SPYX Options History — January 2023 In January 2023, SPYX traded between $30.73 and $32.95. ATM implied volatility averaged 22.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.8% (HV 20d: 17.7%). Max pain ranged from $30.67 to $32.33. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.95.
Notable Days 2023-01-12 : Highest Volume — 17 contracts2023-01-18 : Largest IV spike — 53.8% change2023-01-18 : Highest IV Rank — 26.8%2023-01-18 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $31.93 $30.73 $32.95 $30.81 $32.79 Max Pain $31.83 $30.67 $32.33 $32.33 $32.33 ATM IV 22.5% 17.0% 31.7% 23.1% 23.5% Expected Move 6.4% 4.9% 9.1% 6.6% 6.7% HV 20d 17.7% 15.0% 20.0% 18.8% 15.0% HV 60d 21.9% 20.7% 23.5% 23.5% 20.7% IV Rank 13.5% 5.2% 26.8% 15.8% 14.7% IV Percentile 35.7% 3.2% 91.3% 38.9% 43.3% Term Structure -1.1% -7.4% 6.5% -0.4% -4.4% VWIV 24.3% 17.2% 33.6% 29.1% 22.7% Skew 25d 6.8% -1.7% 64.8% -1.3% 64.8% Skew 10d 3.4% 1.1% 7.5% 2.4% 2.4% Call IV 25d 19.3% 11.7% 25.3% 18.8% 22.4% Put IV 25d 26.1% 16.8% 87.2% 17.5% 87.2% Bid-Ask Spread % 147.25 107.64 173.15 118.86 156.91 Gamma HHI 0.24 0.22 0.27 0.25 0.22 Net GEX -4.9K -14.3K 5.0K -9.6K 3.6K Net DEX -10.0K -103.3K 125.9K 121.0K -97.0K Net VEX -395 -529 0 -466 -320 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.00 4.00 0.00 1.00 Total Volume 4.4 0 17 6 1 Total OI 139.75 0 212 171 71
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 2023-01-03 $30.81 $32.33 23.1% 6.6% 18.8% 15.8% 0.0% -1.3% -0.4% -9.6K 121.0K -466 0.00 118.86 N/A N/A 6 0 69 102 2023-01-04 $30.90 $32.33 20.7% 5.9% 18.8% 12.3% 0.0% 1.9% -0.1% -11.3K 101.4K -511 0.00 120.51 N/A N/A 0 0 75 102 2023-01-05 $30.73 $0.00 21.4% 6.3% 17.6% 13.4% 0.0% 8.1% -0.0% -9.9K 125.9K -465 1.00 107.64 N/A N/A 3 3 75 102 2023-01-06 $31.49 $0.00 20.0% 5.8% 19.9% 9.6% 0.0% 8.2% 0.8% -14.3K 68.5K -512 0.00 111.28 N/A N/A 0 0 78 105 2023-01-09 $31.45 $0.00 23.6% 6.0% 19.7% 14.8% 0.0% 2.3% 0.2% -13.0K 58.2K -510 0.00 117.07 N/A N/A 15 0 78 105 2023-01-10 $31.55 $0.00 22.7% 6.0% 19.8% 13.5% 0.0% 4.6% -0.4% -9.8K 36.6K -529 0.00 119.62 N/A N/A 0 0 90 105 2023-01-11 $31.95 $0.00 19.8% 5.7% 20.0% 9.2% 0.0% 6.7% 0.1% -11.8K 440 -507 0.00 116.56 N/A N/A 0 0 90 105 2023-01-12 $32.06 $0.00 29.0% 8.3% 19.6% 22.8% 29.1% 5.5% -4.8% 0 0 0 0.00 173.15 N/A N/A 17 0 0 0 2023-01-13 $32.27 $31.67 23.5% 6.7% 19.5% 14.7% 0.0% 6.9% -5.0% -8.1K -51.5K -495 0.00 165.52 N/A N/A 0 2 95 105 2023-01-17 $32.19 $31.67 20.6% 5.9% 17.0% 10.5% 21.1% 1.0% -0.6% -8.4K -36.0K -442 1.50 169.31 N/A N/A 4 6 95 107 2023-01-18 $31.73 $31.67 31.7% 9.1% 17.6% 26.8% 30.4% 4.6% -6.9% -9.2K 22.6K -441 1.33 171.17 N/A N/A 3 4 99 113 2023-01-19 $31.53 $30.67 22.1% 6.3% 16.8% 12.7% 0.0% 0.9% 2.5% -9.7K 39.8K -402 4.00 166.38 N/A N/A 1 4 100 111 2023-01-20 $31.95 $30.67 20.1% 5.8% 17.4% 9.8% 20.8% 10.7% 5.9% -13.4K -12.1K -356 0.50 172.87 N/A N/A 4 2 100 108 2023-01-23 $32.38 $32.00 17.0% 4.9% 17.5% 5.2% 17.2% 5.4% -2.0% 4.6K -94.9K -327 0.00 171.20 N/A N/A 1 0 56 9 2023-01-24 $32.33 $32.00 18.4% 5.3% 16.2% 7.3% 21.0% 2.8% -2.8% 5.0K -94.4K -314 2.00 159.25 N/A N/A 1 2 57 9 2023-01-25 $32.36 $32.00 19.2% 5.5% 16.1% 8.4% 18.8% 0.7% -2.5% 4.6K -93.5K -334 1.00 155.46 N/A N/A 1 1 58 11 2023-01-26 $32.64 $32.00 29.0% 8.3% 16.2% 22.8% 31.2% 2.2% -7.4% 4.8K -101.6K -326 0.00 159.11 N/A N/A 2 0 59 12 2023-01-27 $32.95 $32.00 24.6% 7.1% 15.2% 16.4% 33.6% 1.5% 6.5% 4.1K -103.3K -335 0.00 157.02 N/A N/A 0 1 57 12 2023-01-30 $32.50 $32.33 20.3% 5.8% 15.3% 10.0% 21.1% -1.7% -0.6% 4.0K -91.0K -315 1.00 156.17 N/A N/A 2 2 57 13 2023-01-31 $32.79 $32.33 23.5% 6.7% 15.0% 14.7% 22.7% 64.8% -4.4% 3.6K -97.0K -320 0.00 156.91 N/A N/A 0 1 57 14
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