SPY Options History — July 2023 In July 2023, SPY traded between $438.95 and $456.45. ATM implied volatility averaged 11.7%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.3% (HV 20d: 10.4%). Max pain ranged from $425.00 to $440.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.13.
Notable Days 2023-07-27 : Highest Volume — 9,818,579 contracts2023-07-27 : Largest IV spike — 10.2% change2023-07-10 : Highest IV Rank — 9.6%2023-07-10 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $449.40 $438.95 $456.45 $443.88 $456.40 Max Pain $431.15 $425.00 $440.00 $425.00 $440.00 ATM IV 11.7% 11.1% 12.7% 11.2% 11.7% Expected Move 3.3% 3.0% 3.7% 3.0% 3.2% HV 20d 10.4% 8.9% 11.6% 10.6% 8.9% HV 60d 11.8% 10.8% 12.2% 12.0% 10.8% IV Rank 4.6% 1.7% 9.6% 2.1% 4.3% IV Percentile 6.4% 1.6% 13.5% 2.0% 9.5% Term Structure 0.2% -0.1% 0.4% 0.2% -0.1% VWIV 12.6% 11.4% 14.6% 11.9% 11.6% Skew 25d 3.0% 2.3% 4.0% 3.0% 2.9% Skew 10d 7.0% 4.9% 8.7% 6.7% 6.8% Call IV 25d 10.4% 9.9% 10.9% 10.1% 10.3% Put IV 25d 13.4% 12.5% 15.0% 13.1% 13.3% Bid-Ask Spread % 1.69 1.25 2.09 1.76 2.09 Gamma HHI 0.04 0.03 0.11 0.03 0.03 Net GEX 2.71B -5.06B 15.43B 3.12B -2.08B Net DEX -96.60B -147.78B -50.72B -89.90B -87.72B Net VEX -669.2M -718.6M -570.4M -670.7M -698.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.80 1.47 0.89 1.25 Total Volume 6,479,026.8 2,864,119 9,818,579 2,864,119 5,956,251 Total OI 20,428,951.45 18,848,291 22,904,831 19,064,812 19,914,957
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 2023-07-03 $443.88 $425.00 11.2% 3.0% 10.6% 2.1% 11.9% 3.0% 0.2% 3.12B -89.90B -670.7M 0.89 1.76 N/A N/A 1,512,753 1,351,366 6,047,375 13,017,437 2023-07-05 $443.44 $425.00 11.9% 3.2% 10.5% 5.6% 11.9% 3.3% 0.2% 1.92B -86.42B -660.6M 1.26 1.35 N/A N/A 2,356,649 2,968,349 6,091,121 13,026,283 2023-07-06 $439.53 $425.00 12.7% 3.7% 11.2% 9.5% 14.6% 4.0% 0.1% -4.21B -50.72B -714.1M 1.05 1.41 N/A N/A 3,724,423 3,892,726 6,206,642 13,328,976 2023-07-07 $439.55 $427.00 12.1% 3.6% 11.1% 6.3% 13.7% 3.5% 0.2% 416.5M -56.97B -716.2M 1.06 1.53 N/A N/A 3,218,045 3,424,217 6,413,990 13,546,125 2023-07-10 $438.95 $427.00 12.7% 3.7% 10.9% 9.6% 13.8% 4.0% 0.3% -2.33B -60.81B -614.3M 0.93 1.38 N/A N/A 3,163,537 2,951,224 6,218,404 13,401,758 2023-07-11 $442.00 $427.00 12.5% 3.6% 11.1% 8.4% 13.7% 3.6% 0.1% 3.37B -73.86B -703.6M 0.88 1.52 N/A N/A 3,250,867 2,844,371 6,386,293 13,572,419 2023-07-12 $446.10 $427.00 11.4% 3.3% 11.3% 2.8% 12.6% 2.9% 0.1% 15.43B -105.64B -668.1M 1.03 1.25 N/A N/A 3,808,930 3,923,641 6,544,050 13,778,377 2023-07-13 $450.31 $428.00 11.4% 3.3% 11.5% 2.8% 13.0% 2.6% 0.0% 9.61B -125.31B -636.1M 1.06 1.60 N/A N/A 3,107,273 3,284,749 6,506,848 14,113,172 2023-07-14 $449.06 $430.00 11.1% 3.2% 11.6% 1.7% 11.8% 2.4% -0.1% 2.84B -112.16B -659.3M 0.97 1.80 N/A N/A 3,687,477 3,567,924 6,695,334 14,522,125 2023-07-17 $451.28 $430.00 11.3% 3.2% 10.5% 2.7% 12.3% 2.5% 0.4% 6.63B -121.52B -647.2M 1.15 1.68 N/A N/A 2,556,514 2,949,228 6,735,347 14,341,484 2023-07-18 $454.47 $430.00 11.5% 3.3% 10.3% 3.3% 12.9% 2.4% 0.2% 10.67B -147.78B -570.4M 1.18 1.82 N/A N/A 3,326,389 3,921,684 6,849,617 14,529,851 2023-07-19 $455.44 $430.00 11.6% 3.3% 9.9% 3.8% 12.5% 2.3% 0.2% 6.07B -137.85B -687.5M 0.80 1.84 N/A N/A 3,978,769 3,188,799 6,994,558 15,173,048 2023-07-20 $451.99 $432.00 11.8% 3.4% 10.2% 5.2% 12.4% 2.8% 0.2% -1.49B -104.83B -697.0M 1.20 1.77 N/A N/A 3,445,908 4,123,101 7,322,621 15,372,255 2023-07-21 $452.44 $434.00 11.5% 3.3% 10.2% 3.5% 12.6% 2.4% 0.2% -162.0M -123.56B -598.6M 1.32 1.72 N/A N/A 2,691,612 3,550,522 7,355,249 15,549,582 2023-07-24 $454.06 $435.00 11.6% 3.3% 9.8% 4.2% 12.5% 3.0% 0.2% 2.37B -91.21B -675.3M 1.47 1.76 N/A N/A 2,483,703 3,650,595 6,318,968 12,529,323 2023-07-25 $455.67 $435.00 11.7% 3.3% 9.6% 4.4% 13.0% 3.1% 0.2% 3.27B -97.93B -679.7M 1.29 1.78 N/A N/A 2,084,109 2,689,824 6,394,286 13,018,534 2023-07-26 $455.18 $438.00 11.2% 3.1% 9.2% 1.8% 11.6% 2.8% 0.2% 449.7M -94.10B -677.1M 1.16 2.07 N/A N/A 2,370,413 2,754,698 6,440,848 13,355,841 2023-07-27 $451.82 $438.00 12.3% 3.5% 9.6% 7.5% 12.7% 3.8% 0.2% -5.06B -60.95B -718.6M 1.20 1.67 N/A N/A 4,459,305 5,359,274 6,568,264 13,508,158 2023-07-28 $456.45 $440.00 11.3% 3.1% 10.1% 2.2% 11.4% 3.0% 0.3% 3.27B -102.80B -691.3M 1.40 1.92 N/A N/A 3,338,292 4,663,025 6,866,257 14,023,252 2023-07-31 $456.40 $440.00 11.7% 3.2% 8.9% 4.3% 11.6% 2.9% -0.1% -2.08B -87.72B -698.2M 1.25 2.09 N/A N/A 2,649,373 3,306,878 6,479,617 13,435,340
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