SPY Options History — April 2024 In April 2024, SPY traded between $494.19 and $522.11. ATM implied volatility averaged 14.2%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.9% (HV 20d: 11.3%). Max pain ranged from $505.00 to $510.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.19.
Notable Days 2024-04-15 : Highest Volume — 10,470,769 contracts2024-04-04 : Largest IV spike — 15.1% change2024-04-19 : Highest IV Rank — 75.9%2024-04-19 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $509.71 $494.19 $522.11 $522.11 $504.56 Max Pain $508.00 $505.00 $510.00 $505.00 $505.00 ATM IV 14.2% 11.4% 16.9% 11.4% 13.7% Expected Move 4.1% 3.2% 4.9% 3.2% 4.2% HV 20d 11.3% 9.2% 13.7% 10.5% 13.7% HV 60d 12.2% 11.5% 13.0% 11.5% 12.5% IV Rank 45.3% 13.1% 75.9% 13.1% 39.8% IV Percentile 71.9% 25.4% 94.8% 25.4% 69.4% Term Structure -0.1% -0.4% 0.7% 0.7% -0.0% VWIV 15.1% 12.0% 17.6% 12.0% 15.3% Skew 25d 3.4% 2.3% 4.8% 2.3% 2.9% Skew 10d 7.7% 5.6% 10.5% 6.2% 6.8% Call IV 25d 12.5% 10.1% 14.8% 10.1% 12.2% Put IV 25d 15.9% 12.4% 18.9% 12.4% 15.1% Bid-Ask Spread % 1.34 1.05 1.75 1.71 1.43 Gamma HHI 0.03 0.02 0.06 0.02 0.03 Net GEX -5.72B -17.59B 4.12B 1.25B -8.79B Net DEX -37.72B -94.29B 49.33B -94.29B -20.70B Net VEX -789.8M -862.1M -725.1M -725.1M -754.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.19 0.94 1.45 0.94 1.17 Total Volume 7,873,961.182 5,518,541 10,470,769 6,233,079 7,010,163 Total OI 20,814,415.227 18,496,842 22,211,825 20,563,124 18,711,086
Daily Data (22 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 2024-04-01 $522.11 $505.00 11.4% 3.2% 10.5% 13.1% 12.0% 2.3% 0.7% 1.25B -94.29B -725.1M 0.94 1.71 N/A N/A 3,221,263 3,011,816 5,849,097 14,714,027 2024-04-02 $518.61 $507.00 12.4% 3.5% 10.8% 24.1% 13.1% 2.9% -0.0% -4.80B -70.28B -773.4M 0.97 1.64 N/A N/A 3,287,608 3,195,088 6,069,285 14,895,423 2024-04-03 $519.55 $507.00 12.4% 3.4% 9.5% 24.7% 12.1% 2.6% -0.0% 3.11B -87.48B -768.8M 1.13 1.73 N/A N/A 2,744,491 3,090,574 6,302,493 15,108,333 2024-04-04 $513.73 $510.00 14.3% 4.1% 10.1% 46.1% 14.6% 3.6% -0.2% -8.38B -36.95B -815.6M 1.29 1.75 N/A N/A 3,961,400 5,096,169 6,346,341 15,223,302 2024-04-05 $518.38 $510.00 14.0% 4.0% 9.9% 43.0% 15.5% 3.4% -0.2% -644.3M -75.15B -804.4M 1.45 1.16 N/A N/A 3,554,841 5,167,131 6,538,167 15,520,189 2024-04-08 $518.78 $510.00 13.2% 3.8% 9.6% 33.2% 14.1% 3.3% 0.1% -1.50B -80.13B -758.7M 1.29 1.08 N/A N/A 2,411,175 3,107,366 6,199,695 15,173,431 