SPY Options History — February 2023 In February 2023, SPY traded between $395.57 and $415.12. ATM implied volatility averaged 18.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.0% (HV 20d: 15.5%). Max pain ranged from $398.00 to $402.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.22.
Notable Days 2023-02-02 : Highest Volume — 10,746,030 contracts2023-02-21 : Largest IV spike — 13.9% change2023-02-22 : Highest IV Rank — 38.1%2023-02-22 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $407.00 $395.57 $415.12 $412.62 $397.01 Max Pain $400.53 $398.00 $402.00 $398.00 $400.00 ATM IV 18.5% 16.0% 21.2% 16.0% 19.2% Expected Move 5.4% 4.9% 6.1% 5.0% 5.7% HV 20d 15.5% 14.5% 16.3% 15.7% 15.4% HV 60d 18.3% 16.6% 20.7% 20.7% 16.6% IV Rank 21.7% 6.0% 38.1% 6.0% 26.2% IV Percentile 17.2% 1.2% 40.5% 1.2% 22.6% Term Structure 0.1% -0.7% 0.8% 0.3% -0.5% VWIV 20.5% 19.0% 22.4% 19.5% 20.3% Skew 25d 4.8% 3.7% 6.2% 3.9% 4.9% Skew 10d 9.3% 7.3% 11.8% 8.1% 8.8% Call IV 25d 16.2% 14.3% 18.1% 14.3% 16.7% Put IV 25d 21.0% 18.2% 24.2% 18.2% 21.6% Bid-Ask Spread % 1.13 0.98 1.33 1.16 0.98 Gamma HHI 0.03 0.03 0.06 0.03 0.04 Net GEX -4.41B -12.90B 3.22B 2.61B -9.44B Net DEX 4.82B -66.61B 81.90B -62.02B 59.79B Net VEX -669.0M -705.0M -605.3M -605.3M -669.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 1.02 1.49 1.21 1.24 Total Volume 8,449,461.526 6,977,329 10,746,030 9,098,808 7,060,391 Total OI 19,928,294.947 17,688,399 21,854,795 18,692,666 19,018,816
Daily Data (19 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 2023-02-01 $412.62 $398.00 16.0% 5.0% 15.7% 6.0% 19.5% 3.9% 0.3% 2.61B -62.02B -605.3M 1.21 1.16 N/A N/A 4,117,058 4,981,750 5,952,963 12,739,703 2023-02-02 $415.12 $399.00 16.5% 5.0% 15.7% 9.5% 19.8% 3.7% 0.2% 3.22B -66.61B -624.2M 1.25 1.06 N/A N/A 4,768,817 5,977,213 6,116,349 13,424,685 2023-02-03 $411.74 $400.00 16.7% 5.0% 16.0% 10.4% 19.9% 3.7% 0.2% -1.39B -35.76B -653.3M 1.27 1.02 N/A N/A 4,149,207 5,269,046 6,268,731 14,137,525 2023-02-06 $409.73 $400.00 17.5% 5.3% 14.5% 15.8% 20.8% 4.3% 0.7% -4.46B -10.92B -670.1M 1.23 1.01 N/A N/A 3,224,338 3,981,198 6,187,402 13,748,386 2023-02-07 $415.01 $400.00 16.8% 5.1% 14.8% 11.0% 20.6% 3.9% 0.8% 1.44B -49.88B -640.2M 1.19 1.16 N/A N/A 4,309,592 5,144,234 6,211,394 13,852,293 2023-02-08 $410.68 $400.00 17.8% 5.3% 15.6% 17.3% 20.3% 4.5% 0.8% -3.68B -16.21B -673.7M 1.02 1.14 N/A N/A 4,114,232 4,214,728 6,363,004 14,237,319 2023-02-09 $407.48 $400.00 19.2% 5.7% 15.6% 25.8% 21.1% 4.7% 0.8% -5.57B 11.21B -701.2M 1.15 1.09 N/A N/A 4,101,930 4,714,049 6,518,919 14,361,436 2023-02-10 $407.97 $400.00 19.2% 5.7% 15.6% 25.8% 21.6% 4.5% 0.8% -4.76B 6.63B -705.0M 1.33 1.10 N/A N/A 3,456,058 4,603,764 6,656,978 14,611,878 2023-02-13 $412.53 $401.00 19.0% 5.5% 15.9% 25.0% 21.3% 5.1% 0.1% -188.9M -26.99B -677.4M 1.49 1.33 N/A N/A 2,810,882 4,184,741 6,419,800 14,313,216 2023-02-14 $413.44 $401.00 17.5% 5.1% 15.8% 15.6% 19.8% 4.7% 0.3% 29.2M -33.78B -654.9M 1.25 1.29 N/A N/A 4,169,041 5,205,140 6,476,240 14,669,978 2023-02-15 $413.05 $402.00 17.2% 4.9% 14.7% 13.9% 19.0% 4.6% 0.3% -663.5M -30.45B -660.2M 1.16 1.16 N/A N/A 3,230,612 3,746,717 6,564,930 14,804,193 2023-02-16 $408.82 $402.00 18.4% 5.3% 15.1% 21.1% 19.7% 5.2% 0.2% -5.43B 9.28B -690.0M 1.29 1.23 N/A N/A 3,805,377 4,896,693 6,683,567 14,928,431 2023-02-17 $406.61 $402.00 18.5% 5.3% 14.8% 21.9% 20.0% 5.2% 0.2% -7.25B 22.63B -685.7M 1.21 1.23 N/A N/A 3,928,470 4,769,426 6,769,139 15,085,656 2023-02-21 $399.91 $402.00 21.1% 6.1% 15.5% 37.7% 22.4% 6.0% -0.7% -10.88B 67.52B -678.0M 1.20 1.20 N/A N/A 3,867,351 4,656,390 5,695,868 11,992,531 2023-02-22 $397.25 $401.00 21.2% 6.1% 15.6% 38.1% 21.8% 6.2% -0.7% -11.09B 71.47B -679.9M 1.17 1.15 N/A N/A 3,589,577 4,214,070 5,949,578 12,066,692 2023-02-23 $400.95 $401.00 19.6% 5.6% 16.0% 28.2% 20.4% 5.7% -0.6% -6.79B 40.28B -678.3M 1.08 1.05 N/A N/A 4,047,427 4,359,377 6,123,914 12,299,935 2023-02-24 $395.57 $401.00 20.5% 5.9% 16.3% 33.7% 20.9% 5.4% -0.5% -12.90B 81.90B -691.7M 1.18 1.11 N/A N/A 3,978,457 4,704,665 6,249,532 12,714,744 2023-02-27 $397.56 $400.00 19.7% 5.8% 16.1% 29.0% 21.2% 5.2% -0.3% -6.64B 53.56B -672.9M 1.33 1.05 N/A N/A 3,509,134 4,678,617 6,098,775 12,323,104 2023-02-28 $397.01 $400.00 19.2% 5.7% 15.4% 26.2% 20.3% 4.9% -0.5% -9.44B 59.79B -669.5M 1.24 0.98 N/A N/A 3,155,912 3,904,479 6,179,447 12,839,369
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