SPY Options History — September 2023 In September 2023, SPY traded between $425.07 and $450.77. ATM implied volatility averaged 13.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.3% (HV 20d: 12.0%). Max pain ranged from $435.00 to $445.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.31.
Notable Days 2023-09-27 : Highest Volume — 11,267,297 contracts2023-09-21 : Largest IV spike — 14.2% change2023-09-26 : Highest IV Rank — 31.0%2023-09-26 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $439.91 $425.07 $450.77 $450.77 $427.25 Max Pain $442.30 $435.00 $445.00 $440.00 $435.00 ATM IV 13.3% 10.9% 17.0% 11.1% 15.9% Expected Move 3.9% 3.1% 4.9% 3.1% 4.6% HV 20d 12.0% 10.9% 13.0% 11.8% 11.2% HV 60d 11.0% 10.4% 11.3% 10.8% 11.2% IV Rank 12.7% 0.4% 31.0% 1.5% 25.4% IV Percentile 23.7% 0.4% 47.6% 1.6% 43.3% Term Structure 0.1% -0.1% 0.4% 0.4% 0.2% VWIV 14.0% 10.7% 17.3% 10.7% 16.0% Skew 25d 3.7% 2.7% 4.7% 2.9% 4.1% Skew 10d 7.8% 5.9% 9.9% 5.9% 7.7% Call IV 25d 11.6% 9.9% 14.4% 10.0% 13.7% Put IV 25d 15.3% 12.6% 19.2% 13.0% 17.8% Bid-Ask Spread % 1.38 1.08 1.77 1.43 1.09 Gamma HHI 0.04 0.02 0.08 0.02 0.04 Net GEX -8.97B -16.78B 7.34B 602.6M -11.77B Net DEX 14.67B -65.51B 98.25B -64.63B 59.79B Net VEX -695.4M -741.6M -624.0M -642.0M -729.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 1.06 1.66 1.31 1.24 Total Volume 7,549,633.25 5,547,348 11,267,297 7,090,875 8,900,328 Total OI 19,845,860.95 17,592,680 21,653,785 21,653,785 19,600,967
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 2023-09-01 $450.77 $440.00 11.1% 3.1% 11.8% 1.5% 10.7% 2.9% 0.4% 602.6M -64.63B -642.0M 1.31 1.43 N/A N/A 3,071,808 4,019,067 6,817,862 14,835,923 2023-09-05 $450.26 $445.00 11.8% 3.5% 11.5% 4.9% 13.3% 3.3% 0.2% -2.78B -43.89B -670.8M 1.41 1.52 N/A N/A 2,303,268 3,244,080 6,684,121 14,007,453 2023-09-06 $446.13 $445.00 12.5% 3.7% 12.0% 8.4% 14.2% 3.8% 0.2% -10.82B -9.27B -691.8M 1.27 1.50 N/A N/A 3,464,857 4,393,544 6,688,555 14,198,304 2023-09-07 $445.19 $445.00 12.6% 3.7% 11.9% 9.1% 14.6% 3.6% 0.2% -9.85B -5.95B -704.7M 1.35 1.54 N/A N/A 2,785,683 3,759,542 6,854,951 14,229,474 2023-09-08 $445.05 $444.00 12.2% 3.6% 11.8% 6.8% 13.3% 3.4% 0.2% -8.34B -13.94B -681.1M 1.11 1.52 N/A N/A 3,045,704 3,376,177 6,928,240 14,299,799 2023-09-11 $448.33 $445.00 11.9% 3.5% 12.1% 5.6% 13.2% 3.3% 0.1% 1.33B -42.95B -655.4M 1.21 1.53 N/A N/A 2,801,639 3,380,633 6,712,316 13,702,435 2023-09-12 $446.01 $444.00 12.3% 3.5% 12.1% 7.5% 13.4% 3.4% 0.1% -7.74B -19.05B -668.3M 1.25 1.64 N/A N/A 2,914,067 3,654,116 6,772,970 14,097,208 2023-09-13 $446.24 $445.00 11.7% 3.4% 11.4% 4.6% 13.7% 3.1% 0.1% -4.36B -24.04B -663.5M 1.42 1.77 N/A N/A 2,937,277 4,172,235 6,863,551 14,395,486 2023-09-14 $450.49 $445.00 10.9% 3.2% 11.7% 0.4% 12.0% 2.7% 0.1% 7.34B -65.51B -624.0M 1.45 1.61 N/A N/A 3,275,234 4,763,308 6,906,952 14,666,220 2023-09-15 $443.19 $445.00 11.9% 3.4% 12.7% 5.4% 12.2% 3.4% 0.1% -14.89B 30.19B -688.2M 1.06 1.18 N/A N/A 3,930,854 4,154,727 6,013,135 15,102,965 2023-09-18 $443.20 $444.00 12.3% 3.5% 12.6% 7.6% 13.4% 3.5% 0.1% -9.39B 10.90B -696.2M 1.37 1.17 N/A N/A 2,346,405 3,204,104 5,679,177 11,913,503 2023-09-19 $442.98 $444.00 12.4% 3.5% 12.5% 7.8% 12.8% 3.5% 0.1% -10.44B 11.24B -696.8M 1.07 1.21 N/A N/A 3,304,521 3,546,414 5,715,216 12,149,700 2023-09-20 $439.13 $443.00 13.1% 3.7% 12.8% 11.2% 12.6% 3.6% 0.1% -12.44B 33.24B -711.8M 1.16 1.51 N/A N/A 2,839,299 3,289,347 5,974,536 12,269,497 2023-09-21 $432.35 $442.00 14.9% 4.3% 13.0% 20.5% 15.2% 4.3% -0.1% -15.67B 76.61B -724.4M 1.30 1.34 N/A N/A 4,021,247 5,224,313 6,231,800 12,251,832 2023-09-22 $431.19 $440.00 14.9% 4.3% 12.4% 20.2% 15.2% 4.1% -0.0% -15.97B 69.37B -728.3M 1.35 1.38 N/A N/A 3,712,018 5,005,509 6,559,110 12,367,846 2023-09-25 $431.39 $440.00 15.3% 4.4% 12.0% 22.6% 15.9% 4.4% 0.1% -12.77B 56.53B -718.4M 1.66 1.08 N/A N/A 2,683,581 4,441,213 6,396,507 11,918,362 2023-09-26 $425.70 $440.00 17.0% 4.9% 12.6% 31.0% 17.3% 4.7% 0.1% -16.78B 98.25B -741.6M 1.46 1.15 N/A N/A 3,787,750 5,534,273 6,431,519 12,242,801 2023-09-27 $425.07 $439.00 16.6% 4.8% 10.9% 29.0% 15.8% 4.5% 0.1% -14.92B 86.96B -737.6M 1.56 1.32 N/A N/A 4,394,780 6,872,517 6,666,001 12,323,826 2023-09-28 $428.36 $436.00 15.6% 4.5% 11.3% 23.9% 15.8% 4.1% 0.1% -9.65B 49.51B -733.6M 1.28 1.18 N/A N/A 3,699,389 4,737,837 7,006,555 12,440,544 2023-09-29 $427.25 $435.00 15.9% 4.6% 11.2% 25.4% 16.0% 4.1% 0.2% -11.77B 59.79B -729.6M 1.24 1.09 N/A N/A 3,971,160 4,929,168 7,144,797 12,456,170
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