SPYX Options History — October 2021 In October 2021, SPYX traded between $35.35 and $37.75. ATM implied volatility averaged 17.3%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.5% (HV 20d: 14.8%). Max pain ranged from $34.67 to $37.33. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.16.
Notable Days 2021-10-29 : Highest Volume — 144 contracts2021-10-11 : Largest IV spike — 49.6% change2021-10-01 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $36.66 $35.35 $37.75 $35.83 $37.75 Max Pain $36.00 $34.67 $37.33 $36.00 $34.67 ATM IV 17.3% 10.6% 34.8% 32.5% 11.6% Expected Move 4.3% 3.0% 9.3% 9.3% 3.3% HV 20d 14.8% 10.9% 17.3% 14.5% 10.9% HV 60d 11.9% 11.2% 12.7% 12.3% 11.5% Term Structure 1.6% -0.8% 6.9% 2.3% 6.9% VWIV 13.0% 9.6% 22.2% 14.3% 12.3% Skew 25d 5.3% -3.6% 28.1% 28.1% 0.8% Skew 10d 4.5% -3.6% 8.6% 3.9% 1.3% Call IV 25d 11.6% 9.2% 17.7% 11.4% 12.5% Put IV 25d 16.9% 10.8% 39.5% 39.5% 13.3% Bid-Ask Spread % 127.24 118.40 141.35 141.35 118.47 Gamma HHI 0.25 0.19 0.34 0.21 0.21 Net GEX 10.8K -2.4K 30.3K 5.0K 24.5K Net DEX -61.1K -165.2K 21.5K -19.9K -149.3K Net VEX -502 -674 -315 -434 -626 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.16 0.00 0.27 0.00 0.20 Total Volume 51.714 0 144 9 144 Total OI 128.714 90 147 126 126
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 2021-10-01 $35.83 $36.00 32.5% 9.3% 14.5% 0.0% 14.3% 28.1% 2.3% 5.0K -19.9K -434 0.00 141.35 N/A N/A 9 0 93 33 2021-10-04 $35.35 $37.33 34.8% 5.3% 14.9% 0.0% 0.0% 5.1% 0.2% 10.9K -60.8K -315 0.00 137.12 N/A N/A 0 0 93 3 2021-10-05 $35.80 $37.33 21.0% 5.2% 15.9% 0.0% 0.0% 10.3% -0.7% 2.2K 10.8K -510 0.00 121.68 N/A N/A 0 0 102 45 2021-10-06 $35.78 $37.33 19.2% 5.1% 15.9% 0.0% 0.0% 10.9% -0.2% 45 21.1K -483 0.00 118.40 N/A N/A 0 0 102 45 2021-10-07 $36.18 $37.33 19.6% 4.7% 16.6% 0.0% 0.0% 5.1% 0.9% 2.3K -17.6K -519 0.00 126.02 N/A N/A 12 0 102 45 2021-10-08 $36.11 $37.33 18.4% 4.7% 16.3% 0.0% 0.0% 5.8% 1.1% -2.4K -3.8K -483 0.00 126.95 N/A N/A 0 0 102 45 2021-10-11 $35.91 $37.33 27.6% 4.8% 16.4% 0.0% 0.0% 8.2% 0.7% 1.6K -2.5K -462 0.00 127.32 N/A N/A 0 0 102 45 2021-10-12 $35.69 $37.33 29.6% 4.9% 16.5% 0.0% 0.0% 6.0% 0.8% -300 21.5K -419 0.00 127.47 N/A N/A 0 0 102 45 2021-10-13 $35.83 $37.33 16.1% 4.6% 16.1% 0.0% 0.0% 7.2% 1.3% -2.0K 18.1K -400 0.00 127.63 N/A N/A 0 0 102 45 2021-10-14 $36.42 $37.33 12.9% 3.7% 17.3% 0.0% 18.0% 5.7% 2.8% 6.2K -39.6K -415 0.00 126.61 N/A N/A 0 6 102 45 2021-10-15 $36.73 $37.33 12.6% 3.6% 17.2% 0.0% 0.0% 2.9% 1.6% 12.2K -74.3K -398 0.00 135.98 N/A N/A 3 0 102 45 2021-10-18 $36.87 $34.67 13.2% 3.8% 14.8% 0.0% 22.2% 4.0% 0.7% 8.9K -49.9K -400 0.00 135.57 N/A N/A 0 3 72 18 2021-10-19 $37.11 $34.67 12.6% 3.6% 14.8% 0.0% 0.0% 3.2% 2.1% 11.3K -67.3K -450 0.00 135.61 N/A N/A 0 0 75 18 2021-10-20 $37.24 $34.67 11.2% 3.2% 14.7% 0.0% 9.7% 2.6% 2.3% 11.6K -66.6K -415 0.27 124.43 N/A N/A 90 24 75 21 2021-10-21 $37.36 $34.67 12.5% 3.6% 14.3% 0.0% 9.6% 1.7% 0.0% 15.4K -105.3K -598 0.26 123.83 N/A N/A 93 24 93 21 2021-10-22 $37.37 $34.67 13.6% 3.9% 14.3% 0.0% 11.0% -3.6% -0.8% 16.2K -111.7K -624 0.25 120.98 N/A N/A 96 24 93 21 2021-10-25 $37.52 $34.67 11.0% 3.2% 14.2% 0.0% 13.7% 2.7% 1.9% 17.7K -120.6K -610 0.21 123.42 N/A N/A 114 24 96 21 2021-10-26 $37.68 $34.67 11.5% 3.3% 11.6% 0.0% 10.1% 2.7% 1.5% 27.6K -157.2K -674 0.21 125.42 N/A N/A 114 24 114 21 2021-10-27 $37.53 $34.67 10.6% 3.0% 11.8% 0.0% 10.9% 1.7% 4.4% 27.0K -142.0K -657 0.21 125.18 N/A N/A 117 24 114 21 2021-10-28 $37.73 $34.67 10.8% 3.1% 11.0% 0.0% 11.3% 0.3% 4.8% 30.3K -165.2K -660 0.21 122.53 N/A N/A 117 24 117 21 2021-10-29 $37.75 $34.67 11.6% 3.3% 10.9% 0.0% 12.3% 0.8% 6.9% 24.5K -149.3K -626 0.20 118.47 N/A N/A 120 24 105 21
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