SPY Options History — March 2023 In March 2023, SPY traded between $384.73 and $408.13. ATM implied volatility averaged 19.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.1% (HV 20d: 16.7%). Max pain ranged from $397.00 to $405.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.39.
Notable Days 2023-03-10 : Highest Volume — 13,854,663 contracts2023-03-09 : Largest IV spike — 17.4% change2023-03-13 : Highest IV Rank — 52.6%2023-03-13 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $395.99 $384.73 $408.13 $395.17 $408.13 Max Pain $400.13 $397.00 $405.00 $400.00 $398.00 ATM IV 19.8% 16.8% 23.5% 19.6% 16.8% Expected Move 5.6% 4.7% 6.5% 5.9% 4.7% HV 20d 16.7% 13.4% 18.8% 15.0% 18.5% HV 60d 16.6% 16.0% 17.2% 16.6% 16.4% IV Rank 29.6% 10.9% 52.6% 28.3% 10.9% IV Percentile 30.0% 4.0% 62.7% 26.2% 4.0% Term Structure -0.0% -0.7% 1.0% -0.5% 1.0% VWIV 21.2% 17.8% 24.9% 20.9% 17.8% Skew 25d 5.5% 3.6% 7.6% 4.5% 4.7% Skew 10d 10.6% 7.0% 15.2% 8.4% 9.0% Call IV 25d 17.1% 14.4% 20.2% 17.3% 14.4% Put IV 25d 22.7% 19.0% 27.2% 21.9% 19.0% Bid-Ask Spread % 1.22 0.86 2.38 0.94 1.03 Gamma HHI 0.03 0.02 0.08 0.04 0.04 Net GEX -6.78B -18.02B 4.34B -11.35B 4.34B Net DEX 45.08B -51.36B 156.38B 71.58B -51.36B Net VEX -707.3M -748.3M -663.1M -677.5M -731.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 1.12 1.67 1.22 1.64 Total Volume 8,870,600.826 6,462,740 13,854,663 8,432,697 8,962,785 Total OI 20,014,310.304 17,816,024 21,583,089 19,195,100 20,851,334
Daily Data (23 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 2023-03-01 $395.17 $400.00 19.6% 5.9% 15.0% 28.3% 20.9% 4.5% -0.5% -11.35B 71.58B -677.5M 1.22 0.94 N/A N/A 3,790,882 4,641,815 6,288,595 12,906,505 2023-03-02 $398.11 $400.00 18.8% 5.7% 13.4% 23.7% 20.4% 4.4% -0.5% -5.01B 41.48B -676.8M 1.39 0.87 N/A N/A 3,542,181 4,930,580 6,573,927 13,143,632 2023-03-03 $403.85 $400.00 17.3% 5.3% 14.3% 14.6% 19.2% 3.9% -0.4% -577.4M -7.26B -668.6M 1.52 2.38 N/A N/A 3,477,346 5,293,283 6,616,997 13,511,944 2023-03-06 $404.69 $405.00 17.4% 5.0% 14.2% 14.7% 18.8% 3.6% 0.3% -2.96B 2.09B -663.1M 1.32 0.93 N/A N/A 3,405,513 4,486,484 6,258,511 13,454,286 2023-03-07 $398.58 $405.00 18.3% 5.2% 15.0% 20.4% 19.3% 3.9% 0.2% -10.31B 53.60B -681.5M 1.20 0.98 N/A N/A 4,171,139 4,995,013 6,424,863 13,597,753 2023-03-08 $399.01 $405.00 17.9% 5.1% 14.1% 18.0% 18.4% 3.9% 0.2% -8.29B 45.38B -678.7M 1.38 1.32 N/A N/A 3,058,508 4,209,087 6,655,956 13,801,386 2023-03-09 $391.63 $405.00 21.0% 5.8% 15.0% 37.1% 21.1% 4.9% -0.1% -13.40B 