SPY Options History — August 2024 In August 2024, SPY traded between $515.42 and $561.67. ATM implied volatility averaged 15.9%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 5.7% (HV 20d: 21.6%). Max pain ranged from $530.00 to $544.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.23.
Notable Days 2024-08-01 : Highest Volume — 10,437,049 contracts2024-08-05 : Largest IV spike — 47.3% change2024-08-02 : Highest IV Rank — 100.0%2024-08-05 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $546.20 $515.42 $561.67 $541.46 $561.67 Max Pain $535.73 $530.00 $544.00 $544.00 $540.00 ATM IV 15.9% 11.6% 29.4% 16.7% 11.6% Expected Move 4.6% 3.5% 8.0% 5.1% 3.5% HV 20d 21.6% 16.0% 23.9% 16.0% 18.7% HV 60d 14.5% 10.8% 15.3% 10.8% 15.1% IV Rank 34.3% 8.3% 100.0% 74.5% 8.3% IV Percentile 78.7% 41.7% 100.0% 95.2% 41.7% Term Structure -0.2% -0.7% 0.5% -0.5% 0.5% VWIV 17.8% 13.4% 30.8% 17.7% 13.4% Skew 25d 5.5% 3.4% 14.1% 4.0% 4.1% Skew 10d 11.9% 6.6% 31.0% 8.8% 8.4% Call IV 25d 13.3% 9.9% 22.6% 14.5% 9.9% Put IV 25d 18.7% 14.0% 36.7% 18.5% 14.0% Bid-Ask Spread % 1.55 1.19 3.23 1.48 1.46 Gamma HHI 0.03 0.02 0.07 0.03 0.03 Net GEX -1.33B -13.78B 9.07B -10.33B 5.25B Net DEX -34.69B -101.48B 123.67B 5.11B -91.47B Net VEX -786.9M -947.3M -698.5M -798.7M -738.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.93 1.62 1.07 1.04 Total Volume 7,360,541.773 5,521,842 10,437,049 10,437,049 6,501,557 Total OI 18,660,601 17,087,198 20,445,695 17,087,198 20,445,695
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 2024-08-01 $541.46 $544.00 16.7% 5.1% 16.0% 74.5% 17.7% 4.0% -0.5% -10.33B 5.11B -798.7M 1.07 1.48 N/A N/A 5,034,624 5,402,425 4,931,164 12,156,034 2024-08-02 $531.82 $544.00 20.0% 6.1% 16.7% 100.0% 22.6% 6.2% -0.5% -13.78B 61.60B -876.6M 1.42 1.89 N/A N/A 3,817,238 5,424,278 5,355,670 12,297,305 2024-08-05 $515.42 $540.00 29.4% 8.0% 19.7% 100.0% 30.8% 14.1% -0.7% -11.24B 123.67B -947.3M 1.62 3.23 N/A N/A 2,577,473 4,175,142 5,348,870 11,972,561 2024-08-06 $526.10 $537.00 20.9% 5.9% 21.4% 56.2% 22.3% 8.1% -0.1% -9.34B 57.53B -883.1M 1.22 2.00 N/A N/A 3,300,195 4,041,445 5,440,153 12,006,788 2024-08-07 $520.51 $533.00 22.1% 6.2% 21.1% 62.2% 22.8% 8.3% -0.2% -10.61B 76.35B -882.3M 1.35 1.95 N/A N/A 3,813,966 5,160,906 5,617,704 12,178,253 2024-08-08 $530.16 $530.00 19.6% 5.5% 22.5% 49.4% 22.1% 6.9% -0.2% -6.46B 21.16B -864.6M 1.37 1.43 N/A N/A 3,263,450 4,480,572 5,688,126 12,410,259 