SPY Options History — October 2023 In October 2023, SPY traded between $409.57 and $436.26. ATM implied volatility averaged 16.8%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.7% (HV 20d: 13.1%). Max pain ranged from $425.00 to $435.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.34.
Notable Days 2023-10-26 : Highest Volume — 10,305,924 contracts2023-10-13 : Largest IV spike — 14.0% change2023-10-27 : Highest IV Rank — 54.2%2023-10-27 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $425.54 $409.57 $436.26 $426.25 $417.86 Max Pain $432.23 $425.00 $435.00 $435.00 $425.00 ATM IV 16.8% 14.3% 19.0% 16.4% 16.4% Expected Move 4.9% 4.2% 5.6% 4.7% 4.9% HV 20d 13.1% 11.2% 15.3% 11.2% 14.9% HV 60d 11.9% 11.2% 12.9% 11.2% 12.8% IV Rank 33.4% 17.4% 54.2% 28.0% 40.3% IV Percentile 51.5% 30.6% 71.0% 44.8% 47.6% Term Structure -0.1% -0.5% 0.2% -0.2% 0.1% VWIV 17.7% 15.1% 20.0% 16.4% 17.7% Skew 25d 4.7% 3.7% 6.2% 4.2% 4.2% Skew 10d 10.0% 6.9% 13.2% 8.9% 8.4% Call IV 25d 14.3% 12.4% 16.5% 14.0% 14.2% Put IV 25d 19.0% 16.3% 21.5% 18.2% 18.4% Bid-Ask Spread % 1.28 0.86 2.77 0.86 1.17 Gamma HHI 0.04 0.02 0.07 0.04 0.03 Net GEX -8.59B -18.45B 2.08B -12.35B -6.66B Net DEX 42.47B -22.03B 113.73B 57.19B 46.07B Net VEX -732.6M -772.0M -692.4M -727.2M -692.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 1.10 1.70 1.10 1.42 Total Volume 8,736,756.045 6,665,368 10,305,924 7,606,573 7,088,209 Total OI 19,581,952.636 18,227,097 21,526,232 18,227,097 19,602,172
Daily Data (22 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 2023-10-02 $426.25 $435.00 16.4% 4.7% 11.2% 28.0% 16.4% 4.2% -0.2% -12.35B 57.19B -727.2M 1.10 0.86 N/A N/A 3,620,208 3,986,365 6,604,898 11,622,199 2023-10-03 $421.08 $435.00 18.2% 5.3% 11.7% 37.0% 18.5% 4.5% -0.2% -14.10B 89.75B -738.9M 1.22 0.87 N/A N/A 4,246,446 5,176,526 6,733,852 11,697,588 2023-10-04 $424.93 $431.00 16.7% 4.8% 12.3% 29.5% 15.4% 4.0% -0.1% -8.27B 46.61B -741.3M 1.44 0.92 N/A N/A 3,640,545 5,233,282 7,100,271 11,782,245 2023-10-05 $424.92 $435.00 16.5% 4.7% 12.3% 28.5% 17.3% 3.9% -0.1% -8.40B 46.89B -738.7M 1.28 1.11 N/A N/A 3,240,273 4,158,660 7,163,903 11,983,137 2023-10-06 $430.44 $435.00 15.6% 4.5% 13.4% 24.0% 17.3% 3.7% -0.1% 2.08B 601.1M -727.5M 1.34 1.13 N/A N/A 4,376,691 5,846,301 7,242,472 12,024,776 2023-10-09 $431.67 $435.00 15.8% 4.6% 13.1% 25.2% 17.7% 4.1% 0.1% -2.94B -250.7M -726.1M 1.41 1.07 N/A N/A 2,770,426 3,894,942 6,963,903 11,899,461 