SPY Options History — January 2024 In January 2024, SPY traded between $467.69 and $491.13. ATM implied volatility averaged 11.5%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 9.4%). Max pain ranged from $455.00 to $472.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.13.
Notable Days 2024-01-19 : Highest Volume — 9,761,692 contracts2024-01-16 : Largest IV spike — 11.0% change2024-01-17 : Highest IV Rank — 18.3%2024-01-17 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $478.58 $467.69 $491.13 $471.02 $483.63 Max Pain $464.67 $455.00 $472.00 $455.00 $472.00 ATM IV 11.5% 10.6% 12.7% 11.7% 12.0% Expected Move 3.3% 3.1% 3.6% 3.2% 3.5% HV 20d 9.4% 8.9% 10.3% 9.3% 10.3% HV 60d 11.5% 9.9% 12.5% 12.5% 10.1% IV Rank 9.2% 2.7% 18.3% 10.9% 13.0% IV Percentile 17.9% 1.6% 38.9% 22.6% 34.1% Term Structure 0.1% -0.2% 0.4% 0.4% 0.1% VWIV 12.3% 11.2% 14.6% 11.2% 12.6% Skew 25d 2.4% 1.6% 3.5% 2.6% 2.5% Skew 10d 5.7% 4.3% 7.2% 6.0% 6.4% Call IV 25d 10.4% 9.8% 11.1% 10.2% 11.0% Put IV 25d 12.8% 11.8% 14.5% 12.8% 13.5% Bid-Ask Spread % 1.58 1.20 2.19 1.75 2.19 Gamma HHI 0.04 0.03 0.07 0.04 0.03 Net GEX 2.61B -8.88B 13.31B -4.38B -7.54B Net DEX -94.78B -150.98B -50.74B -59.55B -61.78B Net VEX -677.7M -713.7M -622.7M -698.7M -713.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.92 1.51 1.04 1.00 Total Volume 7,724,267.429 5,804,746 9,761,692 6,659,337 8,360,820 Total OI 19,692,440.143 17,606,324 21,825,563 17,682,193 20,442,334
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 2024-01-02 $471.02 $455.00 11.7% 3.2% 9.3% 10.9% 11.2% 2.6% 0.4% -4.38B -59.55B -698.7M 1.04 1.75 N/A N/A 3,265,419 3,393,918 6,467,481 11,214,712 2024-01-03 $469.05 $455.00 12.3% 3.3% 9.2% 15.7% 11.4% 3.0% 0.0% -6.36B -54.82B -706.7M 1.19 1.78 N/A N/A 3,278,476 3,893,862 6,679,910 11,365,747 2024-01-04 $468.36 $460.00 12.3% 3.6% 9.2% 15.6% 13.1% 2.9% 0.0% -4.76B -53.60B -711.8M 1.10 1.20 N/A N/A 3,030,600 3,330,454 6,915,782 11,525,272 2024-01-05 $467.69 $461.00 11.9% 3.5% 9.1% 12.8% 12.4% 2.6% 0.0% -4.38B -50.74B -713.7M 1.38 1.51 N/A N/A 3,504,919 4,840,667 7,049,364 11,702,925 2024-01-08 $473.94 $461.00 11.6% 3.4% 9.9% 9.8% 14.6% 2.6% 0.2% 5.96B -99.36B -677.3M 1.51 1.20 N/A N/A 3,296,038 4,970,955 6,698,248 12,035,702 2024-01-09 $473.38 $462.00 11.2% 3.3% 9.8% 7.4% 12.6% 2.5% 0.2% 1.18B -90.67B -674.2M 0.92 1.29 N/A N/A 3,456,020 3,194,094 6,728,409 13,269,217 2024-01-10 $476.02 $462.00 11.0% 3.2% 9.9% 5.8% 11.9% 2.4% 0.2% 6.66B -109.52B -664.1M 0.94 1.35 N/A N/A 3,570,012 3,365,415 6,835,755 13,285,883 2024-01-11 $475.87 $462.00 10.7% 3.1% 9.9% 3.7% 11.5% 2.1% 0.2% 2.66B -106.04B -653.8M 1.06 1.42 N/A N/A 4,459,681 4,734,695 7,018,771 13,608,476 2024-01-12 $476.50 $462.00 10.8% 3.1% 8.9% 4.4% 11.4% 2.2% 0.2% 6.41B -109.76B -661.1M 1.21 1.43 N/A N/A 3,559,717 4,321,123 7,152,339 13,886,078 2024-01-16 $474.19 $465.00 12.0% 3.4% 9.1% 13.4% 13.1% 3.0% -0.1% -4.13B -79.48B -688.9M 1.10 1.30 N/A N/A 3,970,796 4,348,578 6,984,150 13,769,256 2024-01-17 $471.75 $465.00 12.7% 3.6% 9.1% 18.3% 13.5% 3.5% -0.2% -8.88B -60.58B -696.1M 1.14 1.29 N/A N/A 3,983,340 4,538,840 7,083,452 13,891,258 2024-01-18 $476.31 $465.00 12.1% 3.5% 9.4% 14.2% 13.2% 2.9% -0.2% 6.91B -104.41B -687.7M 1.09 1.38 N/A N/A 4,250,193 4,629,697 7,293,542 14,193,190 2024-01-19 $482.10 $465.00 11.4% 3.3% 10.2% 8.5% 12.6% 2.3% -0.1% 13.31B -150.98B -660.2M 1.11 1.53 N/A N/A 4,634,435 5,127,257 7,410,619 14,414,944 2024-01-22 $483.75 $467.00 11.1% 3.2% 9.4% 6.7% 12.2% 2.3% 0.0% 6.15B -105.12B -653.8M 1.06 1.64 N/A N/A 3,687,033 3,896,719 5,724,515 11,881,809 2024-01-23 $484.69 $469.00 10.6% 3.1% 9.3% 2.7% 11.3% 2.0% 0.1% 8.58B -112.39B -622.7M 1.09 1.77 N/A N/A 3,019,793 3,302,296 6,052,496 12,109,771 2024-01-24 $486.19 $470.00 10.8% 3.1% 9.3% 4.1% 11.6% 1.8% 0.0% 7.85B -114.13B -668.0M 1.14 1.78 N/A N/A 4,238,028 4,825,503 6,104,988 12,622,673 2024-01-25 $486.99 $470.00 11.1% 3.2% 9.2% 6.3% 12.4% 1.9% -0.0% 7.52B -109.62B -681.4M 1.16 1.73 N/A N/A 3,471,243 4,033,533 6,349,825 13,495,363 2024-01-26 $487.19 $470.00 11.0% 3.2% 9.2% 5.7% 12.1% 1.7% -0.0% 5.28B -109.80B -680.3M 1.20 1.80 N/A N/A 3,497,388 4,207,026 6,451,850 13,799,925 2024-01-29 $490.45 $470.00 11.3% 3.4% 9.3% 8.0% 12.7% 1.9% 0.1% 9.60B -122.40B -672.7M 1.23 2.00 N/A N/A 3,095,239 3,821,048 6,213,636 13,633,175 2024-01-30 $491.13 $470.00 11.2% 3.4% 9.1% 6.9% 12.0% 1.6% 0.1% 7.15B -125.75B -646.2M 1.12 1.93 N/A N/A 2,741,233 3,063,513 6,272,936 13,905,465 2024-01-31 $483.63 $472.00 12.0% 3.5% 10.3% 13.0% 12.6% 2.5% 0.1% -7.54B -61.78B -713.2M 1.00 2.19 N/A N/A 4,175,189 4,185,631 6,379,293 14,063,041
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