SPY Options History — August 2023 In August 2023, SPY traded between $436.02 and $456.44. ATM implied volatility averaged 13.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.4% (HV 20d: 10.4%). Max pain ranged from $438.00 to $440.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.31.
Notable Days 2023-08-10 : Highest Volume — 10,702,642 contracts2023-08-02 : Largest IV spike — 14.9% change2023-08-17 : Highest IV Rank — 26.9%2023-08-17 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $445.03 $436.02 $456.44 $456.44 $451.49 Max Pain $439.26 $438.00 $440.00 $440.00 $439.00 ATM IV 13.8% 11.5% 16.2% 11.9% 11.5% Expected Move 4.0% 3.2% 4.6% 3.2% 3.3% HV 20d 10.4% 8.9% 12.9% 8.9% 12.0% HV 60d 10.7% 10.5% 10.9% 10.6% 10.9% IV Rank 14.8% 3.7% 26.9% 5.4% 3.7% IV Percentile 20.3% 7.9% 32.9% 12.3% 7.9% Term Structure 0.1% -0.2% 0.5% -0.1% 0.3% VWIV 15.0% 11.8% 17.1% 11.9% 11.8% Skew 25d 4.3% 3.0% 5.2% 3.1% 3.0% Skew 10d 9.3% 5.9% 11.6% 6.9% 5.9% Call IV 25d 11.8% 10.4% 13.7% 10.4% 10.4% Put IV 25d 16.1% 13.4% 18.9% 13.5% 13.4% Bid-Ask Spread % 1.86 1.27 2.23 1.83 1.76 Gamma HHI 0.03 0.02 0.06 0.03 0.03 Net GEX -6.89B -15.10B 3.14B -1.67B 2.44B Net DEX -12.48B -85.04B 56.39B -85.04B -68.80B Net VEX -762.1M -806.2M -678.3M -703.0M -678.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 1.07 1.68 1.21 1.15 Total Volume 7,965,554.739 5,582,272 10,702,642 5,582,272 7,056,139 Total OI 21,169,971.043 19,452,709 22,865,269 20,409,726 21,553,369
Daily Data (23 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 2023-08-01 $456.44 $440.00 11.9% 3.2% 8.9% 5.4% 11.9% 3.1% -0.1% -1.67B -85.04B -703.0M 1.21 1.83 N/A N/A 2,522,006 3,060,266 6,560,756 13,848,970 2023-08-02 $450.19 $440.00 13.7% 3.8% 10.4% 14.2% 14.2% 4.1% -0.1% -10.39B -25.58B -779.3M 1.26 1.69 N/A N/A 3,919,583 4,931,550 6,658,880 14,047,240 2023-08-03 $449.19 $439.00 13.6% 4.0% 9.8% 14.1% 15.4% 4.4% -0.2% -8.89B -27.41B -779.5M 1.37 1.27 N/A N/A 2,859,557 3,919,154 7,001,978 14,353,585 2023-08-04 $446.63 $439.00 14.2% 4.2% 10.1% 16.9% 16.3% 4.9% -0.2% -10.67B -6.10B -803.8M 1.32 1.73 N/A N/A 4,010,358 5,283,039 7,002,932 14,488,040 2023-08-07 $449.93 $440.00 13.2% 3.9% 10.3% 12.2% 15.0% 4.7% 0.4% -2.26B -44.70B -751.4M 1.52 1.70 N/A N/A 2,459,005 3,738,160 6,836,668 14,177,197 2023-08-08 $449.12 $440.00 13.4% 3.9% 10.1% 12.8% 16.9% 4.5% 0.4% -9.05B -30.15B -777.7M 1.23 1.76 N/A N/A 3,337,181 4,096,864 6,846,074 14,492,490 2023-08-09 $446.81 $440.00 13.7% 4.0% 9.8% 14.2% 15.0% 4.4% 