SPYX Options History — September 2022

In September 2022, SPYX traded between $29.17 and $39.17. ATM implied volatility averaged 30.3%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 37.4% (HV 20d: 67.7%). Max pain ranged from $30.00 to $33.33. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2022-09-16: Highest Volume — 213 contracts
2022-09-15: Largest IV spike — 206.8% change
2022-09-15: Highest IV Rank — 100.0%
2022-09-15: Largest Expected Move — 23.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.67	$29.17	$39.17	$32.05	$29.17
Max Pain	$32.41	$30.00	$33.33	$33.33	$30.00
ATM IV	30.3%	23.5%	81.5%	26.4%	32.2%
Expected Move	8.3%	6.0%	23.4%	7.6%	9.2%
HV 20d	67.7%	22.1%	103.7%	22.4%	103.4%
HV 60d	44.0%	22.0%	61.3%	24.9%	61.3%
IV Rank	36.7%	18.6%	100.0%	41.2%	30.4%
IV Percentile	79.6%	59.1%	100.0%	77.8%	94.0%
Term Structure	-0.8%	-7.8%	9.2%	-1.8%	-7.8%
VWIV	25.3%	21.8%	29.1%	24.1%	27.3%
Skew 25d	10.1%	2.1%	68.4%	2.1%	6.5%
Skew 10d	6.9%	1.2%	33.1%	5.0%	8.1%
Call IV 25d	17.4%	9.2%	21.1%	20.3%	21.1%
Put IV 25d	27.4%	20.7%	77.5%	22.4%	27.6%
Bid-Ask Spread %	112.75	107.33	124.42	123.31	112.78
Gamma HHI	0.19	0.10	0.44	0.11	0.31
Net GEX	-2.5K	-16.4K	4.0K	-2.3K	1.5K
Net DEX	28.8K	-174.1K	83.4K	38.1K	61.0K
Net VEX	-536	-812	-239	-259	-781
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.00	1.86	0.00	1.13
Total Volume	79.143	0	213	3	198
Total OI	127.286	90	192	90	180

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
2022-09-01	$32.05	$33.33	26.4%	7.6%	22.4%	41.2%	0.0%	2.1%	-1.8%	-2.3K	38.1K	-259	0.00	123.31	N/A	N/A	0	3	45	45
2022-09-02	$31.75	$33.33	26.9%	7.7%	22.6%	42.3%	0.0%	6.2%	-3.4%	-2.6K	41.4K	-239	0.00	124.42	N/A	N/A	6	0	45	45
2022-09-06	$31.76	$32.33	29.7%	7.2%	22.6%	49.8%	24.1%	12.1%	-0.7%	-2.9K	38.6K	-273	1.71	107.33	N/A	N/A	42	72	51	45
2022-09-07	$32.34	$33.00	24.2%	6.5%	23.8%	35.3%	23.7%	10.6%	0.3%	-2.3K	29.3K	-297	1.86	113.02	N/A	N/A	42	78	54	48
2022-09-08	$32.42	$33.00	23.5%	6.5%	22.1%	33.6%	0.0%	9.3%	-0.2%	-3.1K	33.1K	-318	0.00	109.15	N/A	N/A	0	0	54	51
2022-09-09	$33.09	$33.00	25.5%	6.0%	23.6%	38.9%	0.0%	7.1%	0.8%	1.3K	3.6K	-316	0.00	117.23	N/A	N/A	3	0	54	51
2022-09-12	$33.35	$33.00	30.5%	6.1%	22.9%	51.8%	0.0%	7.4%	-1.1%	4.0K	-9.6K	-302	0.00	113.97	N/A	N/A	3	0	57	51
2022-09-13	$31.94	$33.00	37.5%	7.2%	26.8%	70.2%	23.0%	2.4%	-1.7%	-3.7K	43.3K	-290	1.86	111.69	N/A	N/A	42	78	60	51
2022-09-14	$33.56	$33.00	26.6%	7.6%	33.0%	41.6%	0.0%	8.6%	9.2%	3.2K	-34.3K	-311	0.00	110.71	N/A	N/A	0	30	60	51
2022-09-15	$39.17	$33.00	81.5%	23.4%	64.6%	100.0%	0.0%	68.4%	0.0%	-279	-174.1K	-358	1.00	112.06	N/A	N/A	36	36	60	60
2022-09-16	$31.36	$33.00	25.1%	7.2%	103.7%	20.4%	22.6%	7.7%	-0.4%	-16.4K	79.6K	-760	1.73	112.47	N/A	N/A	78	135	96	96
2022-09-19	$31.51	$33.00	24.0%	6.9%	103.7%	18.9%	0.0%	9.6%	0.3%	-4.3K	23.9K	-743	0.00	111.89	N/A	N/A	0	0	48	72
2022-09-20	$31.29	$33.00	25.0%	7.2%	103.4%	20.2%	21.8%	4.1%	-0.9%	-4.3K	32.2K	-743	0.00	111.55	N/A	N/A	3	0	48	72
2022-09-21	$30.74	$32.33	25.1%	7.2%	103.6%	20.5%	21.8%	3.2%	-1.5%	-3.9K	35.6K	-732	0.00	113.36	N/A	N/A	0	6	51	72
2022-09-22	$30.64	$32.33	23.8%	6.8%	103.5%	18.6%	27.1%	7.1%	-0.9%	-4.6K	54.5K	-721	0.00	108.08	N/A	N/A	0	3	51	78
2022-09-23	$29.90	$32.33	28.3%	8.1%	103.6%	24.9%	0.0%	6.0%	-2.3%	-4.9K	83.4K	-698	0.00	112.83	N/A	N/A	12	0	51	81
2022-09-26	$29.73	$30.00	31.1%	8.9%	103.2%	29.0%	27.9%	4.7%	-1.3%	-1.1K	45.4K	-793	1.40	111.23	N/A	N/A	75	105	78	81
2022-09-27	$29.55	$32.33	30.9%	8.9%	103.2%	28.6%	29.1%	9.8%	-1.7%	-3.2K	77.7K	-749	1.40	111.51	N/A	N/A	75	105	66	84
2022-09-28	$30.24	$32.33	27.4%	7.8%	103.4%	23.6%	26.7%	13.1%	0.2%	-4.1K	55.7K	-761	1.13	109.40	N/A	N/A	93	105	66	84
2022-09-29	$29.49	$30.00	32.0%	9.2%	103.3%	30.2%	28.4%	5.8%	-1.7%	1.5K	47.4K	-812	1.13	109.81	N/A	N/A	93	105	96	84
2022-09-30	$29.17	$30.00	32.2%	9.2%	103.4%	30.4%	27.3%	6.5%	-7.8%	1.5K	61.0K	-781	1.13	112.78	N/A	N/A	93	105	96	84