SPY Options History — May 2023 In May 2023, SPY traded between $404.87 and $420.39. ATM implied volatility averaged 14.9%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.2% (HV 20d: 13.8%). Max pain ranged from $402.00 to $410.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.35.
Notable Days 2023-05-02 : Highest Volume — 9,954,819 contracts2023-05-05 : Largest IV drop — 17.9% change2023-05-04 : Highest IV Rank — 24.0%2023-05-04 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $414.11 $404.87 $420.39 $415.94 $419.01 Max Pain $405.91 $402.00 $410.00 $405.00 $410.00 ATM IV 14.9% 13.8% 18.0% 13.8% 13.9% Expected Move 4.5% 3.9% 5.4% 3.9% 4.3% HV 20d 13.8% 12.1% 14.8% 12.1% 12.2% HV 60d 15.0% 14.4% 15.4% 15.0% 14.6% IV Rank 6.8% 0.0% 24.0% 0.0% 0.6% IV Percentile 4.3% 0.0% 19.4% 0.0% 0.8% Term Structure 0.2% -0.5% 1.2% 0.2% -0.1% VWIV 17.5% 14.5% 21.0% 14.5% 16.5% Skew 25d 6.2% 5.3% 7.6% 5.3% 5.4% Skew 10d 12.3% 9.8% 15.2% 10.6% 11.8% Call IV 25d 12.1% 11.3% 14.1% 11.4% 11.6% Put IV 25d 18.4% 16.7% 21.3% 16.7% 17.0% Bid-Ask Spread % 1.57 1.21 1.95 1.39 1.76 Gamma HHI 0.03 0.02 0.05 0.03 0.03 Net GEX -2.69B -10.76B 5.72B 929.4M -2.86B Net DEX -18.07B -71.28B 44.71B -48.87B -29.84B Net VEX -742.9M -789.5M -696.8M -729.2M -696.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.98 2.02 1.14 1.53 Total Volume 6,686,164.409 2,882,963 9,954,819 6,809,362 5,557,361 Total OI 20,555,430.045 19,506,533 22,331,213 19,506,533 20,511,830
Daily Data (22 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 2023-05-01 $415.94 $405.00 13.8% 3.9% 12.1% 0.0% 14.5% 5.3% 0.2% 929.4M -48.87B -729.2M 1.14 1.39 N/A N/A 3,174,897 3,634,465 6,747,197 12,759,336 2023-05-02 $410.61 $405.00 15.5% 4.5% 12.8% 9.8% 16.7% 6.4% 0.1% -6.09B 3.09B -768.8M 1.10 1.21 N/A N/A 4,736,675 5,218,144 6,870,769 12,961,652 2023-05-03 $408.58 $405.00 16.3% 4.7% 12.5% 14.6% 17.0% 6.7% 0.1% -6.56B 16.77B -778.2M 1.17 1.27 N/A N/A 3,312,104 3,858,591 6,977,961 13,047,353 2023-05-04 $404.87 $402.00 18.0% 5.4% 13.0% 24.0% 21.0% 7.2% 0.1% -9.85B 44.71B -789.5M 1.25 1.32 N/A N/A 3,785,044 4,743,905 7,048,818 13,179,245 2023-05-05 $412.75 $403.00 14.7% 4.5% 14.7% 5.6% 19.8% 6.1% 0.4% 99.5M -27.28B -756.0M 1.21 1.37 N/A N/A 3,595,011 4,338,805 7,104,169 13,314,462 2023-05-08 $412.97 $403.00 14.6% 4.5% 14.7% 5.0% 18.2% 6.4% 1.0% -1.02B -24.23B -746.8M 1.26 1.34 N/A N/A 2,799,364 3,540,817 6,896,192 13,116,344 