SPY Options History — December 2022

In December 2022, SPY traded between $376.63 and $408.00. ATM implied volatility averaged 20.6%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.5% (HV 20d: 21.1%). Max pain ranged from $389.00 to $400.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2022-12-13: Highest Volume — 9,876,017 contracts
2022-12-12: Largest IV spike — 10.1% change
2022-12-12: Highest IV Rank — 58.0%
2022-12-12: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$390.18	$376.63	$408.00	$408.00	$381.38
Max Pain	$395.00	$389.00	$400.00	$389.00	$390.00
ATM IV	20.6%	18.0%	23.3%	18.7%	21.0%
Expected Move	6.0%	5.5%	6.5%	6.4%	6.0%
HV 20d	21.1%	17.0%	26.5%	25.4%	19.0%
HV 60d	25.2%	23.8%	26.8%	26.8%	23.8%
IV Rank	43.8%	29.9%	58.0%	33.4%	45.8%
IV Percentile	33.9%	19.0%	53.6%	22.2%	35.3%
Term Structure	0.4%	-0.7%	1.3%	0.1%	1.0%
VWIV	21.5%	19.4%	23.7%	22.3%	21.1%
Skew 25d	3.8%	3.3%	4.5%	3.6%	3.6%
Skew 10d	7.2%	5.7%	8.6%	6.7%	6.5%
Call IV 25d	18.6%	16.3%	21.3%	17.1%	18.5%
Put IV 25d	22.4%	19.7%	25.8%	20.7%	22.1%
Bid-Ask Spread %	1.11	0.89	1.42	1.14	1.21
Gamma HHI	0.04	0.02	0.07	0.03	0.07
Net GEX	-5.20B	-12.19B	3.23B	3.23B	-8.59B
Net DEX	35.00B	-65.52B	106.93B	-65.52B	51.08B
Net VEX	-606.4M	-650.3M	-575.2M	-606.9M	-582.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	1.02	1.56	1.16	1.41
Total Volume	7,706,488.381	5,782,170	9,876,017	8,088,579	6,376,606
Total OI	20,890,959	17,896,089	23,168,944	21,445,231	19,360,565

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
2022-12-01	$408.00	$389.00	18.7%	6.4%	25.4%	33.4%	22.3%	3.6%	0.1%	3.23B	-65.52B	-606.9M	1.16	1.14	N/A	N/A	3,744,326	4,344,253	7,929,254	13,515,977
2022-12-02	$406.14	$390.00	18.0%	6.2%	25.0%	29.9%	21.7%	3.4%	0.2%	650.1M	-49.74B	-613.8M	1.29	1.13	N/A	N/A	3,568,854	4,599,197	8,197,616	13,719,442
2022-12-05	$398.86	$400.00	19.6%	5.8%	26.1%	38.4%	21.6%	4.2%	1.0%	-5.66B	11.10B	-630.3M	1.10	0.96	N/A	N/A	4,130,617	4,534,345	8,125,396	13,614,540
2022-12-06	$393.76	$400.00	20.9%	6.2%	26.5%	45.3%	23.1%	4.1%	1.0%	-7.80B	44.04B	-640.6M	1.24	0.96	N/A	N/A	4,311,031	5,352,452	8,545,125	13,906,276
2022-12-07	$392.92	$400.00	21.4%	6.3%	26.4%	48.1%	22.5%	4.1%	1.0%	-6.37B	43.66B	-650.3M	1.13	0.89	N/A	N/A	3,422,770	3,877,845	8,892,506	14,276,438
