4,163,657 4,443,555 8,595,637 14,694,646 2022-11-14 $397.04 $383.00 22.2% 6.7% 27.4% 52.3% 23.9% 4.2% 1.0% 685.9M -46.80B -624.5M 1.22 1.03 N/A N/A 3,239,586 3,948,732 8,259,701 14,013,966 2022-11-15 $398.48 $384.00 23.1% 6.7% 27.3% 56.6% 24.4% 4.6% 0.8% 781.0M -46.66B -644.8M 1.21 1.02 N/A N/A 4,356,384 5,250,061 8,342,684 14,257,943 2022-11-16 $395.54 $385.00 23.4% 6.7% 27.3% 58.5% 23.9% 4.7% -0.7% -2.29B -26.88B -641.7M 1.34 0.90 N/A N/A 2,669,055 3,583,430 8,526,504 14,746,017 2022-11-17 $393.07 $385.00 23.5% 6.8% 27.3% 58.8% 24.7% 4.3% -0.8% -3.74B -8.87B -640.5M 1.35 0.91 N/A N/A 3,151,162 4,251,470 8,452,747 14,675,737 2022-11-18 $396.26 $385.00 22.5% 6.5% 26.2% 53.6% 23.4% 4.3% -0.7% -262.1M -32.94B -641.5M 1.03 0.99 N/A N/A 3,696,589 3,823,958 8,670,726 15,252,625 2022-11-21 $394.38 $385.00 21.8% 6.5% 26.0% 49.9% 23.2% 4.3% -0.6% -3.22B 1.79B -617.5M 1.21 1.02 N/A N/A 2,763,250 3,346,371 7,353,646 12,382,318 2022-11-22 $399.78 $385.00 20.4% 6.1% 25.9% 42.7% 21.8% 4.3% -0.5% 2.99B -33.22B -603.4M 1.28 1.13 N/A N/A 2,746,321 3,515,576 7,472,211 12,326,593 2022-11-23 $401.93 $386.00 19.4% 5.8% 25.8% 37.1% 21.3% 4.3% -0.4% 3.01B -44.50B -605.2M 1.12 1.20 N/A N/A 3,813,266 4,287,970 7,687,830 12,848,406 2022-11-25 $402.46 $387.00 19.3% 5.9% 25.6% 36.8% 21.6% 4.6% -0.5% 2.35B -43.25B -618.0M 1.27 1.20 N/A N/A 971,944 1,238,510 7,824,645 13,183,657 2022-11-28 $395.73 $388.00 21.0% 6.7% 25.5% 45.7% 23.7% 4.6% -0.1% -4.49B 7.29B -617.7M 1.24 1.10 N/A N/A 2,832,844 3,519,181 7,509,622 12,580,385 2022-11-29 $394.94 $389.00 20.8% 6.8% 25.5% 44.8% 24.1% 4.3% -0.0% -5.10B 11.97B -620.0M 1.26 1.13 N/A N/A 2,820,178 3,564,205 7,673,600 12,868,860 2022-11-30 $406.01 $388.00 19.5% 6.5% 27.0% 37.7% 23.6% 3.6% -0.2% 3.32B -59.69B -601.8M 1.32 1.28 N/A N/A 3,687,935 4,880,120 7,761,538 13,127,161
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