SPY Options History — April 2023 In April 2023, SPY traded between $404.07 and $415.05. ATM implied volatility averaged 15.9%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.3% (HV 20d: 13.6%). Max pain ranged from $398.00 to $405.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.24.
Notable Days 2023-04-14 : Highest Volume — 9,043,385 contracts2023-04-25 : Largest IV spike — 16.8% change2023-04-26 : Highest IV Rank — 17.9%2023-04-26 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $410.66 $404.07 $415.05 $410.98 $415.05 Max Pain $402.47 $398.00 $405.00 $398.00 $405.00 ATM IV 15.9% 13.8% 17.5% 16.7% 13.8% Expected Move 4.5% 3.9% 5.0% 4.5% 3.9% HV 20d 13.6% 10.4% 18.6% 18.6% 12.6% HV 60d 15.5% 15.1% 16.4% 16.4% 15.1% IV Rank 6.1% 0.0% 17.9% 9.9% 0.0% IV Percentile 3.1% 0.0% 11.9% 2.4% 0.0% Term Structure 0.0% -0.2% 0.2% 0.2% 0.1% VWIV 17.0% 15.3% 18.9% 16.7% 15.3% Skew 25d 5.3% 4.3% 6.9% 4.7% 5.0% Skew 10d 10.1% 8.2% 13.3% 9.4% 9.8% Call IV 25d 13.3% 11.4% 15.1% 14.7% 11.4% Put IV 25d 18.6% 16.4% 20.6% 19.3% 16.4% Bid-Ask Spread % 1.09 0.88 1.36 1.13 1.29 Gamma HHI 0.03 0.02 0.05 0.04 0.05 Net GEX -1.05B -10.58B 6.00B 4.53B 6.00B Net DEX -27.15B -62.06B 45.46B -55.36B -50.02B Net VEX -735.9M -763.0M -707.3M -716.9M -739.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 1.06 1.56 1.36 1.28 Total Volume 7,370,464.526 5,600,666 9,043,385 7,558,744 8,317,012 Total OI 20,248,235.895 18,198,688 22,011,988 19,675,745 20,035,253
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 2023-04-03 $410.98 $398.00 16.7% 4.5% 18.6% 9.9% 16.7% 4.7% 0.2% 4.53B -55.36B -716.9M 1.36 1.13 N/A N/A 3,205,279 4,353,465 6,395,819 13,279,926 2023-04-04 $407.56 $399.00 17.5% 4.6% 18.0% 15.1% 17.5% 5.1% 0.1% -3.91B -19.24B -755.2M 1.43 1.08 N/A N/A 3,440,436 4,905,045 6,655,355 13,600,927 2023-04-05 $407.58 $400.00 17.4% 4.5% 18.0% 14.2% 16.9% 5.0% 0.1% -4.23B -13.81B -755.5M 1.56 1.36 N/A N/A 2,695,931 4,205,845 6,903,688 13,960,084 2023-04-06 $408.92 $400.00 16.8% 4.9% 16.4% 5.6% 18.2% 4.8% 0.2% -265.1M -28.66B -755.2M 1.36 1.01 N/A N/A 2,810,068 3,826,804 6,941,824 13,984,109 2023-04-10 $408.93 $400.00 17.3% 4.9% 14.7% 8.9% 18.3% 5.3% -0.1% -1.10B -23.06B -733.1M 1.13 1.01 N/A N/A 3,022,386 3,407,269 6,510,625 13,248,257 2023-04-11 $410.02 $400.00 17.0% 4.8% 14.7% 7.1% 18.9% 5.1% -0.2% 508.1M -33.99B -731.4M 1.16 1.15 N/A N/A 2,592,334 3,008,332 6,594,351 13,288,507 2023-04-12 $408.25 $402.00 17.2% 4.9% 14.8% 8.0% 18.1% 5.4% -0.1% -3.70B -19.36B -737.1M 1.08 1.12 N/A N/A 3,937,381 4,234,088 6,722,037 13,569,705 2023-04-13 $413.74 $402.00 15.8% 4.5% 15.0% 0.0% 18.3% 4.6% -0.0% 5.13B -62.06B -718.8M 1.33 1.11 N/A N/A 3,243,804 4,328,723 6,836,832 13,736,417 2023-04-14 $412.56 $402.00 15.3% 4.4% 13.6% 0.0% 17.4% 4.3% -0.1% 724.9M -49.96B -727.4M 1.19 1.11 N/A N/A 4,132,978 4,910,407 6,907,122 14,254,022 2023-04-17 $413.15 $402.00 14.9% 4.3% 12.0% 0.0% 16.0% 4.6% 0.1% 246.0M -49.22B -707.3M 1.17 1.07 N/A N/A 2,960,218 3,469,192 6,815,382 13,637,426 2023-04-18 $414.27 $403.00 14.6% 4.2% 11.8% 0.0% 16.6% 4.8% 0.1% 3.24B -54.48B -710.2M 1.13 1.14 N/A N/A 3,491,725 3,944,776 6,849,592 13,859,815 2023-04-19 $413.94 $404.00 14.4% 4.1% 10.9% 0.0% 15.9% 4.9% 0.0% 822.5M -48.53B -722.3M 1.30 0.98 N/A N/A 2,611,131 3,399,079 7,011,761 14,311,838 2023-04-20 $410.75 $405.00 15.4% 4.4% 10.8% 6.0% 16.2% 5.7% 0.0% -5.95B -16.24B -739.8M 1.22 1.04 N/A N/A 3,574,486 4,370,657 7,044,648 14,568,804 2023-04-21 $411.56 $405.00 14.8% 4.2% 10.4% 2.4% 15.8% 5.5% 0.0% -3.59B -26.04B -738.5M 1.24 0.88 N/A N/A 3,262,624 4,042,562 7,132,683 14,879,305 2023-04-24 $412.38 $405.00 14.7% 4.2% 10.4% 2.0% 15.9% 5.8% 0.1% -781.8M -15.34B -731.2M 1.07 0.99 N/A N/A 3,156,252 3,383,813 6,275,295 11,923,393 2023-04-25 $406.51 $405.00 17.2% 5.0% 11.9% 16.6% 17.8% 6.9% -0.1% -9.54B 33.63B -763.0M 1.06 0.97 N/A N/A 3,978,640 4,227,782 6,398,234 12,212,494 2023-04-26 $404.07 $405.00 17.4% 5.0% 11.9% 17.9% 17.4% 6.8% -0.2% -10.58B 45.46B -759.9M 1.22 0.97 N/A N/A 3,429,321 4,185,469 6,735,811 12,389,804 2023-04-27 $412.28 $405.00 14.7% 4.2% 12.6% 2.3% 16.2% 5.6% -0.0% 2.44B -29.49B -739.2M 1.33 1.21 N/A N/A 3,418,115 4,555,397 6,782,884 12,462,453 2023-04-28 $415.05 $405.00 13.8% 3.9% 12.6% 0.0% 15.3% 5.0% 0.1% 6.00B -50.02B -739.6M 1.28 1.29 N/A N/A 3,645,944 4,671,068 7,003,293 13,031,960
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