SPY Options History — June 2024 In June 2024, SPY traded between $526.18 and $547.98. ATM implied volatility averaged 10.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.1% (HV 20d: 7.8%). Max pain ranged from $500.00 to $531.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.20.
Notable Days 2024-06-28 : Highest Volume — 8,187,825 contracts2024-06-12 : Largest IV drop — 10.1% change2024-06-03 : Highest IV Rank — 18.0%2024-06-04 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $540.20 $526.18 $547.98 $526.18 $544.88 Max Pain $521.84 $500.00 $531.00 $500.00 $531.00 ATM IV 10.9% 10.0% 11.8% 11.8% 10.6% Expected Move 3.2% 2.9% 3.7% 3.7% 3.0% HV 20d 7.8% 6.5% 8.4% 7.5% 6.5% HV 60d 10.5% 10.3% 10.8% 10.6% 10.3% IV Rank 9.2% 0.0% 18.0% 18.0% 7.0% IV Percentile 16.4% 0.0% 45.6% 45.6% 5.2% Term Structure 0.2% -0.1% 0.3% 0.1% 0.1% VWIV 12.0% 10.6% 13.7% 13.3% 10.7% Skew 25d 2.3% 1.7% 2.9% 2.9% 2.5% Skew 10d 5.2% 3.7% 6.6% 5.8% 4.9% Call IV 25d 9.9% 9.3% 10.5% 10.5% 9.3% Put IV 25d 12.2% 11.0% 13.3% 13.3% 11.8% Bid-Ask Spread % 1.66 1.31 2.16 1.88 2.14 Gamma HHI 0.04 0.02 0.07 0.02 0.03 Net GEX 3.37B -3.77B 11.34B -1.10B -2.84B Net DEX -105.30B -160.28B -57.04B -78.96B -62.37B Net VEX -635.2M -675.6M -569.5M -663.2M -661.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.89 1.72 1.13 1.21 Total Volume 6,668,206.737 5,306,751 8,187,825 8,062,841 8,187,825 Total OI 19,256,695.316 16,481,666 20,871,805 18,637,306 17,676,591
Daily Data (19 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 2024-06-03 $526.18 $500.00 11.8% 3.7% 7.5% 18.0% 13.3% 2.9% 0.1% -1.10B -78.96B -663.2M 1.13 1.88 N/A N/A 3,782,446 4,280,395 5,768,523 12,868,783 2024-06-04 $527.63 $500.00 11.7% 3.7% 7.2% 16.8% 13.6% 2.8% 0.2% 945.6M -83.66B -675.6M 1.14 1.92 N/A N/A 3,490,046 3,995,472 5,907,416 13,087,787 2024-06-05 $533.68 $500.00 11.1% 3.5% 8.0% 10.0% 13.5% 2.6% 0.2% 7.26B -115.36B -665.6M 1.27 1.81 N/A N/A 3,204,021 4,066,943 5,928,640 13,241,253 2024-06-06 $534.07 $518.00 11.1% 3.2% 8.0% 9.8% 13.2% 2.3% 0.2% 3.91B -117.12B -638.4M 1.72 1.31 N/A N/A 2,407,154 4,134,303 5,994,976 13,550,993 2024-06-07 $534.08 $519.00 10.8% 3.2% 7.9% 7.0% 11.7% 2.1% 0.3% 2.43B -113.74B -632.2M 1.22 1.38 N/A N/A 3,222,517 3,924,216 5,993,506 14,365,076 2024-06-10 $534.97 $520.00 11.2% 3.2% 7.9% 10.8% 13.7% 2.2% -0.0% 2.89B -109.30B -642.0M 1.32 1.50 N/A N/A 2,325,000 3,066,534 5,810,097 14,147,344 2024-06-11 $536.20 $520.00 11.3% 3.2% 7.9% 11.9% 12.8% 2.2% -0.1% 3.63B -116.12B -628.8M 1.10 1.37 N/A N/A 2,808,570 3,085,884 5,787,982 14,300,227 2024-06-12 $540.65 $520.00 10.1% 2.9% 8.2% 0.0% 11.0% 1.7% 0.1% 8.69B -145.85B -569.5M 1.19 1.68 N/A N/A 3,329,369 3,976,544 5,851,924 14,406,968 2024-06-13 $542.76 $523.00 10.0% 2.9% 7.4% 0.0% 10.9% 1.7% 0.1% 6.69B -145.18B -595.0M 1.21 1.51 N/A N/A 2,881,180 3,495,487 5,944,340 14,653,630 2024-06-14 $541.98 $525.00 10.4% 3.0% 7.5% 4.3% 11.7% 2.3% 0.2% 3.49B -134.89B -626.5M 1.56 1.53 N/A N/A 2,603,288 4,063,129 5,991,146 14,859,229 2024-06-17 $547.80 $529.00 10.6% 3.0% 8.2% 7.2% 11.9% 2.0% 0.3% 11.34B -160.28B -602.1M 1.23 1.54 N/A N/A 3,357,928 4,131,917 5,820,032 14,474,927 2024-06-18 $547.98 $530.00 10.5% 3.0% 8.2% 6.4% 11.1% 2.2% 0.3% 9.58B -157.88B -586.7M 1.02 2.16 N/A N/A 2,801,618 2,869,070 5,876,431 14,866,900 2024-06-20 $547.43 $530.00 11.2% 3.2% 8.2% 13.5% 12.0% 2.4% 0.3% 4.33B -145.80B -608.0M 1.05 1.62 N/A N/A 3,912,178 4,126,175 5,855,005 15,016,800 2024-06-21 $544.47 $530.00 11.2% 3.2% 8.4% 13.1% 11.8% 2.3% 0.2% -3.77B -57.04B -656.4M 1.25 1.67 N/A N/A 2,737,217 3,411,352 4,662,992 15,341,191 2024-06-24 $543.98 $530.00 11.3% 3.2% 7.9% 14.6% 11.9% 2.6% 0.1% -1.11B -58.63B -654.6M 1.16 1.46 N/A N/A 2,974,329 3,442,196 4,381,298 12,100,368 2024-06-25 $544.52 $530.00 10.9% 3.1% 7.7% 10.7% 11.6% 2.5% 0.1% 2.19B -61.73B -660.5M 1.01 1.56 N/A N/A 2,752,139 2,778,132 4,471,256 12,518,213 2024-06-26 $544.76 $530.00 10.7% 3.0% 7.6% 8.1% 10.6% 2.5% 0.1% 1.85B -66.45B -646.1M 0.89 1.74 N/A N/A 2,808,124 2,498,627 4,475,773 12,606,694 2024-06-27 $545.71 $530.00 10.5% 2.9% 7.4% 5.6% 10.8% 2.4% 0.1% 3.62B -70.32B -656.3M 1.09 1.82 N/A N/A 2,753,030 3,011,573 4,528,003 12,744,897 2024-06-28 $544.88 $531.00 10.6% 3.0% 6.5% 7.0% 10.7% 2.5% 0.1% -2.84B -62.37B -661.2M 1.21 2.14 N/A N/A 3,697,526 4,490,299 4,585,553 13,091,038
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