2023-05-09 $411.28 $403.00 15.4% 4.7% 14.8% 9.5% 17.9% 6.5% 1.0% -5.43B -7.89B -757.0M 1.19 1.42 N/A N/A 2,384,645 2,838,593 6,994,950 13,371,716 2023-05-10 $413.31 $403.00 14.4% 4.5% 14.7% 3.5% 18.9% 6.1% 1.2% -351.0M -25.35B -745.0M 0.98 1.50 N/A N/A 4,588,843 4,493,907 6,985,144 13,466,363 2023-05-11 $411.81 $404.00 14.5% 4.4% 14.0% 4.0% 17.9% 6.1% 1.1% -4.28B -11.80B -749.3M 1.18 1.29 N/A N/A 3,265,693 3,868,798 7,110,578 13,879,123 2023-05-12 $411.11 $405.00 14.6% 4.4% 14.0% 4.8% 17.2% 5.8% 1.2% -6.61B -3.45B -752.2M 1.09 1.62 N/A N/A 3,809,448 4,151,402 7,153,260 14,055,382 2023-05-15 $412.49 $405.00 14.8% 4.3% 14.0% 6.0% 16.4% 6.7% -0.5% -1.48B -16.43B -721.9M 1.24 1.74 N/A N/A 3,037,985 3,778,020 6,921,260 13,765,954 2023-05-16 $411.18 $405.00 15.4% 4.5% 14.0% 9.5% 17.5% 6.8% -0.4% -7.51B -1.86B -739.3M 1.24 1.75 N/A N/A 2,665,319 3,309,958 7,006,039 14,046,084 2023-05-17 $415.10 $405.00 14.5% 4.2% 14.5% 4.3% 17.0% 5.9% -0.4% 1.81B -41.12B -720.7M 1.31 1.95 N/A N/A 3,738,800 4,894,538 7,135,903 14,202,609 2023-05-18 $419.06 $405.00 13.9% 4.0% 14.5% 0.7% 15.8% 5.3% -0.5% 5.72B -71.28B -705.7M 1.14 1.60 N/A N/A 4,240,642 4,814,119 7,254,499 14,628,189 2023-05-19 $418.68 $406.00 14.0% 4.1% 14.5% 1.4% 15.9% 5.3% -0.5% 761.8M -59.30B -727.5M 1.33 1.74 N/A N/A 3,777,669 5,029,438 7,322,012 15,009,201 2023-05-22 $418.92 $408.00 14.2% 4.2% 14.5% 2.8% 17.8% 6.2% 0.0% -1.22B -30.89B -732.7M 1.95 1.75 N/A N/A 1,815,298 3,535,468 6,482,537 13,129,471 2023-05-23 $415.03 $408.00 15.3% 4.6% 13.9% 8.6% 17.3% 6.8% -0.0% -8.43B 6.07B -756.0M 1.79 1.73 N/A N/A 1,570,797 2,812,173 6,532,683 13,321,280 2023-05-24 $411.37 $410.00 16.9% 5.1% 14.1% 17.7% 19.2% 7.6% -0.2% -10.76B 33.22B -771.8M 1.47 1.72 N/A N/A 1,361,922 2,003,834 6,740,734 13,548,699 2023-05-25 $415.55 $410.00 15.3% 4.7% 12.7% 8.9% 18.5% 6.9% -0.1% -825.8M -12.19B -759.6M 1.37 1.81 N/A N/A 1,217,964 1,664,999 7,075,421 13,607,048 2023-05-26 $420.37 $410.00 14.6% 4.4% 13.1% 5.0% 17.2% 6.2% -0.1% 4.62B -48.42B -734.4M 2.02 1.68 N/A N/A 1,623,169 3,278,906 6,886,763 13,703,352 2023-05-30 $420.39 $410.00 14.3% 4.4% 13.1% 3.0% 17.3% 5.9% -0.1% 103.5M -41.14B -704.3M 1.67 1.53 N/A N/A 1,961,564 3,266,523 6,653,170 13,694,709 2023-05-31 $419.01 $410.00 13.9% 4.3% 12.2% 0.6% 16.5% 5.4% -0.1% -2.86B -29.84B -696.8M 1.53 1.76 N/A N/A 2,194,258 3,363,103 6,813,821 13,698,009
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