SPYX Options History — January 2022

In January 2022, SPYX traded between $35.47 and $39.46. ATM implied volatility averaged 20.3%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.6% (HV 20d: 14.8%). Max pain ranged from $35.67 to $38.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.33.

Notable Days

2022-01-21: Highest Volume — 246 contracts
2022-01-04: Largest IV drop — 31.4% change
2022-01-24: Highest IV Rank — 82.7%
2022-01-24: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.50	$35.47	$39.46	$39.35	$36.81
Max Pain	$36.57	$35.67	$38.33	$36.00	$35.67
ATM IV	20.3%	12.2%	30.6%	17.7%	22.7%
Expected Move	5.8%	3.5%	8.8%	5.1%	6.5%
HV 20d	14.8%	12.7%	17.1%	15.8%	17.1%
HV 60d	14.2%	13.2%	16.0%	13.2%	16.0%
IV Rank	53.7%	27.9%	82.7%	37.9%	50.3%
IV Percentile	88.9%	74.0%	98.5%	83.3%	87.6%
Term Structure	0.0%	-7.2%	1.9%	0.7%	1.5%
VWIV	21.9%	15.7%	29.8%	17.3%	23.4%
Skew 25d	7.7%	1.5%	11.5%	3.7%	10.5%
Skew 10d	9.6%	6.1%	16.8%	11.4%	7.3%
Call IV 25d	15.3%	9.5%	28.2%	17.0%	14.4%
Put IV 25d	23.0%	16.2%	32.6%	20.8%	24.9%
Bid-Ask Spread %	115.61	105.17	131.51	129.77	115.20
Gamma HHI	0.35	0.23	0.52	0.45	0.25
Net GEX	17.3K	3.0K	27.3K	24.2K	10.9K
Net DEX	-176.2K	-347.0K	5.3K	-347.0K	-87.1K
Net VEX	-1.1K	-1.4K	-892	-1.4K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.28	0.45	0.28	0.36
Total Volume	225.9	174	246	234	216
Total OI	191.55	138	219	195	189

Daily Data (20 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
2022-01-03	$39.35	$36.00	17.7%	5.1%	15.8%	0.0%	17.3%	3.7%	0.7%	24.2K	-347.0K	-1.4K	0.28	129.77	N/A	N/A	183	51	174	21
2022-01-04	$39.46	$36.00	12.2%	3.5%	14.9%	0.0%	16.2%	7.4%	0.6%	27.3K	-345.6K	-1.4K	0.28	119.06	N/A	N/A	183	51	174	21
2022-01-05	$38.78	$36.00	15.4%	4.4%	15.2%	0.0%	15.9%	4.2%	1.6%	23.4K	-291.9K	-1.3K	0.28	119.08	N/A	N/A	183	51	174	21
2022-01-06	$38.61	$0.00	15.8%	4.8%	15.2%	0.0%	0.0%	9.1%	0.9%	23.2K	-272.8K	-1.3K	0.28	109.61	N/A	N/A	183	51	174	21
2022-01-07	$38.48	$0.00	15.9%	4.7%	15.2%	0.0%	0.0%	8.8%	1.1%	21.8K	-266.3K	-1.2K	0.28	113.85	N/A	N/A	183	51	174	21
2022-01-10	$38.21	$0.00	16.4%	4.6%	15.2%	0.0%	0.0%	9.0%	1.4%	21.3K	-237.6K	-1.2K	0.28	110.74	N/A	N/A	183	51	174	21
2022-01-11	$38.62	$0.00	15.2%	4.2%	15.7%	0.0%	0.0%	10.2%	1.9%	23.3K	-270.3K	-1.2K	0.30	109.65	N/A	N/A	183	54	174	21
2022-01-12	$38.72	$0.00	15.1%	4.3%	15.3%	0.0%	0.0%	4.4%	1.8%	23.9K	-277.6K	-1.3K	0.29	130.18	N/A	N/A	189	54	174	24
2022-01-13	$38.28	$0.00	19.8%	5.7%	15.2%	37.9%	0.0%	6.0%	-0.5%	23.1K	-246.4K	-1.2K	0.29	115.29	N/A	N/A	186	54	180	24
2022-01-14	$38.21	$0.00	17.3%	5.0%	15.2%	27.9%	0.0%	11.5%	0.1%	21.5K	-233.1K	-1.2K	0.31	110.64	N/A	N/A	186	57	180	24
2022-01-18	$37.51	$0.00	19.7%	5.7%	16.1%	37.8%	0.0%	10.8%	-0.5%	18.6K	-172.3K	-1.1K	0.31	107.47	N/A	N/A	186	57	180	27
2022-01-19	$37.32	$0.00	20.2%	5.8%	14.8%	39.9%	0.0%	9.9%	-0.9%	18.6K	-148.8K	-1.0K	0.33	111.65	N/A	N/A	180	60	180	27
2022-01-20	$36.91	$0.00	22.0%	6.3%	13.9%	47.3%	15.7%	3.8%	-0.7%	19.2K	-116.6K	-937	0.35	109.65	N/A	N/A	180	63	183	30
2022-01-21	$36.13	$38.33	25.7%	7.4%	14.7%	62.4%	18.8%	5.2%	-0.0%	17.0K	-70.0K	-967	0.37	114.27	N/A	N/A	180	66	186	33
2022-01-24	$35.84	$38.33	30.6%	8.8%	13.7%	82.7%	29.8%	10.8%	-7.2%	7.4K	-38.8K	-892	0.41	105.17	N/A	N/A	123	51	117	21
2022-01-25	$35.83	$38.33	25.8%	7.4%	12.8%	62.8%	27.5%	8.0%	-1.0%	3.7K	-20.6K	-1.0K	0.45	131.51	N/A	N/A	126	57	117	42
2022-01-26	$35.47	$35.67	30.0%	8.6%	12.7%	80.1%	27.1%	1.5%	0.4%	3.0K	5.3K	-893	0.42	123.82	N/A	N/A	135	57	120	45
2022-01-27	$35.56	$35.67	26.4%	7.6%	12.8%	65.5%	24.8%	8.4%	-0.9%	4.7K	-20.6K	-1.0K	0.38	112.45	N/A	N/A	150	57	129	45
2022-01-28	$35.99	$35.67	22.7%	6.5%	14.2%	50.1%	24.9%	10.0%	-0.1%	9.5K	-65.5K	-1.1K	0.38	113.14	N/A	N/A	150	57	144	45
2022-01-31	$36.81	$35.67	22.7%	6.5%	17.1%	50.3%	23.4%	10.5%	1.5%	10.9K	-87.1K	-1.0K	0.36	115.20	N/A	N/A	159	57	144	45