SPY Options History — June 2023 In June 2023, SPY traded between $421.32 and $443.82. ATM implied volatility averaged 11.6%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.3% (HV 20d: 11.3%). Max pain ranged from $410.00 to $425.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.12.
Notable Days 2023-06-15 : Highest Volume — 11,148,021 contracts2023-06-12 : Largest IV spike — 9.5% change2023-06-12 : Highest IV Rank — 5.1%2023-06-01 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $433.69 $421.32 $443.82 $421.32 $443.82 Max Pain $418.81 $410.00 $425.00 $410.00 $425.00 ATM IV 11.6% 10.8% 12.9% 12.9% 10.8% Expected Move 3.3% 2.8% 3.9% 3.9% 2.8% HV 20d 11.3% 10.7% 12.5% 12.1% 11.7% HV 60d 12.7% 11.9% 14.6% 14.3% 12.0% IV Rank 2.1% 0.0% 5.1% 0.0% 0.0% IV Percentile 1.3% 0.0% 4.0% 0.0% 0.0% Term Structure 0.3% -0.1% 0.7% 0.1% 0.2% VWIV 12.9% 11.2% 14.8% 14.7% 11.4% Skew 25d 3.1% 2.2% 4.9% 4.9% 2.3% Skew 10d 7.1% 5.4% 10.2% 10.2% 6.5% Call IV 25d 10.4% 9.6% 11.2% 11.1% 9.9% Put IV 25d 13.5% 12.2% 16.0% 16.0% 12.2% Bid-Ask Spread % 1.71 1.39 1.96 1.44 1.86 Gamma HHI 0.04 0.03 0.08 0.04 0.04 Net GEX 2.22B -8.04B 13.49B 4.63B 7.98B Net DEX -75.91B -162.75B -14.59B -53.68B -106.28B Net VEX -673.4M -713.0M -649.3M -678.4M -666.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.90 1.39 1.21 1.30 Total Volume 7,233,149.238 4,346,262 11,148,021 6,979,375 7,875,404 Total OI 20,751,296.571 18,447,683 23,044,472 20,570,598 20,598,015
Daily Data (21 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 2023-06-01 $421.32 $410.00 12.9% 3.9% 12.1% 0.0% 14.7% 4.9% 0.1% 4.63B -53.68B -678.4M 1.21 1.44 N/A N/A 3,151,937 3,827,438 6,909,665 13,660,933 2023-06-02 $428.10 $410.00 11.9% 3.7% 12.5% 0.0% 13.7% 3.0% 0.0% 10.64B -103.87B -649.3M 1.08 1.39 N/A N/A 3,649,350 3,926,818 6,985,758 14,040,181 2023-06-05 $427.22 $412.00 12.2% 3.6% 10.9% 1.4% 14.8% 3.2% 0.3% 1.80B -80.23B -664.2M 1.27 1.68 N/A N/A 3,217,495 4,082,305 6,999,762 13,633,701 2023-06-06 $428.01 $414.00 11.5% 3.4% 10.9% 0.0% 13.7% 3.1% 0.3% 1.73B -82.34B -653.4M 1.27 1.69 N/A N/A 3,061,561 3,899,536 7,101,904 13,965,592 2023-06-07 $426.44 $415.00 11.4% 3.4% 10.9% 0.0% 13.5% 3.2% 0.3% -3.51B -67.72B -665.4M 1.06 1.69 N/A N/A 2,437,050 2,580,160 7,318,912 14,228,564 2023-06-08 $429.14 $415.00 11.0% 3.2% 11.0% 0.0% 13.2% 3.1% 0.4% 5.89B -93.00B -656.7M 1.16 1.66 N/A N/A 2,013,846 2,332,416 7,521,099 14,365,281 2023-06-09 $430.06 $415.00 10.9% 3.3% 10.8% 0.0% 13.3% 2.9% 0.4% 6.75B -101.08B -663.4M 1.11 1.79 N/A N/A 2,868,314 3,197,296 7,712,592 14,619,839 2023-06-12 $433.43 $418.00 12.0% 3.4% 10.8% 5.1% 13.8% 3.1% -0.0% 7.31B -109.75B -663.0M 1.39 1.77 N/A N/A 2,704,411 3,765,935 7,422,724 14,294,582 2023-06-13 $436.25 $420.00 11.7% 3.4% 10.9% 3.9% 13.4% 2.7% 0.1% 8.06B -128.28B -649.3M 1.09 1.53 N/A N/A 4,038,517 4,408,604 7,437,635 14,808,664 2023-06-14 $436.33 $420.00 11.6% 3.4% 10.7% 3.1% 13.2% 2.6% 0.1% 6.62B -125.22B -649.4M 1.07 1.96 N/A N/A 4,042,051 4,338,596 7,621,582 14,939,790 2023-06-15 $443.02 $420.00 11.8% 3.4% 11.4% 4.7% 13.5% 2.3% -0.1% 13.49B -162.75B -649.7M 1.02 1.77 N/A N/A 5,522,711 5,625,310 7,809,527 15,234,945 2023-06-16 $440.08 $420.00 11.5% 3.3% 11.6% 2.9% 12.2% 2.2% 0.2% -467.7M -62.49B -658.9M 1.02 1.69 N/A N/A 4,248,248 4,314,353 6,060,151 15,578,364 2023-06-20 $437.63 $420.00 11.9% 3.4% 11.9% 4.9% 12.8% 2.9% 0.5% -4.93B -42.46B -686.1M 1.21 1.73 N/A N/A 3,264,603 3,938,020 5,863,112 12,584,571 2023-06-21 $435.32 $422.00 11.5% 3.3% 12.2% 3.0% 12.4% 3.1% 0.6% -5.58B -30.10B -691.9M 1.05 1.78 N/A N/A 3,490,129 3,670,737 5,972,779 12,846,009 2023-06-22 $436.15 $422.00 10.9% 3.1% 11.5% 0.2% 11.8% 2.9% 0.6% -1.08B -43.06B -689.2M 1.05 1.84 N/A N/A 3,404,729 3,566,921 6,132,466 13,020,090 2023-06-23 $433.70 $423.00 11.2% 3.1% 11.1% 1.4% 12.0% 3.3% 0.7% -8.04B -22.44B -703.9M 1.12 1.90 N/A N/A 3,334,008 3,730,631 6,192,289 13,305,755 2023-06-26 $432.11 $422.00 11.8% 3.3% 11.0% 4.6% 12.8% 3.9% 0.2% -7.78B -14.59B -713.0M 1.05 1.66 N/A N/A 3,328,272 3,500,326 6,103,818 12,830,958 2023-06-27 $436.64 $423.00 11.3% 3.1% 10.8% 2.2% 12.0% 3.3% 0.2% 4.38B -59.13B -685.7M 1.18 1.81 N/A N/A 3,533,940 4,184,343 6,226,034 13,059,783 2023-06-28 $435.49 $424.00 11.6% 3.1% 10.9% 3.4% 11.5% 3.3% 0.1% -3.00B -45.87B -698.5M 0.90 1.70 N/A N/A 3,832,467 3,444,169 6,269,199 14,108,399 2023-06-29 $437.22 $425.00 11.4% 3.0% 10.8% 2.4% 11.2% 3.2% 0.2% 1.77B -59.85B -706.7M 0.91 1.64 N/A N/A 3,434,006 3,109,171 6,443,669 13,948,535 2023-06-30 $443.82 $425.00 10.8% 2.8% 11.7% 0.0% 11.4% 2.3% 0.2% 7.98B -106.28B -666.0M 1.30 1.86 N/A N/A 3,416,744 4,458,660 6,489,484 14,108,531
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