SPY Options History — January 2023 In January 2023, SPY traded between $379.73 and $406.81. ATM implied volatility averaged 19.0%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.4% (HV 20d: 17.6%). Max pain ranged from $390.00 to $397.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.28.
Notable Days 2023-01-23 : Highest Volume — 10,159,469 contracts2023-01-12 : Largest IV drop — 11.2% change2023-01-03 : Highest IV Rank — 52.2%2023-01-03 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $394.38 $379.73 $406.81 $380.47 $404.84 Max Pain $393.35 $390.00 $397.00 $390.00 $397.00 ATM IV 19.0% 16.7% 22.2% 22.2% 17.7% Expected Move 5.6% 4.9% 6.4% 6.4% 5.6% HV 20d 17.6% 14.7% 20.0% 19.0% 14.8% HV 60d 21.8% 20.5% 23.7% 23.7% 20.5% IV Rank 26.6% 11.0% 52.2% 52.2% 16.6% IV Percentile 17.6% 3.2% 44.0% 44.0% 8.7% Term Structure -0.1% -0.6% 0.6% -0.4% 0.0% VWIV 20.3% 18.1% 22.6% 22.1% 20.9% Skew 25d 3.9% 3.1% 4.5% 4.0% 4.4% Skew 10d 7.3% 5.7% 9.2% 7.1% 9.2% Call IV 25d 17.0% 15.0% 19.9% 19.9% 15.5% Put IV 25d 20.8% 18.2% 23.9% 23.9% 19.9% Bid-Ask Spread % 1.18 0.98 1.46 1.24 1.07 Gamma HHI 0.03 0.02 0.05 0.04 0.03 Net GEX -2.70B -10.34B 3.96B -6.19B 302.6M Net DEX 2.42B -47.27B 58.39B 51.64B -20.24B Net VEX -588.0M -636.6M -558.4M -567.0M -626.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 1.06 1.60 1.12 1.30 Total Volume 8,126,664.2 6,333,751 10,159,469 7,122,655 6,777,777 Total OI 18,352,178.25 16,426,832 20,675,411 16,625,698 18,356,839
Daily Data (20 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 2023-01-03 $380.47 $390.00 22.2% 6.4% 19.0% 52.2% 22.1% 4.0% -0.4% -6.19B 51.64B -567.0M 1.12 1.24 N/A N/A 3,360,986 3,761,669 6,006,970 10,618,728 2023-01-04 $381.39 $390.00 21.9% 6.2% 18.2% 50.2% 21.4% 3.8% -0.4% -4.68B 45.35B -566.0M 1.60 1.10 N/A N/A 3,115,923 4,971,024 6,212,948 10,729,865 2023-01-05 $379.73 $392.00 21.8% 6.2% 17.8% 49.5% 22.5% 3.6% -0.6% -7.58B 58.39B -568.1M 1.22 0.98 N/A N/A 3,172,062 3,859,364 6,229,028 11,276,381 2023-01-06 $388.90 $390.00 20.2% 5.9% 20.0% 34.3% 21.7% 3.5% -0.3% 66.0M 2.06B -566.2M 1.26 1.12 N/A N/A 3,985,188 5,036,795 6,438,188 11,329,738 2023-01-09 $388.45 $390.00 20.9% 6.1% 19.8% 38.7% 22.6% 3.7% 0.5% -2.04B 11.27B -573.4M 1.32 1.12 N/A N/A 3,895,913 5,143,782 6,305,106 11,350,521 2023-01-10 $389.77 $390.00 19.9% 5.8% 19.9% 32.6% 21.4% 3.6% 0.5% -3.38B 9.92B -574.1M 1.20 1.46 N/A N/A 3,082,892 3,690,127 6,502,752 11,796,835 2023-01-11 $394.47 $390.00 20.3% 5.9% 20.0% 35.1% 21.8% 3.6% 0.4% 798.3M -13.88B -579.2M 1.56 1.15 N/A N/A 3,020,852 4,727,769 6,570,135 11,891,494 2023-01-12 $396.22 $391.00 18.0% 5.3% 19.6% 21.6% 19.6% 3.1% 0.6% -1.12B -17.39B -573.5M 1.28 1.30 N/A N/A 4,060,595 5,188,078 6,728,917 12,674,088 2023-01-13 $398.55 $394.00 16.7% 4.9% 19.5% 14.1% 18.1% 3.1% 0.6% 196.6M -28.59B -558.4M 1.41 1.27 N/A N/A 2,827,300 3,995,045 6,700,044 13,079,110 2023-01-17 $397.63 $395.00 17.9% 5.2% 17.2% 18.3% 18.9% 3.9% -0.3% -2.67B -14.89B -568.2M 1.20 1.25 N/A N/A 2,880,536 3,453,215 6,563,979 12,789,235 2023-01-18 $391.95 $395.00 19.0% 5.4% 17.4% 24.6% 19.5% 4.1% -0.5% -8.75B 29.92B -584.2M 1.25 1.20 N/A N/A 4,302,456 5,367,696 6,682,325 13,039,481 2023-01-19 $389.77 $395.00 18.9% 5.4% 16.9% 24.3% 19.7% 4.3% -0.5% -10.34B 42.60B -598.5M 1.32 1.20 N/A N/A 3,674,353 4,839,243 7,068,489 13,259,623 2023-01-20 $394.93 $395.00 18.2% 5.3% 17.3% 20.1% 19.4% 4.0% -0.6% -3.33B -5.20B -589.4M 1.31 1.23 N/A N/A 3,546,175 4,648,691 7,176,614 13,498,797 2023-01-23 $399.97 $395.00 18.1% 5.3% 17.4% 19.4% 19.8% 4.1% -0.1% 689.4M -19.49B -585.9M 1.33 1.19 N/A N/A 4,367,989 5,791,480 5,364,105 11,062,727 2023-01-24 $399.39 $395.00 17.9% 5.3% 15.9% 18.2% 19.4% 4.0% -0.2% -3.25B -4.75B -610.1M 1.28 1.19 N/A N/A 2,982,595 3,805,251 5,607,246 11,755,775 2023-01-25 $399.62 $395.00 17.5% 5.3% 15.7% 15.8% 19.7% 4.0% -0.2% -3.69B -3.57B -618.1M 1.29 1.16 N/A N/A 4,124,851 5,310,983 5,708,368 11,964,717 2023-01-26 $403.58 $395.00 17.2% 5.2% 15.9% 13.8% 19.0% 3.9% -0.3% 2.05B -31.97B -607.3M 1.06 1.13 N/A N/A 4,311,122 4,589,309 5,868,965 12,231,138 2023-01-27 $406.81 $396.00 16.8% 5.1% 14.7% 11.0% 18.5% 3.7% -0.3% 3.96B -47.27B -610.1M 1.12 1.14 N/A N/A 4,151,109 4,650,492 6,031,160 12,467,183 2023-01-30 $401.20 $397.00 18.5% 5.8% 14.9% 21.8% 20.8% 4.5% 0.0% -5.16B 4.42B -636.6M 1.18 1.07 N/A N/A 3,704,214 4,358,383 5,897,148 12,208,803 2023-01-31 $404.84 $397.00 17.7% 5.6% 14.8% 16.6% 20.9% 4.4% 0.0% 302.6M -20.24B -626.4M 1.30 1.07 N/A N/A 2,947,249 3,830,528 5,960,272 12,396,567
« Dec 2022 | All History | Feb 2023 » Home SPY History January 2023