SPY Options History — May 2024 In May 2024, SPY traded between $503.39 and $530.95. ATM implied volatility averaged 11.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.4% (HV 20d: 11.0%). Max pain ranged from $489.00 to $505.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.29.
Notable Days 2024-05-23 : Highest Volume — 8,684,098 contracts2024-05-03 : Largest IV drop — 10.0% change2024-05-02 : Highest IV Rank — 38.7%2024-05-02 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $522.14 $503.39 $530.95 $503.39 $523.99 Max Pain $495.36 $489.00 $505.00 $505.00 $500.00 ATM IV 11.5% 10.2% 13.6% 13.5% 11.7% Expected Move 3.4% 2.9% 4.2% 4.1% 3.5% HV 20d 11.0% 8.1% 14.2% 13.6% 8.8% HV 60d 11.8% 10.8% 12.7% 12.5% 10.8% IV Rank 14.1% 0.0% 38.7% 37.6% 17.1% IV Percentile 28.1% 0.0% 69.0% 68.3% 44.0% Term Structure 0.1% -0.3% 0.7% -0.0% -0.3% VWIV 12.9% 11.1% 14.9% 14.9% 12.9% Skew 25d 2.5% 1.6% 3.7% 2.7% 3.3% Skew 10d 5.8% 4.1% 8.3% 6.4% 6.3% Call IV 25d 10.3% 9.0% 12.4% 12.1% 10.4% Put IV 25d 12.8% 11.3% 14.8% 14.8% 13.7% Bid-Ask Spread % 1.78 1.34 2.35 2.35 2.02 Gamma HHI 0.04 0.02 0.06 0.03 0.02 Net GEX 1.14B -9.53B 11.32B -7.08B -3.25B Net DEX -91.18B -146.91B -18.37B -18.37B -68.96B Net VEX -664.2M -739.1M -594.6M -739.1M -677.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 0.95 1.97 1.31 0.95 Total Volume 6,398,127.636 4,124,461 8,684,098 7,881,625 7,920,762 Total OI 19,467,265.545 17,908,375 21,580,551 18,121,820 20,017,779
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 2024-05-01 $503.39 $505.00 13.5% 4.1% 13.6% 37.6% 14.9% 2.7% -0.0% -7.08B -18.37B -739.1M 1.31 2.35 N/A N/A 3,418,982 4,462,643 5,961,610 12,160,210 2024-05-02 $504.17 $505.00 13.6% 4.2% 13.2% 38.7% 14.5% 2.5% -0.0% -4.72B -29.85B -726.4M 1.09 1.66 N/A N/A 3,549,284 3,862,338 6,022,049 12,290,333 2024-05-03 $511.50 $505.00 12.3% 3.5% 13.8% 23.2% 13.1% 2.1% 0.2% 5.04B -76.73B -693.7M 1.33 1.52 N/A N/A 3,512,410 4,671,099 6,045,417 12,382,455 2024-05-06 $515.43 $489.00 12.2% 3.6% 14.1% 22.1% 14.8% 2.1% 0.4% 6.05B -91.38B -664.1M 1.97 1.39 N/A N/A 2,534,301 4,993,597 5,815,777 12,092,598 2024-05-07 $517.16 $490.00 11.8% 3.5% 14.2% 17.7% 13.9% 2.1% 0.5% 6.26B -94.39B -674.8M 1.32 1.34 N/A N/A 2,800,404 3,688,069 5,875,290 13,442,078 2024-05-08 $517.41 $490.00 11.5% 3.5% 14.0% 14.3% 13.0% 2.1% 0.6% 1.77B -95.19B -651.5M 1.40 1.35 N/A N/A 2,264,976 3,181,260 5,914,695 13,601,633 2024-05-09 $519.72 $490.00 11.3% 3.4% 13.7% 11.6% 13.1% 2.0% 0.6% 6.38B -107.61B -647.0M 1.25 1.38 N/A N/A 2,999,253 3,753,365 5,935,934 13,785,348 2024-05-10 $520.87 $490.00 11.1% 3.3% 12.2% 9.2% 13.0% 2.0% 0.7% 5.94B -108.77B -668.9M 1.16 1.61 N/A N/A 3,171,944 3,665,499 6,070,410 14,324,309 2024-05-13 $520.77 $490.00 12.0% 3.5% 11.2% 19.6% 13.2% 2.3% 0.0% 385.5M -95.20B -670.4M 1.20 1.46 N/A N/A 2,213,586 2,645,825 5,894,309 14,258,852 2024-05-14 $523.51 $492.00 11.6% 3.4% 11.3% 15.8% 12.6% 2.1% 0.0% 5.74B -113.52B -634.1M 1.29 1.45 N/A N/A 2,542,961 3,269,139 5,877,756 14,339,348 2024-05-15 $529.36 $492.00 10.7% 3.1% 11.2% 5.6% 12.2% 1.6% 0.1% 11.32B -146.91B -594.6M 1.43 1.64 N/A N/A 3,156,666 4,514,343 5,928,961 14,581,090 2024-05-16 $529.01 $493.00 10.7% 3.1% 11.1% 4.7% 11.6% 1.7% 0.2% 3.87B -133.95B -627.5M 1.19 1.84 N/A N/A 2,717,328 3,221,215 6,068,478 15,394,077 2024-05-17 $529.00 $493.00 10.4% 3.0% 9.8% 1.4% 11.9% 1.8% 0.2% 1.59B -123.78B -660.2M 1.35 1.94 N/A N/A 2,270,082 3,062,576 6,119,815 15,460,736 2024-05-20 $529.85 $495.00 10.7% 3.1% 9.4% 5.1% 11.6% 2.2% -0.1% 4.50B -109.99B -638.0M 1.55 2.10 N/A N/A 2,223,768 3,439,250 5,566,890 12,403,429 2024-05-21 $530.95 $495.00 10.5% 3.0% 8.8% 2.6% 11.2% 2.3% -0.1% 6.22B -116.26B -620.7M 1.12 1.90 N/A N/A 2,208,693 2,471,533 5,655,715 13,055,317 2024-05-22 $528.81 $495.00 10.8% 3.1% 9.1% 7.0% 12.3% 3.1% -0.1% -833.0M -94.32B -664.0M 1.35 2.11 N/A N/A 1,753,978 2,370,483 5,687,897 13,145,263 2024-05-23 $525.45 $495.00 11.2% 3.2% 9.2% 11.1% 11.9% 3.1% -0.2% -7.53B -71.26B -657.2M 1.14 1.86 N/A N/A 4,049,346 4,634,752 5,755,170 13,318,593 2024-05-24 $529.05 $497.00 10.2% 2.9% 8.7% 0.0% 11.1% 2.7% -0.1% 1.51B -98.10B -660.0M 1.37 2.19 N/A N/A 2,539,699 3,472,278 5,986,865 13,595,373 2024-05-28 $528.70 $498.00 10.9% 3.2% 8.7% 7.2% 12.9% 3.4% -0.1% -2.18B -88.80B -662.6M 1.26 2.03 N/A N/A 2,485,960 3,125,619 5,746,763 13,460,335 2024-05-29 $526.63 $499.00 11.5% 3.4% 8.1% 14.2% 14.0% 3.7% -0.2% -6.38B -71.98B -688.8M 1.19 1.99 N/A N/A 2,620,953 3,105,950 5,827,492 13,626,947 2024-05-30 $522.39 $500.00 12.3% 3.7% 8.8% 23.7% 13.8% 3.7% -0.3% -9.53B -50.64B -692.0M 1.16 2.12 N/A N/A 2,866,074 3,326,565 5,980,253 13,806,193 2024-05-31 $523.99 $500.00 11.7% 3.5% 8.8% 17.1% 12.9% 3.3% -0.3% -3.25B -68.96B -677.7M 0.95 2.02 N/A N/A 4,055,698 3,865,064 6,130,198 13,887,581
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