SPY Options History — February 2024 In February 2024, SPY traded between $488.76 and $508.60. ATM implied volatility averaged 11.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.9% (HV 20d: 12.5%). Max pain ranged from $465.00 to $480.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.15.
Notable Days 2024-02-02 : Highest Volume — 10,774,010 contracts2024-02-13 : Largest IV spike — 11.5% change2024-02-13 : Highest IV Rank — 20.8%2024-02-20 : Largest Expected Move — 3.8%Monthly Statistics Metric Avg Min Max Open Close Price $499.78 $488.76 $508.60 $488.76 $508.60 Max Pain $474.25 $465.00 $480.00 $465.00 $480.00 ATM IV 11.6% 10.8% 13.0% 11.5% 11.2% Expected Move 3.4% 3.2% 3.8% 3.4% 3.3% HV 20d 12.5% 10.6% 15.0% 10.6% 13.7% HV 60d 10.3% 9.1% 11.1% 10.0% 11.1% IV Rank 10.4% 3.9% 20.8% 9.4% 7.2% IV Percentile 25.4% 4.4% 49.2% 21.4% 16.3% Term Structure 0.1% -0.2% 0.5% 0.2% -0.0% VWIV 13.1% 12.0% 14.7% 13.3% 12.7% Skew 25d 2.1% 1.4% 3.6% 2.3% 1.7% Skew 10d 6.0% 3.5% 8.1% 6.0% 4.2% Call IV 25d 10.9% 10.1% 11.8% 10.6% 10.8% Put IV 25d 13.0% 11.6% 15.2% 12.9% 12.4% Bid-Ask Spread % 1.59 1.22 1.90 1.22 1.81 Gamma HHI 0.05 0.02 0.14 0.03 0.05 Net GEX 5.29B -8.16B 15.49B 3.71B 8.15B Net DEX -127.08B -163.96B -63.26B -99.87B -140.44B Net VEX -674.1M -752.8M -628.2M -689.5M -638.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.93 1.33 1.21 0.95 Total Volume 7,895,174 5,817,604 10,774,010 8,409,931 7,035,625 Total OI 21,911,376.4 20,152,856 24,370,090 20,152,856 22,576,822
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 2024-02-01 $488.76 $465.00 11.5% 3.4% 10.6% 9.4% 13.3% 2.3% 0.2% 3.71B -99.87B -689.5M 1.21 1.22 N/A N/A 3,806,535 4,603,396 6,323,861 13,828,995 2024-02-02 $494.94 $466.00 11.2% 3.4% 11.1% 7.3% 13.3% 1.8% 0.2% 15.49B -141.20B -661.1M 1.13 1.35 N/A N/A 5,058,719 5,715,291 6,441,049 14,184,886 2024-02-05 $493.06 $470.00 11.2% 3.3% 11.3% 7.1% 13.2% 2.1% 0.4% 4.51B -120.60B -646.9M 1.01 1.30 N/A N/A 4,127,785 4,165,609 6,364,197 14,371,223 2024-02-06 $492.88 $470.00 11.0% 3.3% 10.6% 5.5% 12.3% 1.9% 0.5% 4.92B -117.86B -649.3M 0.93 1.38 N/A N/A 3,790,224 3,506,497 6,500,338 14,476,375 2024-02-07 $498.12 $470.00 10.8% 3.2% 10.9% 3.9% 13.0% 1.4% 0.5% 11.79B -152.13B -634.9M 1.29 1.46 N/A N/A 3,724,286 4,809,525 6,492,591 14,556,997 2024-02-08 $498.28 $470.00 10.8% 3.2% 10.9% 4.2% 12.0% 1.6% 0.5% 6.03B -144.71B -649.5M 1.01 1.38 N/A N/A 2,895,454 2,922,150 6,606,878 15,416,360 2024-02-09 $500.78 $470.00 10.9% 3.2% 10.9% 4.8% 12.7% 1.4% 0.5% 12.45B -157.38B -658.0M 1.05 1.48 N/A N/A 3,373,271 3,539,929 6,685,337 15,591,394 2024-02-12 $501.12 $474.00 11.7% 3.4% 10.9% 10.7% 12.9% 2.2% 0.1% 5.67B -142.93B -675.9M 1.19 1.53 N/A N/A 3,438,702 4,101,308 6,479,743 15,357,615 2024-02-13 $492.81 $475.00 13.0% 3.7% 12.6% 20.8% 14.6% 3.6% -0.0% -5.34B -71.16B -752.8M 1.21 1.70 N/A N/A 4,635,000 5,592,390 6,719,644 16,068,267 2024-02-14 $498.38 $475.00 11.9% 3.4% 12.8% 12.5% 13.2% 2.6% 0.1% 8.99B -137.80B -709.9M 1.09 1.45 N/A N/A 4,301,948 4,680,773 7,191,008 16,263,705 2024-02-15 $501.30 $475.00 12.0% 3.4% 12.6% 13.1% 12.9% 2.2% 0.0% 11.52B -156.58B -711.9M 1.14 1.52 N/A N/A 3,688,337 4,217,916 7,103,636 16,571,981 2024-02-16 $499.75 $475.00 12.1% 3.5% 12.2% 14.1% 13.7% 2.5% 0.0% 1.68B -138.27B -709.7M 1.23 1.54 N/A N/A 3,811,721 4,706,224 7,156,052 17,214,038 2024-02-20 $496.01 $477.00 12.9% 3.8% 12.6% 20.2% 14.5% 3.1% -0.2% -8.16B -63.26B -744.5M 1.06 1.55 N/A N/A 4,185,648 4,446,238 6,024,747 14,858,819 2024-02-21 $495.90 $477.00 12.8% 3.7% 12.6% 19.5% 14.7% 3.1% -0.2% -1.99B -68.65B -740.8M 1.22 1.86 N/A N/A 2,897,823 3,527,965 6,248,818 14,962,456 2024-02-22 $507.75 $477.00 12.1% 3.5% 14.9% 13.9% 13.2% 1.9% -0.2% 13.01B -163.96B -628.2M 1.22 1.83 N/A N/A 4,371,204 5,327,957 6,248,714 15,077,690 2024-02-23 $508.25 $479.00 11.5% 3.3% 14.9% 9.5% 12.6% 1.5% -0.1% 11.14B -153.75B -645.0M 1.15 1.90 N/A N/A 3,770,159 4,321,916 6,327,438 15,949,438 2024-02-26 $506.63 $480.00 11.5% 3.4% 15.0% 9.3% 12.9% 1.7% 0.0% -367.2M -126.19B -640.1M 1.30 1.80 N/A N/A 2,705,397 3,511,028 6,181,583 15,538,391 2024-02-27 $506.72 $480.00 11.3% 3.4% 14.9% 7.6% 12.3% 1.6% -0.0% 3.43B -126.92B -648.5M 1.33 1.83 N/A N/A 2,690,877 3,571,789 6,265,876 15,735,794 2024-02-28 $505.62 $480.00 11.3% 3.4% 15.0% 8.3% 12.9% 1.9% -0.0% -770.8M -117.93B -647.8M 1.25 1.82 N/A N/A 2,816,734 3,510,130 6,325,277 15,939,495 2024-02-29 $508.60 $480.00 11.2% 3.3% 13.7% 7.2% 12.7% 1.7% -0.0% 8.15B -140.44B -638.2M 0.95 1.81 N/A N/A 3,615,490 3,420,135 6,432,776 16,144,046
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