0.4% -8.63B -16.49B -788.4M 1.07 1.73 N/A N/A 3,755,235 4,012,041 7,058,711 14,665,254 2023-08-10 $445.11 $440.00 14.1% 4.1% 9.3% 16.2% 16.5% 4.4% 0.3% -10.48B -4.41B -792.9M 1.27 1.80 N/A N/A 4,711,782 5,990,860 7,204,999 14,854,865 2023-08-11 $445.50 $440.00 13.3% 3.9% 9.3% 12.3% 14.9% 3.9% 0.5% -9.69B -8.38B -789.8M 1.21 1.90 N/A N/A 3,669,934 4,458,129 7,338,096 15,206,228 2023-08-14 $447.50 $440.00 13.2% 3.8% 9.2% 12.1% 14.4% 4.3% -0.1% -3.07B -38.19B -735.0M 1.24 1.94 N/A N/A 3,133,837 3,884,668 6,963,230 14,644,443 2023-08-15 $442.53 $440.00 14.6% 4.2% 9.5% 18.8% 15.8% 4.6% 0.1% -13.54B 17.37B -789.0M 1.19 2.03 N/A N/A 3,627,026 4,324,781 7,007,963 15,016,154 2023-08-16 $440.32 $440.00 15.1% 4.3% 9.5% 21.3% 15.4% 4.8% -0.1% -12.70B 24.83B -793.5M 1.12 2.01 N/A N/A 4,069,100 4,565,431 7,183,830 14,999,361 2023-08-17 $436.02 $440.00 16.2% 4.6% 9.7% 26.9% 17.1% 5.2% -0.1% -15.10B 56.39B -806.2M 1.38 1.82 N/A N/A 4,294,578 5,914,925 7,315,654 15,132,424 2023-08-18 $437.07 $439.00 15.3% 4.4% 9.8% 22.7% 16.7% 4.6% -0.0% -11.46B 35.20B -798.1M 1.38 1.95 N/A N/A 3,739,103 5,151,428 7,501,016 15,364,253 2023-08-21 $439.82 $439.00 14.8% 4.3% 10.0% 19.8% 16.9% 4.9% 0.0% -5.87B 14.52B -783.6M 1.15 2.11 N/A N/A 3,378,753 3,877,733 6,330,993 13,121,716 2023-08-22 $437.72 $438.00 15.1% 4.3% 9.9% 21.6% 15.9% 4.8% -0.1% -9.21B 29.69B -778.8M 1.12 1.98 N/A N/A 3,469,742 3,881,189 6,428,995 13,366,252 2023-08-23 $443.24 $438.00 13.9% 4.0% 11.2% 15.6% 14.9% 4.3% -0.0% -1.87B -15.69B -757.7M 1.53 2.23 N/A N/A 2,521,718 3,869,497 6,506,121 13,403,949 2023-08-24 $437.70 $438.00 14.9% 4.3% 11.7% 20.6% 15.4% 4.9% -0.1% -12.68B 37.43B -773.5M 1.46 2.22 N/A N/A 3,261,532 4,752,793 6,506,906 13,635,122 2023-08-25 $440.69 $438.00 13.5% 3.8% 11.3% 13.5% 14.6% 4.3% 0.1% -5.79B 6.71B -752.1M 1.59 1.98 N/A N/A 3,451,848 5,472,571 6,641,518 13,745,853 2023-08-28 $442.63 $438.00 13.2% 3.8% 11.5% 12.0% 13.9% 4.2% 0.3% -3.81B -8.54B -727.8M 1.68 1.73 N/A N/A 2,904,799 4,868,927 6,388,730 13,496,029 2023-08-29 $449.37 $439.00 12.6% 3.6% 12.9% 8.8% 13.7% 3.6% 0.2% 2.68B -60.62B -703.3M 1.59 1.75 N/A N/A 3,609,388 5,739,461 6,508,868 14,052,851 2023-08-30 $450.77 $439.00 11.8% 3.4% 12.0% 4.9% 12.6% 3.1% 0.3% 3.14B -69.14B -686.1M 1.21 1.78 N/A N/A 3,464,840 4,187,248 6,640,068 14,810,703 2023-08-31 $451.49 $439.00 11.5% 3.3% 12.0% 3.7% 11.8% 3.0% 0.3% 2.44B -68.80B -678.3M 1.15 1.76 N/A N/A 3,278,954 3,777,185 6,751,654 14,801,715
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