2022-12-08	$395.51	$398.00	20.8%	6.1%	24.8%	44.7%	21.5%	4.1%	1.2%	-2.58B	20.52B	-641.1M	1.02	0.93	N/A	N/A	3,402,565	3,463,020	8,844,060	14,119,164
2022-12-09	$394.23	$398.00	21.2%	6.2%	17.3%	46.6%	22.5%	3.7%	1.3%	-5.49B	31.44B	-638.0M	1.25	1.09	N/A	N/A	2,857,845	3,562,526	8,770,468	14,156,596
2022-12-12	$398.13	$398.00	23.3%	6.5%	17.0%	58.0%	23.7%	4.5%	-0.7%	-756.3M	2.87B	-633.0M	1.38	0.92	N/A	N/A	2,695,553	3,715,578	8,350,599	13,831,736
2022-12-13	$402.59	$398.00	21.1%	5.9%	17.4%	46.0%	21.8%	3.8%	-0.6%	1.60B	-24.66B	-614.6M	1.11	1.11	N/A	N/A	4,674,721	5,201,296	8,482,783	14,118,123
2022-12-14	$398.95	$399.00	20.1%	5.6%	17.7%	40.9%	20.5%	3.5%	-0.4%	-2.25B	5.40B	-596.6M	1.03	1.42	N/A	N/A	3,860,749	3,963,804	8,504,136	14,369,236
2022-12-15	$389.19	$400.00	21.1%	5.9%	19.6%	46.2%	21.6%	4.0%	-0.5%	-8.54B	73.72B	-595.1M	1.36	1.14	N/A	N/A	3,759,267	5,123,403	8,489,483	14,425,156
2022-12-16	$384.31	$400.00	21.0%	5.9%	20.0%	45.6%	21.2%	4.0%	-0.3%	-12.19B	106.93B	-603.4M	1.29	1.10	N/A	N/A	3,750,039	4,846,321	8,074,506	14,581,258
2022-12-19	$379.38	$395.00	21.3%	6.1%	20.1%	47.6%	21.5%	3.9%	0.1%	-9.84B	88.26B	-583.8M	1.56	1.03	N/A	N/A	3,017,168	4,715,274	6,631,771	11,264,318
2022-12-20	$381.24	$395.00	20.5%	5.8%	20.2%	43.0%	20.4%	3.5%	0.1%	-7.41B	70.53B	-587.3M	1.24	1.10	N/A	N/A	3,147,141	3,894,743	6,780,125	11,598,685
2022-12-21	$385.81	$394.00	19.3%	5.5%	20.0%	36.6%	19.4%	3.3%	0.1%	-3.08B	30.21B	-585.4M	1.22	1.26	N/A	N/A	3,537,853	4,298,384	6,991,773	11,612,594
2022-12-22	$379.02	$391.00	21.1%	6.0%	20.6%	46.2%	21.1%	3.8%	-0.1%	-9.69B	81.23B	-600.6M	1.31	1.17	N/A	N/A	4,092,507	5,373,544	7,033,672	11,985,851
2022-12-23	$382.22	$390.00	20.1%	5.7%	21.0%	40.7%	20.3%	3.6%	0.0%	-5.04B	51.51B	-595.7M	1.20	1.26	N/A	N/A	2,880,616	3,454,387	7,165,629	12,159,369
2022-12-27	$381.90	$390.00	20.8%	6.0%	20.3%	44.8%	21.1%	3.7%	1.0%	-6.58B	51.30B	-580.3M	1.28	1.20	N/A	N/A	2,534,998	3,247,172	6,662,314	11,870,744
2022-12-28	$376.63	$390.00	21.5%	6.3%	20.7%	48.5%	21.5%	3.6%	0.9%	-10.47B	80.81B	-575.2M	1.42	1.16	N/A	N/A	3,180,984	4,519,645	6,794,610	12,003,608
2022-12-29	$383.67	$390.00	20.6%	5.9%	19.2%	43.5%	21.0%	3.6%	1.0%	-2.31B	30.34B	-579.6M	1.31	1.16	N/A	N/A	2,943,976	3,858,881	6,931,614	12,023,023
2022-12-30	$381.38	$390.00	21.0%	6.0%	19.0%	45.8%	21.1%	3.6%	1.0%	-8.59B	51.08B	-582.2M	1.41	1.21	N/A	N/A	2,647,628	3,728,978	6,894,443	12,466,122