SPYX Options History — November 2021 In November 2021, SPYX traded between $37.74 and $38.91. ATM implied volatility averaged 14.7%. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 7.1% (HV 20d: 7.6%). Max pain ranged from $34.67 to $38.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.21.
Notable Days 2021-11-08 : Highest Volume — 177 contracts2021-11-26 : Largest IV spike — 27.2% change2021-11-30 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $38.44 $37.74 $38.91 $37.88 $37.74 Max Pain $37.87 $34.67 $38.33 $34.67 $38.33 ATM IV 14.7% 11.3% 22.3% 12.2% 22.3% Expected Move 4.2% 3.2% 6.4% 3.5% 6.4% HV 20d 7.6% 6.0% 12.4% 9.2% 12.4% HV 60d 11.7% 11.3% 12.9% 11.5% 12.9% Term Structure 0.1% -4.1% 3.0% 0.9% -2.0% VWIV 14.3% 11.6% 18.5% 12.0% 16.2% Skew 25d 3.4% -2.6% 13.6% 0.2% 13.6% Skew 10d 4.8% -0.2% 12.1% 3.1% 12.1% Call IV 25d 12.4% 8.4% 17.4% 13.3% 15.9% Put IV 25d 15.7% 11.0% 29.5% 13.5% 29.5% Bid-Ask Spread % 117.13 112.64 124.36 117.80 115.76 Gamma HHI 0.20 0.13 0.28 0.23 0.13 Net GEX 31.0K 12.4K 55.6K 27.4K 12.4K Net DEX -214.0K -272.7K -137.7K -167.8K -137.7K Net VEX -587 -679 -474 -627 -647 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.21 0.18 0.24 0.19 0.20 Total Volume 140.571 87 177 153 108 Total OI 131.714 87 153 129 108
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 2021-11-01 $37.88 $34.67 12.2% 3.5% 9.2% 0.0% 12.0% 0.2% 0.9% 27.4K -167.8K -627 0.19 117.80 N/A N/A 129 24 108 21 2021-11-02 $38.07 $34.67 11.3% 3.2% 8.5% 0.0% 13.3% -0.6% 2.7% 36.7K -187.4K -633 0.21 119.72 N/A N/A 129 27 114 21 2021-11-03 $38.30 $37.33 14.3% 4.1% 8.5% 0.0% 11.6% -2.6% -4.1% 32.4K -218.3K -617 0.21 116.20 N/A N/A 129 27 114 24 2021-11-04 $38.41 $0.00 14.3% 3.7% 8.0% 0.0% 0.0% 2.4% 1.4% 32.1K -223.1K -638 0.21 117.23 N/A N/A 129 27 114 24 2021-11-05 $38.65 $0.00 14.2% 3.7% 7.8% 0.0% 0.0% 6.3% 0.9% 34.1K -247.1K -625 0.24 113.29 N/A N/A 114 27 114 24 2021-11-08 $38.68 $0.00 13.8% 3.9% 7.2% 0.0% 14.2% 0.1% -0.4% 36.7K -254.8K -595 0.18 115.27 N/A N/A 150 27 117 24 2021-11-09 $38.53 $38.33 14.0% 3.9% 6.8% 0.0% 0.0% 4.8% -0.4% 37.0K -227.3K -606 0.18 112.64 N/A N/A 147 27 120 24 2021-11-10 $38.23 $38.33 14.5% 4.2% 8.0% 0.0% 14.1% 4.6% 0.8% 34.4K -210.6K -620 0.22 113.60 N/A N/A 123 27 120 24 2021-11-11 $38.28 $38.33 14.8% 4.2% 6.4% 0.0% 13.5% 5.3% 1.5% 36.2K -209.8K -608 0.22 114.85 N/A N/A 123 27 126 24 2021-11-12 $38.53 $38.33 12.5% 3.6% 6.2% 0.0% 14.1% 6.2% -1.2% 43.7K -243.2K -565 0.22 113.82 N/A N/A 123 27 126 24 2021-11-15 $38.57 $38.33 12.0% 3.4% 6.2% 0.0% 13.7% 2.1% 0.7% 42.3K -249.7K -547 0.22 119.16 N/A N/A 123 27 126 24 2021-11-16 $38.73 $38.33 15.0% 4.3% 6.0% 0.0% 13.7% 0.3% -0.5% 44.4K -265.0K -517 0.21 114.30 N/A N/A 126 27 123 24 2021-11-17 $38.65 $38.33 13.0% 3.7% 6.2% 0.0% 14.7% 2.3% 0.8% 48.7K -255.6K -540 0.21 118.29 N/A N/A 126 27 126 24 2021-11-18 $38.76 $38.33 12.4% 3.6% 6.2% 0.0% 14.8% 1.9% 1.5% 27.8K -272.7K -514 0.21 117.47 N/A N/A 126 27 129 24 2021-11-19 $38.72 $38.33 13.4% 3.8% 6.2% 0.0% 13.2% 2.6% 0.5% 55.6K -267.1K -497 0.21 119.24 N/A N/A 126 27 129 24 2021-11-22 $38.91 $38.33 14.7% 4.2% 6.3% 0.0% 13.2% -0.8% 0.1% 13.0K -171.0K -474 0.21 120.59 N/A N/A 72 15 75 12 2021-11-23 $38.60 $38.33 14.8% 4.2% 7.1% 0.0% 15.1% 2.8% 0.4% 12.6K -162.5K -498 0.20 117.14 N/A N/A 90 18 75 12 2021-11-24 $38.69 $38.33 15.7% 4.5% 6.8% 0.0% 16.2% 5.8% -1.1% 16.5K -193.2K -625 0.20 124.36 N/A N/A 90 18 93 15 2021-11-26 $37.98 $38.33 19.9% 5.7% 9.7% 0.0% 18.5% 7.8% 3.0% 12.4K -150.1K -679 0.20 121.81 N/A N/A 90 18 93 15 2021-11-29 $38.43 $38.33 19.7% 5.6% 10.5% 0.0% 15.5% 5.7% -3.5% 14.1K -180.0K -646 0.20 117.25 N/A N/A 90 18 93 15 2021-11-30 $37.74 $38.33 22.3% 6.4% 12.4% 0.0% 16.2% 13.6% -2.0% 12.4K -137.7K -647 0.20 115.76 N/A N/A 90 18 93 15
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