2024-08-09 $532.88 $530.00 17.4% 5.0% 22.5% 38.3% 19.7% 5.7% -0.1% -6.28B 6.89B -835.6M 1.27 1.58 N/A N/A 3,114,871 3,965,339 5,660,901 12,537,827 2024-08-12 $531.96 $530.00 17.9% 5.1% 22.4% 40.5% 19.9% 6.4% -0.1% -8.07B 15.21B -819.1M 1.31 1.55 N/A N/A 2,967,823 3,891,554 5,336,694 12,458,227 2024-08-13 $541.45 $530.00 15.8% 4.5% 23.4% 29.7% 18.3% 5.3% 0.0% -9.5M -40.86B -765.8M 1.51 1.35 N/A N/A 2,951,564 4,452,215 5,390,727 12,665,008 2024-08-14 $543.52 $530.00 13.9% 4.1% 23.2% 20.2% 16.6% 4.2% 0.2% -625.4M -46.89B -766.6M 1.09 1.29 N/A N/A 3,244,070 3,528,162 5,466,601 13,332,524 2024-08-15 $552.78 $530.00 12.8% 3.8% 23.9% 14.4% 14.9% 3.4% 0.4% 9.07B -101.48B -698.5M 1.54 1.28 N/A N/A 3,389,666 5,207,601 5,473,659 13,405,784 2024-08-16 $553.97 $533.00 12.7% 3.7% 23.7% 14.2% 15.1% 3.4% 0.5% 7.56B -93.49B -726.1M 1.32 1.24 N/A N/A 2,955,931 3,914,516 5,488,087 14,704,049 2024-08-19 $558.16 $533.00 12.6% 3.6% 23.5% 13.7% 14.1% 3.6% -0.2% 5.45B -96.21B -705.8M 1.05 1.26 N/A N/A 2,999,561 3,144,422 4,965,028 13,208,885 2024-08-20 $558.48 $535.00 13.2% 3.8% 23.5% 16.7% 14.1% 4.0% -0.2% 2.24B -89.12B -735.2M 1.42 1.25 N/A N/A 2,323,402 3,310,096 5,076,613 13,327,642 2024-08-21 $560.00 $535.00 13.6% 3.9% 21.9% 18.7% 15.7% 4.3% -0.4% 4.39B -90.86B -746.1M 0.93 1.19 N/A N/A 3,402,048 3,155,072 5,181,368 13,537,488 2024-08-22 $555.63 $535.00 14.3% 4.1% 22.2% 22.4% 16.1% 5.0% -0.4% -4.17B -65.74B -766.6M 0.98 1.29 N/A N/A 4,406,503 4,314,196 5,213,535 13,585,104 2024-08-23 $561.06 $537.00 13.0% 3.8% 22.3% 15.7% 15.0% 4.2% -0.4% 8.18B -99.73B -739.1M 1.23 1.48 N/A N/A 4,026,827 4,940,568 5,442,876 13,795,792 2024-08-26 $560.26 $540.00 13.1% 3.9% 22.3% 15.9% 15.4% 4.3% -0.3% 1.61B -81.57B -745.3M 1.02 1.25 N/A N/A 3,425,630 3,500,026 5,252,001 14,193,809 2024-08-27 $561.60 $540.00 12.5% 3.7% 22.1% 13.1% 13.6% 4.4% -0.3% 5.51B -89.75B -741.9M 1.05 1.37 N/A N/A 2,843,247 2,999,754 5,341,587 14,449,310 2024-08-28 $558.71 $540.00 13.5% 4.0% 21.4% 17.8% 16.5% 5.2% -0.4% 117.6M -70.52B -765.0M 1.05 1.38 N/A N/A 2,688,685 2,833,157 5,379,110 14,573,344 2024-08-29 $558.78 $540.00 12.6% 3.8% 20.0% 13.3% 14.8% 4.8% -0.3% 2.18B -73.09B -765.2M 1.15 1.86 N/A N/A 3,276,841 3,765,301 5,497,877 14,743,183 2024-08-30 $561.67 $540.00 11.6% 3.5% 18.7% 8.3% 13.4% 4.1% 0.5% 5.25B -91.47B -738.3M 1.04 1.46 N/A N/A 3,193,230 3,308,327 5,521,406 14,924,289
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