SPY Options History — November 2023 In November 2023, SPY traded between $423.06 and $455.28. ATM implied volatility averaged 12.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 3.1% (HV 20d: 15.3%). Max pain ranged from $425.00 to $438.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.27.
Notable Days 2023-11-14 : Highest Volume — 9,321,765 contracts2023-11-02 : Largest IV drop — 8.8% change2023-11-01 : Highest IV Rank — 31.1%2023-11-01 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $445.27 $423.06 $455.28 $423.06 $455.28 Max Pain $430.43 $425.00 $438.00 $425.00 $438.00 ATM IV 12.2% 10.7% 15.1% 15.1% 11.1% Expected Move 3.7% 3.2% 4.5% 4.5% 3.6% HV 20d 15.3% 11.9% 17.8% 15.2% 11.9% HV 60d 13.8% 13.1% 14.5% 13.1% 13.6% IV Rank 10.8% 0.0% 31.1% 31.1% 3.2% IV Percentile 15.8% 0.0% 40.1% 40.1% 4.4% Term Structure 0.2% -0.3% 1.0% 0.1% 0.1% VWIV 14.2% 12.2% 17.2% 16.2% 12.8% Skew 25d 2.8% 2.3% 3.9% 3.9% 2.4% Skew 10d 6.7% 5.0% 8.6% 8.6% 5.4% Call IV 25d 11.1% 10.0% 13.2% 13.2% 10.3% Put IV 25d 13.9% 12.4% 17.1% 17.1% 12.7% Bid-Ask Spread % 2.27 1.11 3.34 1.11 3.02 Gamma HHI 0.04 0.02 0.08 0.03 0.03 Net GEX 3.62B -7.96B 10.51B -2.06B 1.57B Net DEX -76.96B -124.87B 10.21B 10.21B -88.59B Net VEX -644.6M -688.6M -612.1M -685.3M -632.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 1.06 1.50 1.46 1.25 Total Volume 6,809,087 2,540,696 9,321,765 7,916,582 6,850,139 Total OI 20,784,286.905 19,301,627 22,936,070 19,587,074 20,598,577
Daily Data (21 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 2023-11-01 $423.06 $425.00 15.1% 4.5% 15.2% 31.1% 16.2% 3.9% 0.1% -2.06B 10.21B -685.3M 1.46 1.11 N/A N/A 3,215,007 4,701,575 7,224,335 12,362,739 2023-11-02 $430.57 $426.00 13.8% 4.2% 16.4% 21.4% 17.0% 3.5% 0.2% 3.18B -39.16B -665.8M 1.31 1.80 N/A N/A 3,439,858 4,523,349 7,269,718 12,725,313 2023-11-03 $435.23 $427.00 13.1% 4.0% 16.3% 16.4% 17.2% 3.4% 0.3% 5.46B -57.39B -674.5M 1.37 1.82 N/A N/A 3,705,105 5,080,364 7,286,710 13,212,785 2023-11-06 $434.86 $426.00 13.1% 4.0% 16.2% 16.9% 16.2% 3.4% 0.8% -1.13B -43.12B -662.6M 1.40 1.88 N/A N/A 2,856,957 3,986,699 7,150,671 13,170,014 2023-11-07 $437.55 $425.00 12.8% 3.9% 16.2% 14.1% 15.3% 3.4% 0.8% 4.36B -60.45B -663.1M 1.32 2.00 N/A N/A 3,009,341 3,980,887 7,330,838 13,408,138 2023-11-08 $437.60 $425.00 12.4% 3.8% 16.1% 11.6% 14.8% 3.0% 0.9% 1.77B -59.54B -645.9M 1.31 2.03 N/A N/A 2,966,632 3,879,827 7,469,679 13,844,381 2023-11-09 $433.61 $426.00 13.4% 4.1% 16.4% 19.1% 14.8% 3.4% 0.8% -7.96B -19.25B -688.6M 1.36 1.95 N/A N/A 3,244,644 4,416,874 7,570,881 13,943,714 2023-11-10 $440.49 $427.00 12.5% 3.8% 17.0% 12.1% 13.9% 2.8% 1.0% 8.50B -79.84B -654.8M 1.50 2.13 N/A N/A 3,372,811 5,059,117 7,732,706 14,065,202 2023-11-13 $440.65 $428.00 13.2% 3.9% 16.5% 19.0% 14.3% 3.3% -0.3% 6.01B -70.36B -646.6M 1.10 1.95 N/A N/A 3,119,524 3,424,237 7,542,017 13,762,309 2023-11-14 $449.48 $428.00 12.6% 3.6% 17.8% 13.8% 15.1% 2.5% -0.3% 10.51B -124.87B -621.4M 1.23 2.13 N/A N/A 4,178,549 5,143,216 7,578,042 13,754,760 2023-11-15 $449.86 $430.00 12.4% 3.6% 16.9% 12.5% 15.1% 2.4% -0.3% 9.33B -114.41B -635.5M 1.24 2.30 N/A N/A 3,395,464 4,217,493 7,736,252 14,546,754 2023-11-16 $449.93 $430.00 12.0% 3.5% 16.5% 9.8% 12.9% 2.5% -0.3% 4.35B -108.56B -638.9M 1.39 2.25 N/A N/A 2,684,836 3,725,347 7,859,066 15,015,817 2023-11-17 $450.40 $432.00 12.0% 3.5% 15.8% 9.5% 12.5% 2.3% -0.3% 6.38B -111.14B -638.9M 1.08 2.34 N/A N/A 2,842,147 3,064,336 7,823,344 15,112,726 2023-11-20 $454.81 $433.00 11.6% 3.4% 15.9% 5.9% 13.9% 2.3% -0.2% 8.41B -105.50B -618.6M 1.32 2.31 N/A N/A 2,798,023 3,692,450 6,877,414 12,424,213 2023-11-21 $452.98 $435.00 11.5% 3.4% 16.1% 5.7% 13.1% 2.4% -0.2% 1.59B -84.54B -643.4M 1.13 2.45 N/A N/A 2,281,749 2,575,067 6,940,347 13,107,997 2023-11-22 $455.19 $435.00 11.1% 3.3% 14.5% 2.1% 12.2% 2.4% -0.1% 8.82B -104.95B -612.1M 1.06 3.34 N/A N/A 3,141,078 3,326,379 7,028,517 13,242,676 2023-11-24 $454.97 $435.00 10.8% 3.2% 13.2% 0.1% 12.3% 2.4% -0.2% 4.47B -97.58B -627.4M 1.26 3.12 N/A N/A 1,124,748 1,415,948 7,084,466 13,313,415 2023-11-27 $455.05 $435.00 10.8% 3.3% 12.6% 0.0% 12.6% 2.4% 0.1% 1.47B -88.53B -620.5M 1.32 2.83 N/A N/A 2,249,017 2,964,308 6,748,849 12,587,988 2023-11-28 $454.64 $436.00 10.7% 3.3% 12.1% 0.0% 12.6% 2.3% 0.1% 735.0M -86.93B -616.9M 1.23 2.52 N/A N/A 2,806,683 3,456,759 6,842,765 12,959,896 2023-11-29 $454.49 $437.00 11.1% 3.5% 12.2% 3.1% 13.1% 2.3% 0.1% 276.8M -81.61B -644.3M 1.06 2.42 N/A N/A 3,430,316 3,643,967 6,987,535 13,226,459 2023-11-30 $455.28 $438.00 11.1% 3.6% 11.9% 3.2% 12.8% 2.4% 0.1% 1.57B -88.59B -632.1M 1.25 3.02 N/A N/A 3,039,874 3,810,265 7,193,980 13,404,597
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