SPYX Options History — December 2022

In December 2022, SPYX traded between $30.47 and $33.03. ATM implied volatility averaged 23.9%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.8% (HV 20d: 21.1%). Max pain ranged from $32.33 to $32.33. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.92.

Notable Days

  • 2022-12-06: Highest Volume — 96 contracts
  • 2022-12-14: Largest IV drop — 52.3% change
  • 2022-12-13: Highest IV Rank — 40.8%
  • 2022-12-27: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.62$30.47$33.03$33.03$30.84
Max Pain$32.33$32.33$32.33$32.33$32.33
ATM IV23.9%18.0%40.3%21.3%22.3%
Expected Move6.0%5.2%7.2%6.1%6.4%
HV 20d21.1%17.0%26.5%25.7%18.8%
HV 60d36.7%23.7%62.7%62.7%23.8%
IV Rank17.4%8.9%40.8%13.6%14.7%
IV Percentile44.2%14.7%98.8%31.3%34.1%
Term Structure0.3%-4.6%3.4%-1.8%-1.6%
VWIV21.2%16.9%25.3%20.4%21.7%
Skew 25d4.2%0.2%8.4%0.2%2.7%
Skew 10d3.6%-0.2%6.1%2.7%2.5%
Call IV 25d14.7%12.2%16.9%16.9%16.6%
Put IV 25d18.9%16.2%23.5%17.1%19.3%
Bid-Ask Spread %117.39107.83124.04119.53119.92
Gamma HHI0.320.230.540.280.26
Net GEX-27.6K-75.7K-1.0K-1.3K-8.4K
Net DEX166.5K-76.6K551.7K-76.6K110.1K
Net VEX-729-999-492-580-492
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.920.0015.001.503.00
Total Volume20.857096153
Total OI243138396138168

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$33.03$32.3321.3%6.1%25.7%13.6%20.4%0.2%-1.8%-1.3K-76.6K-5801.50119.53N/AN/A696969
2022-12-02$32.89$32.3318.0%5.2%25.0%8.9%19.6%4.6%1.4%-1.9K-70.3K-6050.00120.98N/AN/A307575
2022-12-05$32.56$32.3326.6%5.6%25.5%21.2%20.0%5.7%2.3%-1.0K-49.4K-6260.00119.87N/AN/A0757875
2022-12-06$31.90$32.3323.4%6.3%26.5%16.7%0.0%1.9%-0.9%-20.7K150.0K-80615.00113.55N/AN/A69078150
2022-12-07$31.84$32.3327.8%6.3%26.4%22.9%24.3%7.5%0.4%-44.7K271.7K-9800.00107.83N/AN/A0384240
2022-12-08$32.06$32.3328.3%6.3%24.9%23.7%0.0%6.9%1.2%-46.5K234.3K-9810.00113.55N/AN/A0384243
2022-12-09$31.97$32.3329.3%6.1%17.2%25.0%24.6%3.2%0.4%-48.4K252.5K-9510.00114.33N/AN/A0384246
2022-12-12$32.28$32.3337.8%6.4%17.0%37.2%0.0%8.4%-0.6%-46.9K210.0K-8590.00111.57N/AN/A0084243
2022-12-13$32.63$32.3340.3%5.9%17.4%40.8%19.7%4.3%1.4%-49.0K127.3K-80610.00117.22N/AN/A66084243
2022-12-14$32.34$32.3319.2%5.5%17.7%10.6%17.7%2.4%3.4%-74.1K246.7K-9990.00114.63N/AN/A3084303
2022-12-15$31.52$32.3322.2%6.4%19.8%14.9%25.3%3.9%-4.6%-75.7K479.8K-9363.00115.65N/AN/A3981303
2022-12-16$31.27$32.3319.8%5.7%19.8%11.5%23.3%4.2%2.2%-68.6K551.7K-8710.00124.04N/AN/A09684312
2022-12-19$30.80$32.3321.2%6.1%20.3%13.4%0.0%2.3%0.7%-19.3K233.4K-7730.00117.55N/AN/A0069159
2022-12-20$30.88$32.3320.3%5.8%20.3%12.2%16.9%3.1%1.6%-19.5K229.4K-7760.00119.81N/AN/A06069159
2022-12-21$31.24$32.3318.9%5.4%20.3%10.2%0.0%4.0%1.9%-10.1K75.8K-6020.00122.42N/AN/A006999
2022-12-22$30.72$32.3320.6%5.9%20.6%12.5%0.0%4.0%0.6%-8.3K114.2K-5430.00115.63N/AN/A006999
2022-12-23$30.93$32.3320.1%5.8%20.9%11.9%0.0%3.8%1.2%-9.6K97.0K-5580.00115.86N/AN/A006999
2022-12-27$30.88$32.3325.0%7.2%20.3%18.9%0.0%6.6%-4.5%-8.1K89.1K-5590.00120.46N/AN/A006999
2022-12-28$30.47$32.3320.8%6.0%20.7%13.0%0.0%1.7%0.3%-8.5K119.3K-4930.00118.69N/AN/A006999
2022-12-29$31.05$32.3319.7%5.7%19.0%11.3%0.0%8.0%0.9%-9.9K101.3K-5110.00122.15N/AN/A006999
2022-12-30$30.84$32.3322.3%6.4%18.8%14.7%21.7%2.7%-1.6%-8.4K110.1K-4920.00119.92N/AN/A036999