SPY Options History — July 2024 In July 2024, SPY traded between $540.95 and $564.20. ATM implied volatility averaged 12.3%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.4% (HV 20d: 9.0%). Max pain ranged from $533.00 to $549.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.10.
Notable Days 2024-07-25 : Highest Volume — 9,816,686 contracts2024-07-24 : Largest IV spike — 19.1% change2024-07-30 : Highest IV Rank — 62.4%2024-07-30 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $552.14 $540.95 $564.20 $544.67 $552.00 Max Pain $542.95 $533.00 $549.00 $533.00 $544.00 ATM IV 12.3% 10.2% 15.6% 10.3% 14.3% Expected Move 3.6% 2.7% 4.7% 2.8% 4.2% HV 20d 9.0% 6.2% 14.5% 6.6% 14.5% HV 60d 9.4% 8.7% 10.1% 10.0% 10.1% IV Rank 26.0% 2.1% 62.4% 3.5% 47.8% IV Percentile 43.6% 0.8% 89.7% 1.6% 80.6% Term Structure 0.1% -0.4% 0.4% 0.4% -0.4% VWIV 13.1% 9.7% 16.7% 10.3% 15.5% Skew 25d 2.9% 1.9% 4.1% 2.5% 3.3% Skew 10d 6.6% 4.1% 9.2% 5.8% 7.9% Call IV 25d 10.9% 8.6% 13.7% 8.9% 12.5% Put IV 25d 13.8% 11.2% 17.4% 11.5% 15.8% Bid-Ask Spread % 1.34 1.03 1.90 1.84 1.90 Gamma HHI 0.04 0.02 0.09 0.03 0.02 Net GEX 249.4M -13.02B 11.16B -2.77B 1.51B Net DEX -65.81B -119.31B 18.90B -58.13B -68.22B Net VEX -692.0M -789.0M -620.7M -660.4M -716.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.92 1.33 1.20 1.33 Total Volume 7,225,727.273 4,018,814 9,816,686 6,322,709 7,661,613 Total OI 17,369,445.091 16,248,812 18,929,961 16,291,464 17,070,917
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 2024-07-01 $544.67 $533.00 10.3% 2.8% 6.6% 3.5% 10.3% 2.5% 0.4% -2.77B -58.13B -660.4M 1.20 1.84 N/A N/A 2,870,531 3,452,178 4,431,689 11,859,775 2024-07-02 $548.12 $533.00 10.2% 2.7% 6.7% 2.1% 9.7% 2.6% 0.4% 8.14B -80.14B -648.3M 1.15 1.78 N/A N/A 2,817,466 3,250,718 4,528,662 12,101,681 2024-07-03 $550.62 $533.00 10.3% 2.7% 6.8% 3.6% 9.9% 2.5% 0.1% 8.88B -92.34B -632.3M 1.08 1.71 N/A N/A 1,936,654 2,082,160 4,558,713 12,264,063 2024-07-05 $554.82 $535.00 10.3% 3.1% 6.2% 3.8% 11.8% 2.4% 0.1% 10.93B -107.95B -620.7M 1.23 1.23 N/A N/A 2,616,979 3,216,652 4,553,568 12,301,971 2024-07-08 $554.86 $540.00 10.5% 3.1% 6.2% 5.4% 11.8% 2.4% 0.3% 4.34B -97.41B -622.0M 1.12 1.23 N/A N/A 2,473,340 2,760,946 4,503,540 12,359,711 2024-07-09 $555.72 $540.00 10.5% 3.1% 6.2% 6.1% 11.5% 2.5% 0.2% 6.02B -96.96B -636.0M 1.14 1.21 N/A N/A 2,456,579 2,789,162 4,591,786 12,510,705 2024-07-10 $560.41 $540.00 10.7% 3.1% 6.6% 8.1% 12.1% 2.3% 0.2% 10.58B -117.05B -628.9M 1.17 1.17 N/A N/A 2,798,495 3,286,093 4,634,969 12,693,641 2024-07-11 $557.09 $545.00 10.9% 3.2% 7.2% 10.1% 11.9% 2.4% 0.2% -995.2M -89.34B -680.3M 1.04 1.21 N/A N/A 3,932,348 4,084,998 4,870,483 13,213,824 2024-07-12 $560.61 $545.00 10.4% 3.0% 7.0% 4.3% 11.0% 1.9% 0.2% 11.16B -116.22B -652.5M 1.04 1.32 N/A N/A 3,868,384 4,017,885 4,988,863 13,220,036 2024-07-15 $560.76 $546.00 11.0% 3.2% 7.0% 11.7% 11.7% 2.1% 0.1% 3.28B -103.99B -646.2M 1.13 1.26 N/A N/A 3,956,333 4,472,691 4,827,641 12,869,872 2024-07-16 $564.20 $547.00 11.1% 3.2% 7.1% 12.9% 12.5% 2.1% 0.1% 9.59B -119.31B -661.2M 1.08 1.24 N/A N/A 3,554,601 3,825,731 4,976,140 13,428,086 2024-07-17 $557.27 $549.00 12.3% 3.5% 8.0% 25.6% 13.1% 2.8% -0.0% -4.93B -73.36B -688.4M 0.92 1.16 N/A N/A 3,919,851 3,603,873 4,956,225 13,596,889 2024-07-18 $552.69 $548.00 13.1% 3.8% 8.6% 34.5% 14.2% 3.6% 0.1% -8.96B -44.58B -745.2M 1.00 1.15 N/A N/A 4,588,135 4,611,300 5,177,495 13,640,695 2024-07-19 $548.62 $548.00 13.9% 4.0% 9.0% 42.9% 15.3% 4.0% -0.1% -11.39B -29.40B -738.7M 0.96 1.03 N/A N/A 4,206,970 4,050,218 5,264,332 13,665,629 2024-07-22 $554.99 $547.00 12.8% 3.7% 9.6% 31.2% 13.7% 3.0% 0.1% 2.71B -64.07B -708.0M 1.13 1.27 N/A N/A 3,437,285 3,899,362 4,843,110 11,405,702 2024-07-23 $554.15 $546.00 12.8% 3.7% 9.7% 31.5% 13.3% 2.9% 0.2% -1.62B -58.21B -700.4M 1.00 1.33 N/A N/A 3,148,251 3,135,724 4,786,285 12,007,571 2024-07-24 $542.07 $547.00 15.3% 4.5% 12.6% 58.5% 16.3% 4.1% -0.0% -13.02B 18.90B -785.4M 0.98 1.10 N/A N/A 4,741,753 4,663,296 4,816,680 12,125,488 2024-07-25 $540.95 $545.00 15.5% 4.5% 12.7% 60.9% 16.1% 3.8% -0.0% -10.46B 11.11B -789.0M 0.97 1.16 N/A N/A 4,973,038 4,843,648 5,264,015 12,234,366 2024-07-26 $544.28 $545.00 14.7% 4.3% 12.8% 52.5% 15.5% 3.4% 0.1% -5.08B -20.27B -767.1M 1.12 1.29 N/A N/A 3,718,156 4,175,297 5,266,267 12,194,935 2024-07-29 $546.01 $545.00 14.7% 4.4% 12.9% 52.4% 15.5% 3.2% -0.4% -3.42B -32.21B -734.8M 1.15 1.49 N/A N/A 3,373,405 3,890,243 4,915,985 11,676,850 2024-07-30 $542.16 $544.00 15.6% 4.7% 13.1% 62.4% 16.7% 3.4% -0.4% -8.99B -8.65B -762.0M 1.14 1.49 N/A N/A 3,641,279 4,162,379 4,950,722 11,978,215 2024-07-31 $552.00 $544.00 14.3% 4.2% 14.5% 47.8% 15.5% 3.3% -0.4% 1.51B -68.22B -716.8M 1.33 1.90 N/A N/A 3,292,944 4,368,669 5,008,873 12,062,044
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