SPY Options History — March 2024 In March 2024, SPY traded between $505.75 and $523.92. ATM implied volatility averaged 11.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 1.1% (HV 20d: 12.8%). Max pain ranged from $482.00 to $506.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.24.
Notable Days 2024-03-08 : Highest Volume — 12,224,059 contracts2024-03-05 : Largest IV spike — 9.2% change2024-03-11 : Highest IV Rank — 20.5%2024-03-11 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $515.76 $505.75 $523.92 $512.89 $523.92 Max Pain $499.60 $482.00 $506.00 $482.00 $506.00 ATM IV 11.7% 10.6% 13.0% 11.1% 10.7% Expected Move 3.4% 3.0% 3.7% 3.3% 3.0% HV 20d 12.8% 10.7% 14.8% 13.5% 10.7% HV 60d 11.6% 11.1% 11.8% 11.1% 11.5% IV Rank 11.9% 4.3% 20.5% 6.7% 4.8% IV Percentile 30.5% 2.0% 54.8% 14.3% 2.8% Term Structure 0.1% -0.2% 0.3% 0.0% -0.1% VWIV 12.7% 10.4% 14.5% 12.6% 11.2% Skew 25d 2.0% 1.5% 2.6% 1.5% 2.0% Skew 10d 5.7% 4.1% 7.3% 4.3% 5.5% Call IV 25d 11.0% 9.9% 12.0% 10.7% 9.9% Put IV 25d 13.0% 11.7% 14.4% 12.2% 11.9% Bid-Ask Spread % 1.36 1.06 1.90 1.90 1.62 Gamma HHI 0.04 0.02 0.09 0.09 0.05 Net GEX 3.17B -10.30B 15.07B 15.07B 10.83B Net DEX -113.28B -157.12B -38.61B -157.12B -123.87B Net VEX -695.9M -747.0M -648.5M -648.5M -691.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.86 1.69 1.35 1.64 Total Volume 7,488,401.65 4,467,910 12,224,059 9,172,349 6,483,864 Total OI 21,698,258.05 18,915,571 24,038,478 21,893,230 21,080,911
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 2024-03-01 $512.89 $482.00 11.1% 3.3% 13.5% 6.7% 12.6% 1.5% 0.0% 15.07B -157.12B -648.5M 1.35 1.90 N/A N/A 3,895,182 5,277,167 6,349,808 15,543,422 2024-03-04 $512.65 $495.00 11.4% 3.3% 13.0% 9.0% 12.6% 1.6% 0.2% 3.93B -134.41B -655.1M 1.14 1.19 N/A N/A 2,870,646 3,261,265 6,163,066 15,840,120 2024-03-05 $505.75 $495.00 12.5% 3.6% 14.0% 16.9% 14.4% 2.5% 0.1% -8.43B -79.00B -699.0M 1.18 1.27 N/A N/A 4,310,125 5,093,050 6,253,896 15,913,467 2024-03-06 $509.88 $495.00 12.3% 3.6% 14.2% 15.2% 13.3% 2.2% 0.1% 4.23B -124.07B -680.8M 1.19 1.18 N/A N/A 4,142,043 4,911,031 6,506,241 16,015,589 2024-03-07 $515.34 $496.00 12.4% 3.6% 14.2% 16.2% 13.5% 1.8% 0.1% 8.88B -156.40B -663.3M 1.18 1.18 N/A N/A 3,492,734 4,119,152 6,551,777 16,316,870 2024-03-08 $512.26 $498.00 12.5% 3.6% 14.4% 17.3% 13.9% 2.2% 0.1% -1.42B -125.62B -708.3M 1.05 1.25 N/A N/A 5,956,918 6,267,141 6,655,798 16,553,466 2024-03-11 $511.47 $500.00 13.0% 3.7% 14.4% 20.5% 14.5% 2.5% -0.1% -49.4M -109.84B -714.9M 1.22 1.11 N/A N/A 3,300,641 4,019,711 6,761,971 16,450,885 2024-03-12 $516.78 $500.00 11.9% 3.4% 14.8% 12.3% 12.8% 1.7% 0.0% 11.64B -155.81B -666.8M 1.27 1.24 N/A N/A 3,993,610 5,071,755 6,900,364 16,646,061 2024-03-13 $515.86 $500.00 11.7% 3.4% 13.2% 10.6% 12.4% 1.9% 0.0% -834.0M -139.53B -686.7M 1.07 1.52 N/A N/A 3,133,649 3,348,766 6,913,847 17,041,783 2024-03-14 $513.33 $500.00 12.3% 3.5% 13.0% 16.2% 13.0% 2.6% 0.1% -3.06B -115.99B -718.2M 0.86 1.35 N/A N/A 5,710,763 4,919,134 7,026,977 17,011,501 2024-03-15 $509.56 $500.00 12.6% 3.6% 13.2% 18.2% 13.3% 2.5% -0.0% -10.30B -38.61B -747.0M 1.11 1.19 N/A N/A 3,724,938 4,142,355 5,988,263 17,293,511 2024-03-18 $513.85 $500.00 12.4% 3.6% 13.4% 17.1% 13.0% 2.4% 0.0% 4.12B -82.32B -710.6M 1.50 1.06 N/A N/A 2,434,739 3,640,329 5,564,666 13,350,905 2024-03-19 $515.14 $500.00 12.1% 3.5% 13.0% 14.5% 13.1% 2.1% 0.1% 3.01B -84.56B -706.5M 1.47 1.16 N/A N/A 2,715,730 3,978,564 5,556,855 13,796,689 2024-03-20 $519.75 $502.00 11.3% 3.2% 13.2% 9.0% 12.5% 1.8% 0.2% 9.22B -111.10B -693.8M 1.40 1.57 N/A N/A 2,684,805 3,755,546 5,607,274 14,078,545 2024-03-21 $522.72 $503.00 10.9% 3.1% 10.7% 6.5% 11.6% 1.6% 0.3% 9.15B -121.84B -692.0M 1.19 1.45 N/A N/A 3,246,715 3,874,313 5,625,884 14,358,434 2024-03-22 $521.87 $505.00 10.8% 3.1% 10.7% 5.9% 11.9% 1.7% 0.2% 878.0M -111.18B -698.7M 1.69 1.39 N/A N/A 2,631,115 4,437,980 5,783,194 14,622,793 2024-03-25 $520.55 $505.00 11.1% 3.1% 10.7% 7.9% 12.0% 2.0% -0.1% -2.43B -92.58B -723.4M 1.17 1.39 N/A N/A 2,181,478 2,551,088 5,728,638 14,786,400 2024-03-26 $519.38 $505.00 11.0% 3.1% 10.8% 8.1% 10.4% 1.9% -0.2% -861.7M -90.01B -705.5M 1.05 1.56 N/A N/A 2,174,996 2,292,914 5,829,608 14,691,056 2024-03-27 $522.33 $505.00 10.6% 3.0% 10.8% 4.3% 11.2% 1.8% -0.1% 9.91B -111.75B -707.0M 1.12 1.70 N/A N/A 2,692,811 3,029,270 5,938,636 14,865,990 2024-03-28 $523.92 $506.00 10.7% 3.0% 10.7% 4.8% 11.2% 2.0% -0.1% 10.83B -123.87B -691.9M 1.64 1.62 N/A N/A 2,457,519 4,026,345 5,990,339 15,090,572
« Feb 2024 | All History | Apr 2024 » Home SPY History March 2024