105.73B -699.7M 1.44 1.41 N/A N/A 4,331,482 6,248,412 6,742,988 13,901,282 2023-03-10 $384.73 $405.00 23.2% 6.5% 15.9% 50.4% 23.7% 6.4% -0.2% -15.61B 156.38B -706.7M 1.62 1.76 N/A N/A 5,278,117 8,576,546 6,938,101 14,302,228 2023-03-13 $386.78 $402.00 23.5% 6.5% 16.1% 52.6% 24.8% 6.6% -0.7% -11.81B 118.67B -710.1M 1.44 1.41 N/A N/A 4,378,385 6,322,712 6,851,667 13,822,106 2023-03-14 $389.62 $400.00 21.8% 6.1% 15.7% 41.7% 23.4% 6.3% -0.4% -11.25B 94.97B -698.1M 1.48 1.44 N/A N/A 3,920,153 5,815,074 6,964,243 14,036,971 2023-03-15 $387.81 $400.00 23.0% 6.4% 15.6% 49.4% 24.9% 7.6% -0.6% -13.07B 111.79B -715.5M 1.41 1.73 N/A N/A 4,163,447 5,857,328 7,029,537 14,327,330 2023-03-16 $396.10 $400.00 20.1% 5.7% 17.8% 31.7% 22.7% 6.4% -0.3% -5.19B 34.11B -705.6M 1.33 1.39 N/A N/A 4,240,994 5,660,063 7,132,181 14,450,908 2023-03-17 $390.08 $400.00 23.0% 6.5% 18.2% 49.1% 24.3% 7.5% -0.4% -18.02B 96.45B -734.3M 1.14 1.21 N/A N/A 4,293,228 4,909,528 6,784,647 14,755,164 2023-03-20 $393.30 $398.00 21.6% 6.2% 18.6% 40.9% 23.1% 7.4% -0.1% -4.28B 41.75B -719.0M 1.41 0.97 N/A N/A 3,048,124 4,292,406 5,746,010 12,070,014 2023-03-21 $399.22 $397.00 19.3% 5.5% 18.6% 26.8% 21.3% 5.4% 0.0% -1.41B 3.74B -705.9M 1.36 1.03 N/A N/A 3,046,574 4,149,696 5,881,972 12,305,339 2023-03-22 $395.69 $398.00 19.3% 5.5% 18.7% 26.8% 21.1% 5.5% -0.0% -4.81B 28.11B -711.1M 1.33 1.26 N/A N/A 3,526,504 4,695,698 5,983,223 12,656,450 2023-03-23 $393.61 $398.00 20.5% 5.9% 18.4% 33.9% 22.1% 6.7% 0.1% -7.54B 44.79B -739.7M 1.67 1.66 N/A N/A 3,982,843 6,659,356 6,237,847 12,871,422 2023-03-24 $395.31 $398.00 20.1% 5.8% 17.9% 31.7% 22.0% 6.5% 0.0% -5.85B 32.55B -748.3M 1.48 0.88 N/A N/A 3,586,225 5,292,263 6,419,716 13,238,789 2023-03-27 $397.04 $397.00 18.9% 5.4% 17.9% 24.1% 20.3% 5.9% 0.6% -4.27B 17.22B -725.3M 1.12 0.87 N/A N/A 3,435,233 3,855,653 6,250,310 12,909,316 2023-03-28 $394.75 $397.00 18.9% 5.4% 18.0% 23.8% 20.5% 5.4% 0.5% -7.34B 32.37B -723.0M 1.24 0.90 N/A N/A 2,881,093 3,581,647 6,351,100 13,086,067 2023-03-29 $401.25 $397.00 17.7% 5.0% 18.8% 16.9% 18.7% 5.1% 0.6% 1.10B -15.11B -719.1M 1.48 0.86 N/A N/A 2,908,112 4,316,443 6,538,368 13,284,063 2023-03-30 $403.40 $398.00 17.2% 4.8% 18.7% 13.9% 18.5% 5.0% 0.8% 1.04B -22.21B -728.3M 1.33 0.90 N/A N/A 3,356,454 4,449,410 6,598,120 13,775,969 2023-03-31 $408.13 $398.00 16.8% 4.7% 18.5% 10.9% 17.8% 4.7% 1.0% 4.34B -51.36B -731.1M 1.64 1.03 N/A N/A 3,401,377 5,561,408 6,780,049 14,071,285
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