SPY Options History — December 2023 In December 2023, SPY traded between $454.86 and $477.17. ATM implied volatility averaged 11.0%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.0% (HV 20d: 8.9%). Max pain ranged from $438.00 to $455.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.13.
Notable Days 2023-12-14 : Highest Volume — 9,577,792 contracts2023-12-12 : Largest IV drop — 6.6% change2023-12-21 : Highest IV Rank — 10.5%2023-12-01 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $467.31 $454.86 $477.17 $458.78 $475.39 Max Pain $445.00 $438.00 $455.00 $438.00 $455.00 ATM IV 11.0% 10.2% 11.6% 11.1% 10.8% Expected Move 3.2% 3.0% 3.6% 3.6% 3.0% HV 20d 8.9% 7.3% 11.0% 10.8% 8.6% HV 60d 13.0% 12.3% 13.7% 13.6% 12.3% IV Rank 4.2% 0.0% 10.5% 2.7% 4.1% IV Percentile 6.2% 0.0% 19.0% 3.2% 3.6% Term Structure 0.2% 0.0% 0.4% 0.1% 0.2% VWIV 12.0% 10.9% 14.0% 13.5% 11.0% Skew 25d 1.9% 1.4% 2.4% 1.8% 2.0% Skew 10d 4.8% 3.6% 6.1% 4.1% 4.1% Call IV 25d 10.3% 9.4% 10.9% 10.5% 9.7% Put IV 25d 12.2% 11.2% 12.9% 12.4% 11.7% Bid-Ask Spread % 2.58 1.75 3.81 2.96 1.98 Gamma HHI 0.06 0.03 0.09 0.05 0.06 Net GEX 8.31B -2.91B 19.78B 7.78B 6.12B Net DEX -109.02B -179.61B -68.47B -115.94B -98.94B Net VEX -659.5M -718.0M -602.4M -635.8M -694.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.79 1.42 1.22 1.12 Total Volume 6,863,863.55 4,924,675 9,577,792 7,672,424 6,992,185 Total OI 20,431,532.8 17,324,261 23,345,375 20,935,753 19,312,439
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 2023-12-01 $458.78 $438.00 11.1% 3.6% 10.8% 2.7% 13.5% 1.8% 0.1% 7.78B -115.94B -635.8M 1.22 2.96 N/A N/A 3,450,233 4,222,191 7,254,345 13,681,408 2023-12-04 $456.38 $440.00 11.5% 3.4% 10.8% 5.7% 13.5% 2.1% 0.4% -596.3M -84.15B -654.2M 1.09 2.51 N/A N/A 3,297,354 3,607,906 7,256,073 13,474,927 2023-12-05 $456.20 $440.00 11.5% 3.4% 10.8% 5.7% 12.7% 2.0% 0.4% 1.42B -84.69B -668.4M 1.11 2.62 N/A N/A 3,126,375 3,480,791 7,460,034 13,617,187 2023-12-06 $454.86 $440.00 11.5% 3.4% 10.8% 5.8% 12.8% 2.0% 0.4% -2.91B -73.29B -668.9M 0.95 2.61 N/A N/A 3,565,315 3,395,620 7,546,846 14,111,955 2023-12-07 $458.17 $440.00 11.6% 3.4% 11.0% 6.8% 12.8% 1.9% 0.4% 8.32B -104.10B -666.5M 1.42 2.38 N/A N/A 2,726,264 3,866,504 7,835,627 14,310,831 2023-12-08 $460.52 $440.00 11.0% 3.3% 10.1% 2.0% 12.7% 1.5% 0.4% 12.09B -121.48B -653.7M 1.14 3.27 N/A N/A 3,331,317 3,793,360 7,839,304 14,584,069 2023-12-11 $461.69 $440.00 11.1% 3.2% 9.0% 3.0% 12.1% 1.9% 0.0% 7.80B -118.86B -623.6M 1.28 3.22 N/A N/A 2,476,288 3,163,335 7,651,393 13,946,864 2023-12-12 $463.82 $440.00 10.4% 3.0% 9.0% 0.0% 11.5% 1.7% 0.1% 11.41B -134.85B -602.4M 1.11 2.63 N/A N/A 2,740,382 3,039,785 7,861,330 14,347,748 2023-12-13 $469.75 $440.00 10.4% 3.0% 7.3% 0.1% 11.2% 1.4% 0.0% 16.06B -172.97B -609.4M 1.00 3.81 N/A N/A 3,925,512 3,921,540 7,970,940 14,601,296 2023-12-14 $471.39 $441.00 10.3% 3.0% 7.3% 0.0% 11.3% 1.6% 0.1% 19.78B -179.61B -606.9M 0.79 3.31 N/A N/A 5,360,673 4,217,119 8,228,698 15,116,677 2023-12-15 $469.11 $445.00 10.2% 3.0% 7.7% 0.0% 11.0% 1.8% 0.2% 1.59B -78.70B -637.8M 1.18 2.60 N/A N/A 2,976,569 3,525,762 6,701,057 15,336,410 2023-12-18 $472.35 $445.00 10.7% 3.1% 7.9% 3.1% 14.0% 1.9% 0.3% 14.21B -102.52B -661.3M 1.16 2.73 N/A N/A 2,786,512 3,225,074 6,348,057 10,976,204 2023-12-19 $474.24 $446.00 10.7% 3.1% 7.4% 3.3% 11.3% 1.7% 0.3% 14.24B -110.88B -663.2M 0.95 2.27 N/A N/A 3,004,025 2,839,972 6,442,753 11,612,267 2023-12-20 $469.57 $450.00 11.3% 3.2% 8.3% 8.1% 11.9% 2.4% 0.4% 137.7K -68.47B -712.5M 1.20 3.16 N/A N/A 4,087,164 4,886,348 6,646,651 11,912,405 2023-12-21 $472.20 $450.00 11.6% 3.3% 8.4% 10.5% 11.8% 2.2% 0.2% 8.51B -94.32B -699.3M 1.09 1.75 N/A N/A 3,857,983 4,220,203 6,930,195 12,406,602 2023-12-22 $473.44 $450.00 11.5% 3.3% 8.3% 9.5% 11.9% 2.0% 0.2% 8.65B -99.02B -718.0M 1.19 1.98 N/A N/A 3,497,147 4,147,856 6,945,094 12,597,782 2023-12-26 $475.90 $451.00 11.2% 3.1% 8.4% 7.1% 11.6% 2.3% 0.2% 13.39B -115.46B -671.4M 1.33 1.91 N/A N/A 2,114,344 2,810,331 6,618,517 11,740,642 2023-12-27 $475.32 $454.00 10.7% 3.0% 8.4% 3.7% 10.9% 2.0% 0.2% 7.05B -105.45B -672.7M 1.19 2.04 N/A N/A 2,789,829 3,319,941 6,611,009 11,910,528 2023-12-28 $477.17 $455.00 10.7% 3.0% 8.3% 3.7% 11.0% 1.9% 0.2% 11.20B -116.73B -668.7M 1.15 1.81 N/A N/A 2,557,220 2,930,942 6,684,283 12,200,209 2023-12-29 $475.39 $455.00 10.8% 3.0% 8.6% 4.1% 11.0% 2.0% 0.2% 6.12B -98.94B -694.5M 1.12 1.98 N/A N/A 3,299,830 3,692,355 6,920,918 12,391,521
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