SPYX Options History — November 2022

In November 2022, SPYX traded between $29.99 and $32.85. ATM implied volatility averaged 23.9%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.2% (HV 20d: 26.1%). Max pain ranged from $29.00 to $32.67. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.14.

Notable Days

2022-11-18: Highest Volume — 192 contracts
2022-11-22: Largest IV drop — 26.4% change
2022-11-08: Highest IV Rank — 29.1%
2022-11-02: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.58	$29.99	$32.85	$31.07	$32.85
Max Pain	$31.85	$29.00	$32.67	$29.00	$32.33
ATM IV	23.9%	16.9%	32.1%	25.6%	20.1%
Expected Move	6.7%	4.8%	8.1%	7.3%	5.8%
HV 20d	26.1%	23.2%	29.8%	24.6%	27.2%
HV 60d	62.7%	62.1%	63.3%	62.2%	62.8%
IV Rank	17.4%	7.3%	29.1%	20.3%	11.9%
IV Percentile	48.8%	11.1%	93.3%	61.9%	23.8%
Term Structure	-1.0%	-2.5%	0.5%	-0.5%	-1.6%
VWIV	20.7%	16.4%	26.8%	22.2%	20.2%
Skew 25d	5.0%	0.1%	9.7%	2.5%	5.2%
Skew 10d	3.1%	-0.5%	4.4%	2.8%	-0.1%
Call IV 25d	16.8%	13.5%	21.7%	19.9%	18.3%
Put IV 25d	21.8%	16.6%	27.0%	22.4%	23.6%
Bid-Ask Spread %	117.31	106.67	127.15	116.41	120.65
Gamma HHI	0.26	0.17	0.36	0.27	0.31
Net GEX	-886	-5.6K	7.2K	1.5K	-3.5K
Net DEX	-29.9K	-84.9K	53.6K	-34.3K	-57.5K
Net VEX	-656	-704	-572	-701	-572
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.65	1.50	0.65	1.50
Total Volume	123.143	0	192	114	15
Total OI	139.857	123	171	123	135

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
2022-11-01	$31.07	$29.00	25.6%	7.3%	24.6%	20.3%	22.2%	2.5%	-0.5%	1.5K	-34.3K	-701	0.65	116.41	N/A	N/A	69	45	75	48
2022-11-02	$30.44	$29.00	28.3%	8.1%	25.7%	24.2%	26.8%	3.5%	-2.4%	1.6K	-9.5K	-674	0.74	115.35	N/A	N/A	69	51	75	48
2022-11-03	$29.99	$0.00	28.8%	7.6%	25.7%	24.4%	0.0%	8.0%	-1.0%	1.3K	17.7K	-638	0.74	110.03	N/A	N/A	69	51	75	51
2022-11-04	$30.18	$0.00	29.0%	7.6%	23.2%	24.7%	0.0%	9.0%	-1.5%	1.3K	8.8K	-649	0.74	110.51	N/A	N/A	69	51	75	51
2022-11-07	$30.62	$0.00	27.9%	7.3%	23.6%	23.1%	0.0%	7.1%	-2.5%	1.3K	-7.1K	-652	0.74	115.92	N/A	N/A	69	51	75	51
2022-11-08	$30.89	$0.00	32.1%	7.2%	23.2%	29.1%	0.0%	9.7%	-1.7%	838	-18.2K	-667	1.13	117.96	N/A	N/A	72	81	75	51
2022-11-09	$30.21	$0.00	26.3%	7.5%	24.9%	20.8%	0.0%	4.3%	-1.4%	-5.6K	53.6K	-684	1.13	115.32	N/A	N/A	72	81	78	81
2022-11-10	$31.80	$0.00	22.7%	6.5%	29.8%	15.6%	0.0%	5.5%	-0.1%	1.2K	-60.8K	-668	1.46	113.32	N/A	N/A	72	105	78	54
2022-11-11	$32.18	$0.00	21.9%	6.3%	28.7%	14.5%	0.0%	9.7%	-0.5%	-2.2K	-68.1K	-693	1.36	106.67	N/A	N/A	75	102	78	78
2022-11-14	$32.09	$0.00	23.6%	6.8%	27.7%	16.9%	21.0%	4.7%	-1.5%	-1.3K	-74.1K	-678	1.27	117.46	N/A	N/A	78	99	81	78
2022-11-15	$32.20	$32.67	23.6%	6.8%	27.6%	16.9%	23.1%	6.2%	-1.2%	-1.7K	-84.9K	-686	1.38	114.61	N/A	N/A	78	108	84	81
2022-11-16	$31.91	$32.33	23.2%	6.6%	27.6%	16.3%	20.1%	2.7%	-0.5%	-3.7K	-58.8K	-704	1.38	119.80	N/A	N/A	78	108	84	87
2022-11-17	$31.72	$32.33	23.3%	6.7%	27.6%	16.5%	19.7%	5.0%	0.0%	-5.3K	-8.7K	-688	1.38	116.08	N/A	N/A	78	108	72	87
2022-11-18	$31.93	$32.33	22.6%	6.5%	26.5%	15.4%	21.6%	8.2%	-0.3%	7.2K	-32.9K	-675	1.46	117.01	N/A	N/A	78	114	72	84
2022-11-21	$31.88	$32.33	22.9%	6.6%	26.2%	16.0%	19.4%	3.4%	-1.7%	-1.7K	-19.8K	-652	1.15	118.86	N/A	N/A	60	69	66	66
2022-11-22	$32.28	$32.33	16.9%	4.8%	26.1%	7.3%	16.4%	1.7%	0.5%	-2.2K	-34.9K	-622	1.15	123.30	N/A	N/A	60	69	66	66
2022-11-23	$32.52	$32.33	19.0%	5.4%	25.9%	10.3%	19.5%	4.4%	-0.0%	-1.6K	-46.2K	-626	1.15	122.82	N/A	N/A	60	69	66	66
2022-11-25	$32.53	$32.33	19.6%	5.6%	25.8%	11.1%	0.0%	2.3%	0.2%	-1.5K	-47.1K	-620	0.00	121.75	N/A	N/A	0	0	66	66
2022-11-28	$32.01	$32.33	21.7%	6.2%	25.6%	14.2%	18.5%	0.1%	-0.6%	-2.0K	-30.5K	-606	0.00	122.55	N/A	N/A	0	3	66	66
2022-11-29	$31.93	$32.33	23.1%	6.6%	25.5%	16.2%	0.0%	2.2%	-1.9%	-2.7K	-14.9K	-619	0.00	127.15	N/A	N/A	0	0	66	69
2022-11-30	$32.85	$32.33	20.1%	5.8%	27.2%	11.9%	20.2%	5.2%	-1.6%	-3.5K	-57.5K	-572	1.50	120.65	N/A	N/A	6	9	66	69