2023-10-10 $434.88 $435.00 14.9% 4.3% 13.4% 20.4% 17.1% 3.8% 0.2% -594.4M -18.62B -724.0M 1.39 1.12 N/A N/A 3,815,679 5,305,469 7,006,654 12,122,334 2023-10-11 $436.15 $435.00 14.3% 4.2% 13.5% 17.4% 15.5% 3.9% 0.2% -1.59B -20.93B -725.6M 1.21 1.15 N/A N/A 3,100,664 3,750,091 7,076,431 12,796,547 2023-10-12 $433.76 $435.00 14.5% 4.2% 13.0% 18.5% 15.1% 4.1% 0.1% -6.85B 625.2M -728.5M 1.15 1.19 N/A N/A 4,301,672 4,936,428 7,142,050 13,073,453 2023-10-13 $430.69 $435.00 16.5% 4.8% 12.0% 28.6% 17.4% 5.5% 0.1% -10.68B 27.85B -760.7M 1.38 1.23 N/A N/A 4,009,744 5,541,217 7,330,810 13,249,632 2023-10-16 $436.26 $435.00 15.0% 4.3% 13.0% 21.8% 16.5% 4.8% -0.2% 452.0M -22.03B -720.2M 1.70 1.18 N/A N/A 3,109,520 5,301,412 7,169,798 12,873,279 2023-10-17 $434.97 $435.00 15.6% 4.5% 13.0% 25.6% 16.9% 5.1% -0.3% -6.44B -2.18B -744.0M 1.40 0.98 N/A N/A 3,565,387 4,974,517 7,190,616 13,619,332 2023-10-18 $429.44 $434.00 17.5% 5.0% 13.4% 36.9% 18.6% 5.7% -0.4% -12.33B 42.33B -753.1M 1.28 2.77 N/A N/A 3,990,989 5,121,734 7,345,618 13,720,121 2023-10-19 $425.87 $433.00 18.3% 5.3% 12.6% 41.7% 19.1% 6.2% -0.5% -14.63B 67.50B -772.0M 1.41 1.20 N/A N/A 4,054,534 5,731,891 7,537,929 13,868,860 2023-10-20 $421.63 $432.00 18.4% 5.3% 13.0% 42.3% 19.1% 6.0% -0.4% -18.45B 91.53B -762.0M 1.37 1.29 N/A N/A 4,251,650 5,808,611 7,724,423 13,801,809 2023-10-23 $421.19 $430.00 18.0% 5.3% 13.0% 41.1% 18.9% 5.5% -0.0% -10.58B 70.02B -738.2M 1.39 1.48 N/A N/A 3,790,595 5,256,328 6,740,679 11,801,008 2023-10-24 $424.13 $430.00 16.8% 5.0% 12.5% 34.6% 17.6% 5.1% 0.0% -7.09B 44.66B -733.7M 1.12 1.28 N/A N/A 3,503,351 3,936,784 6,890,206 11,939,808 2023-10-25 $417.60 $430.00 18.2% 5.4% 13.6% 42.3% 18.5% 5.2% -0.1% -13.07B 87.49B -730.8M 1.17 1.60 N/A N/A 4,107,383 4,801,125 6,948,812 12,072,221 2023-10-26 $412.44 $428.00 18.9% 5.6% 13.8% 50.3% 20.0% 5.0% 0.0% -14.57B 108.38B -714.1M 1.29 1.74 N/A N/A 4,497,458 5,808,466 7,153,666 11,998,946 2023-10-27 $409.57 $426.00 19.0% 5.6% 14.0% 54.2% 19.9% 4.9% 0.0% -15.29B 113.73B -708.6M 1.32 1.74 N/A N/A 4,153,518 5,498,268 7,442,706 11,986,843 2023-10-30 $416.06 $425.00 17.6% 5.3% 15.3% 46.6% 19.9% 4.5% 0.0% -6.74B 57.11B -709.2M 1.64 1.15 N/A N/A 3,374,892 5,530,382 7,260,476 11,497,014 2023-10-31 $417.86 $425.00 16.4% 4.9% 14.9% 40.3% 17.7% 4.2% 0.1% -6.66B 46.07B -692.4M 1.42 1.17 N/A N/A 2,929,199 4,159,010 7,262,172 12,340,000
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