SPYX Options History — March 2022

In March 2022, SPYX traded between $34.04 and $37.75. ATM implied volatility averaged 23.7%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.9% (HV 20d: 24.5%). Max pain ranged from $34.67 to $38.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.34.

Notable Days

2022-03-29: Highest Volume — 216 contracts
2022-03-04: Largest IV spike — 27.2% change
2022-03-04: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.79	$34.04	$37.75	$35.07	$37.16
Max Pain	$35.80	$34.67	$38.00	$35.00	$36.00
ATM IV	23.7%	14.8%	35.8%	32.7%	15.3%
Expected Move	6.9%	4.6%	10.3%	9.4%	5.1%
HV 20d	24.5%	22.3%	26.7%	22.3%	22.9%
HV 60d	20.5%	18.9%	21.6%	19.1%	21.6%
IV Rank	52.5%	16.9%	100.0%	91.5%	18.8%
IV Percentile	75.1%	39.0%	100.0%	99.4%	44.1%
Term Structure	-0.5%	-4.5%	3.0%	-4.5%	3.0%
VWIV	23.0%	15.6%	30.4%	30.4%	19.4%
Skew 25d	8.0%	0.4%	15.1%	14.2%	1.1%
Skew 10d	11.9%	3.7%	21.5%	19.6%	4.1%
Call IV 25d	17.8%	10.5%	25.6%	23.6%	14.7%
Put IV 25d	25.8%	14.6%	37.9%	37.9%	15.8%
Bid-Ask Spread %	106.41	76.42	126.61	115.33	103.01
Gamma HHI	0.29	0.16	0.48	0.31	0.26
Net GEX	9.1K	3.7K	19.2K	8.2K	4.7K
Net DEX	-23.2K	-106.4K	27.9K	-26.1K	20.4K
Net VEX	-677	-1.1K	-463	-674	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.26	0.56	0.27	0.56
Total Volume	190.174	168	216	183	210
Total OI	163.565	138	177	159	177

Daily Data (23 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
2022-03-01	$35.07	$35.00	32.7%	9.4%	22.3%	91.5%	30.4%	14.2%	-4.5%	8.2K	-26.1K	-674	0.27	115.33	N/A	N/A	144	39	132	27
2022-03-02	$35.89	$35.00	25.2%	7.2%	23.7%	60.4%	24.1%	14.4%	-0.8%	10.6K	-52.2K	-793	0.27	112.03	N/A	N/A	144	39	132	27
2022-03-03	$35.57	$35.00	27.5%	7.9%	23.4%	69.7%	25.7%	10.7%	0.0%	9.6K	-39.2K	-724	0.27	109.39	N/A	N/A	144	39	132	27
2022-03-04	$35.13	$35.00	34.9%	10.0%	22.6%	100.0%	27.4%	13.6%	-3.5%	8.9K	-36.8K	-726	0.28	114.19	N/A	N/A	141	39	135	27
2022-03-07	$34.33	$35.00	35.8%	10.3%	23.4%	100.0%	28.9%	9.0%	-3.6%	6.9K	-4.2K	-569	0.28	121.54	N/A	N/A	141	39	135	27
2022-03-08	$34.05	$35.00	30.0%	10.1%	23.4%	76.9%	29.9%	10.3%	-2.8%	5.9K	12.0K	-489	0.33	115.16	N/A	N/A	144	48	135	27
2022-03-09	$35.03	$34.67	26.5%	8.4%	25.9%	63.3%	28.6%	11.5%	-2.6%	7.2K	-9.0K	-588	0.33	122.27	N/A	N/A	144	48	138	36
2022-03-10	$34.64	$34.67	26.8%	7.0%	25.2%	64.5%	27.1%	15.1%	-1.5%	5.4K	8.9K	-517	0.33	116.99	N/A	N/A	144	48	138	36
2022-03-11	$34.36	$34.67	27.2%	9.3%	24.6%	65.8%	29.0%	13.7%	-2.0%	5.3K	17.9K	-494	0.33	123.92	N/A	N/A	147	48	141	36
2022-03-14	$34.04	$38.00	28.6%	7.2%	24.0%	71.6%	16.5%	7.4%	-2.6%	3.7K	27.9K	-463	0.33	76.42	N/A	N/A	147	48	141	36
2022-03-15	$34.81	$38.00	25.9%	7.1%	25.6%	61.0%	15.6%	4.0%	-1.0%	6.7K	-156	-523	0.33	77.85	N/A	N/A	147	48	141	36
2022-03-16	$35.38	$38.00	24.5%	6.5%	25.9%	55.1%	16.2%	8.7%	0.7%	8.6K	-18.7K	-488	0.33	100.23	N/A	N/A	147	48	141	36
2022-03-17	$36.00	$0.00	21.0%	6.4%	26.7%	41.2%	0.0%	5.1%	-0.6%	16.1K	-59.5K	-579	0.33	101.78	N/A	N/A	147	48	141	36
2022-03-18	$36.49	$0.00	19.4%	5.8%	26.1%	35.0%	0.0%	8.9%	0.6%	19.2K	-106.4K	-685	0.33	91.67	N/A	N/A	147	48	141	33
2022-03-21	$36.21	$0.00	20.3%	5.9%	26.1%	38.6%	21.2%	6.5%	0.7%	9.7K	-22.4K	-577	0.30	103.29	N/A	N/A	129	39	117	21
2022-03-22	$36.79	$36.00	20.2%	5.6%	26.2%	38.3%	21.0%	9.6%	0.1%	10.9K	-37.7K	-720	0.30	91.07	N/A	N/A	129	39	117	27
2022-03-23	$36.39	$36.00	20.4%	5.8%	25.6%	39.2%	21.0%	0.5%	0.6%	9.6K	-19.7K	-656	0.30	114.92	N/A	N/A	129	39	117	27
2022-03-24	$36.71	$36.00	18.6%	5.5%	25.6%	32.0%	20.4%	7.0%	0.5%	15.6K	-62.3K	-716	0.26	102.91	N/A	N/A	150	39	132	27
2022-03-25	$36.87	$36.00	17.3%	5.1%	24.2%	26.8%	19.8%	4.5%	0.4%	10.1K	-35.1K	-696	0.28	126.61	N/A	N/A	141	39	114	27
2022-03-28	$37.20	$36.00	15.1%	4.7%	24.1%	17.9%	20.1%	4.5%	2.5%	10.8K	-57.0K	-733	0.49	107.62	N/A	N/A	141	69	114	27
2022-03-29	$37.75	$36.00	14.8%	4.6%	23.7%	16.9%	19.6%	4.2%	2.8%	10.0K	-33.5K	-1.1K	0.53	98.51	N/A	N/A	141	75	114	57
2022-03-30	$37.40	$36.00	16.4%	4.9%	23.0%	23.2%	20.3%	0.4%	1.2%	6.2K	-1.0K	-1.1K	0.56	100.67	N/A	N/A	135	75	114	63
2022-03-31	$37.16	$36.00	15.3%	5.1%	22.9%	18.8%	19.4%	1.1%	3.0%	4.7K	20.4K	-1.0K	0.56	103.01	N/A	N/A	135	75	114	63