2024-04-09 $517.77 $510.00 13.5% 3.9% 9.6% 36.5% 15.1% 3.5% 0.0% -3.86B -70.80B -776.4M 1.11 1.05 N/A N/A 3,566,503 3,962,361 6,217,874 15,160,849 2024-04-10 $514.42 $510.00 13.8% 4.0% 9.2% 40.7% 15.2% 3.4% -0.0% -9.23B -47.06B -800.2M 1.13 1.15 N/A N/A 3,996,801 4,535,400 6,438,234 15,345,516 2024-04-11 $519.17 $510.00 13.2% 3.8% 9.8% 33.4% 14.3% 3.1% 0.1% 4.12B -91.61B -776.9M 1.05 1.06 N/A N/A 4,039,948 4,239,989 6,518,632 15,431,144 2024-04-12 $510.72 $510.00 15.0% 4.3% 11.3% 54.1% 16.0% 4.2% -0.0% -13.16B -19.26B -850.3M 1.03 1.23 N/A N/A 4,835,635 4,981,982 6,618,518 15,593,307 2024-04-15 $504.51 $510.00 16.7% 4.8% 11.8% 72.9% 17.3% 4.8% -0.1% -13.60B 13.68B -862.1M 1.12 1.28 N/A N/A 4,946,936 5,523,833 6,696,507 15,139,575 2024-04-16 $504.55 $510.00 15.9% 4.6% 11.4% 64.8% 16.4% 4.3% 0.0% -10.57B 59.9M -847.7M 1.20 1.23 N/A N/A 3,542,469 4,266,107 6,887,904 15,236,838 2024-04-17 $501.17 $510.00 16.3% 4.7% 11.5% 69.2% 16.9% 4.2% -0.2% -14.81B 18.38B -830.8M 1.31 1.28 N/A N/A 3,932,532 5,166,130 6,805,113 15,170,861 2024-04-18 $500.01 $510.00 16.0% 4.6% 10.8% 65.7% 16.9% 3.9% -0.1% -13.83B 12.29B -832.7M 1.28 1.16 N/A N/A 3,613,635 4,642,506 6,923,629 15,118,425 2024-04-19 $494.19 $509.00 16.9% 4.9% 11.0% 75.9% 17.6% 4.0% -0.0% -17.59B 49.33B -832.3M 1.31 1.41 N/A N/A 4,232,805 5,542,122 6,990,274 15,180,330 2024-04-22 $499.76 $506.00 15.1% 4.3% 12.0% 55.0% 16.1% 3.1% -0.3% -4.63B -6.88B -779.6M 1.22 1.28 N/A N/A 3,828,800 4,666,373 6,221,085 12,394,095 2024-04-23 $505.47 $506.00 14.1% 4.0% 12.9% 44.5% 14.4% 2.8% -0.3% 1.40B -50.05B -746.3M 1.35 1.39 N/A N/A 3,144,789 4,245,313 6,261,346 12,618,865 2024-04-24 $505.61 $506.00 14.0% 4.0% 13.0% 42.5% 14.7% 3.0% -0.3% -3.04B -39.96B -771.8M 1.16 1.21 N/A N/A 3,390,339 3,945,694 6,243,779 12,859,834 2024-04-25 $502.88 $505.00 14.6% 4.2% 12.8% 49.4% 15.7% 3.2% -0.4% -7.50B -16.71B -784.6M 1.18 1.40 N/A N/A 3,658,616 4,326,093 6,296,040 12,967,691 2024-04-26 $508.81 $505.00 13.3% 3.8% 13.6% 34.4% 14.5% 2.8% -0.3% 1.92B -61.24B -758.6M 1.24 1.46 N/A N/A 3,111,721 3,860,148 6,339,089 13,094,070 2024-04-29 $508.94 $505.00 13.1% 3.9% 13.5% 33.0% 14.7% 2.7% 0.1% -1.68B -55.00B -725.4M 1.16 1.41 N/A N/A 3,066,463 3,556,018 6,152,178 12,344,664 2024-04-30 $504.56 $505.00 13.7% 4.2% 13.7% 39.8% 15.3% 2.9% -0.0% -8.79B -20.70B -754.8M 1.17 1.43 N/A N/A 3,225,905 3,784,258 6,175,711 12,535,375
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