SPYX Options History — December 2021

In December 2021, SPYX traded between $37.18 and $39.48. ATM implied volatility averaged 18.0%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.8% (HV 20d: 17.1%). Max pain ranged from $36.00 to $38.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2021-12-31: Highest Volume — 234 contracts
  • 2021-12-15: Largest IV drop — 41.1% change
  • 2021-12-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.52$37.18$39.48$37.53$39.33
Max Pain$36.32$36.00$38.33$38.33$36.00
ATM IV18.0%11.8%27.8%23.8%12.2%
Expected Move4.8%3.4%7.6%6.8%3.5%
HV 20d17.1%12.4%20.5%12.4%17.4%
HV 60d13.8%12.9%14.4%12.9%13.4%
Term Structure1.1%-3.2%3.9%-3.0%1.8%
VWIV15.7%11.7%21.4%17.2%11.7%
Skew 25d8.0%0.6%14.6%6.2%2.8%
Skew 10d9.2%3.3%22.0%12.2%4.3%
Call IV 25d12.4%8.8%25.6%17.8%10.0%
Put IV 25d20.4%12.8%33.8%24.0%12.8%
Bid-Ask Spread %110.6588.67120.52113.08118.18
Gamma HHI0.310.120.580.130.57
Net GEX20.2K8.7K31.6K11.3K24.1K
Net DEX-230.8K-344.7K-92.1K-126.4K-330.6K
Net VEX-1.2K-1.7K-642-642-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.130.300.300.28
Total Volume181.364114234117234
Total OI172.773108222108186

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$37.53$38.3323.8%6.8%12.4%0.0%17.2%6.2%-3.0%11.3K-126.4K-6420.30113.08N/AN/A90279315
2021-12-02$37.85$38.3321.3%6.1%12.6%0.0%16.9%8.7%-1.7%11.7K-127.9K-7220.27116.93N/AN/A90249324
2021-12-03$37.18$38.3326.7%7.6%13.9%0.0%21.4%8.2%-3.2%8.7K-92.1K-7810.27111.01N/AN/A90249330
2021-12-06$37.82$36.0027.8%5.9%15.2%0.0%19.9%14.6%0.2%13.2K-127.9K-7810.2788.67N/AN/A90249930
2021-12-07$38.51$36.0020.6%4.6%16.7%0.0%15.8%10.3%2.0%18.2K-169.0K-7560.26105.17N/AN/A93249930
2021-12-08$38.69$36.0016.3%4.5%16.7%0.0%14.7%9.1%1.9%18.6K-188.5K-7350.26108.23N/AN/A93249930
2021-12-09$38.55$36.0017.1%4.6%16.5%0.0%14.6%9.8%1.8%16.4K-172.3K-7410.26106.11N/AN/A93249933
2021-12-10$38.79$36.0016.9%4.2%16.6%0.0%15.1%9.7%2.7%17.9K-192.2K-7110.13107.52N/AN/A180249933
2021-12-13$38.64$36.0021.6%4.5%16.5%0.0%14.6%10.0%1.7%28.3K-307.6K-1.7K0.13108.59N/AN/A1802418933
2021-12-14$38.26$36.0024.5%4.8%16.9%0.0%15.8%8.5%1.7%25.4K-266.3K-1.6K0.13107.87N/AN/A1802418933
2021-12-15$38.72$36.0014.4%4.1%17.4%0.0%15.1%8.9%3.9%31.6K-318.0K-1.6K0.14109.64N/AN/A1772418930
2021-12-16$38.59$36.0016.4%4.7%17.4%0.0%13.8%10.1%0.9%28.1K-281.7K-1.5K0.17108.47N/AN/A1773017430
2021-12-17$38.17$36.0017.8%5.1%17.8%0.0%15.8%9.8%1.0%30.0K-192.3K-1.5K0.19109.44N/AN/A1773317436
2021-12-20$37.48$36.0021.2%6.1%18.8%0.0%17.8%10.1%0.4%14.9K-143.5K-1.4K0.18107.90N/AN/A1653015636
2021-12-21$38.11$36.0017.6%5.0%19.8%0.0%16.6%9.7%0.0%15.7K-193.6K-1.5K0.18112.78N/AN/A1653015639
2021-12-22$38.54$36.0013.7%3.9%20.1%0.0%15.8%6.6%1.9%17.3K-220.3K-1.5K0.17110.98N/AN/A1743015639
2021-12-23$38.97$36.0012.8%3.7%20.5%0.0%13.9%8.1%1.8%22.4K-284.3K-1.5K0.28112.01N/AN/A1744816539
2021-12-27$39.35$36.0012.3%3.5%19.4%0.0%14.1%0.6%2.7%21.1K-325.5K-1.5K0.29120.52N/AN/A1745116530
2021-12-28$39.45$36.0013.1%3.8%19.1%0.0%15.1%6.9%1.8%23.7K-339.8K-1.4K0.29116.39N/AN/A1745116521
2021-12-29$39.48$36.0011.8%3.4%17.7%0.0%14.5%2.7%3.0%22.4K-344.7K-1.4K0.29117.03N/AN/A1745116521
2021-12-30$39.38$36.0015.5%4.4%17.5%0.0%15.9%4.9%0.5%23.7K-332.0K-1.4K0.29117.87N/AN/A1745116521
2021-12-31$39.33$36.0012.2%3.5%17.4%0.0%11.7%2.8%1.8%24.1K-330.6K-1.3K0.28118.18N/AN/A1835116521