SPYX Options History — September 2021 In September 2021, SPYX traded between $35.55 and $37.49. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 7.1% (HV 20d: 9.9%). Max pain ranged from $32.33 to $37.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.34.
Notable Days 2021-09-23 : Highest Volume — 30 contracts2021-09-27 : Largest IV spike — 86.8% change2021-09-30 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $36.69 $35.55 $37.49 $37.42 $35.55 Max Pain $35.70 $32.33 $37.00 $37.00 $32.33 ATM IV 17.0% 12.8% 29.9% 13.0% 29.9% Expected Move 4.8% 3.4% 8.6% 3.7% 8.6% HV 20d 9.9% 7.1% 14.1% 7.2% 14.1% HV 60d 11.9% 11.6% 12.4% 11.7% 12.3% Term Structure -0.4% -10.5% 5.2% -1.7% -10.5% VWIV 11.3% 10.1% 13.1% 10.1% 10.7% Skew 25d 6.9% 2.7% 18.2% 2.7% 9.6% Skew 10d 7.2% 0.9% 15.4% 0.9% 9.1% Call IV 25d 11.9% 8.5% 24.8% 10.2% 13.0% Put IV 25d 18.9% 12.9% 31.3% 12.9% 22.5% Bid-Ask Spread % 132.91 122.25 144.72 135.28 144.72 Gamma HHI 0.32 0.22 0.45 0.37 0.22 Net GEX 10.8K -3.9K 26.9K 22.1K 9.0K Net DEX -46.1K -114.5K 25.4K -95.6K -47.0K Net VEX -492 -595 -206 -566 -240 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.00 1.00 1.00 0.00 Total Volume 3.714 0 30 0 0 Total OI 114.571 45 138 117 78
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 2021-09-01 $37.42 $37.00 13.0% 3.7% 7.2% 0.0% 0.0% 2.7% -1.7% 22.1K -95.6K -566 0.00 135.28 N/A N/A 0 0 81 36 2021-09-02 $37.43 $36.00 13.7% 3.4% 7.1% 0.0% 0.0% 5.5% 3.8% 24.6K -94.5K -558 0.00 129.30 N/A N/A 0 0 81 36 2021-09-03 $37.49 $36.00 13.8% 3.7% 7.1% 0.0% 0.0% 5.9% 3.4% 26.9K -114.5K -572 1.00 125.27 N/A N/A 3 3 81 36 2021-09-07 $37.36 $36.00 15.5% 3.7% 7.3% 0.0% 0.0% 3.0% 2.7% 19.9K -96.5K -529 0.00 130.23 N/A N/A 0 0 81 36 2021-09-08 $37.28 $36.00 13.3% 3.8% 7.4% 0.0% 0.0% 7.7% 5.2% 18.8K -83.6K -549 0.00 127.55 N/A N/A 0 0 84 39 2021-09-09 $37.19 $36.00 12.8% 3.7% 7.5% 0.0% 0.0% 7.8% 3.1% 21.2K -67.7K -531 0.00 128.01 N/A N/A 0 0 84 39 2021-09-10 $36.86 $36.00 14.4% 4.1% 8.2% 0.0% 0.0% 4.9% 2.4% 15.2K -37.0K -508 0.00 130.78 N/A N/A 3 0 84 39 2021-09-13 $36.84 $36.00 14.1% 4.0% 8.1% 0.0% 10.1% 6.9% 1.6% 11.4K -48.2K -490 1.00 129.41 N/A N/A 3 3 84 39 2021-09-14 $36.69 $36.00 14.6% 4.2% 8.2% 0.0% 0.0% 3.4% 2.5% 10.6K -42.6K -505 0.00 132.15 N/A N/A 0 0 87 39 2021-09-15 $37.04 $36.00 13.0% 3.7% 8.4% 0.0% 0.0% 9.2% 4.8% 19.2K -69.4K -495 0.00 133.45 N/A N/A 0 0 90 42 2021-09-16 $36.98 $36.00 13.8% 4.0% 8.2% 0.0% 13.1% 3.4% 0.9% 15.2K -69.1K -462 0.40 130.24 N/A N/A 15 6 90 42 2021-09-17 $36.61 $36.00 18.2% 5.2% 9.0% 0.0% 0.0% 6.1% -5.9% 11.0K -21.8K -465 0.00 128.15 N/A N/A 3 0 90 42 2021-09-20 $35.76 $36.00 22.2% 6.4% 11.8% 0.0% 0.0% 5.5% -0.9% -1.5K 25.4K -534 0.00 122.25 N/A N/A 0 3 57 45 2021-09-21 $35.97 $32.33 22.8% 6.5% 11.6% 0.0% 0.0% 8.7% -7.0% 5.7K -43.6K -206 0.00 144.10 N/A N/A 0 0 42 3 2021-09-22 $36.24 $36.00 15.7% 4.5% 12.0% 0.0% 0.0% 3.8% 0.8% -2.2K 4.1K -529 0.00 131.30 N/A N/A 0 3 60 45 2021-09-23 $36.65 $36.00 16.9% 4.8% 12.7% 0.0% 0.0% 4.8% -4.4% 157 -14.9K -558 0.00 132.46 N/A N/A 30 0 60 48 2021-09-24 $36.73 $36.00 13.5% 3.9% 12.6% 0.0% 10.7% 7.1% 0.5% -3.9K -27.5K -551 0.00 132.17 N/A N/A 3 0 60 48 2021-09-27 $36.59 $36.00 25.3% 7.2% 12.2% 0.0% 0.0% 18.2% -9.2% 1.6K -31.1K -343 0.00 140.72 N/A N/A 0 0 69 33 2021-09-28 $35.84 $36.00 19.3% 5.5% 13.8% 0.0% 0.0% 14.9% -1.4% 1.7K -7.1K -595 0.00 140.57 N/A N/A 0 0 93 45 2021-09-29 $35.89 $36.00 21.2% 6.1% 13.9% 0.0% 0.0% 6.5% 1.6% -804 13.2K -538 0.00 142.93 N/A N/A 0 0 93 45 2021-09-30 $35.55 $32.33 29.9% 8.6% 14.1% 0.0% 0.0% 9.6% -10.5% 9.0K -47.0K -240 0.00 144.72 N/A N/A 0 0 75 3
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