SPY Options History — September 2024 In September 2024, SPY traded between $540.77 and $572.24. ATM implied volatility averaged 14.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.7% (HV 20d: 13.6%). Max pain ranged from $540.00 to $557.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.23.
Notable Days 2024-09-11 : Highest Volume — 9,925,167 contracts2024-09-19 : Largest IV drop — 12.0% change2024-09-06 : Highest IV Rank — 41.6%2024-09-06 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $560.54 $540.77 $572.24 $550.55 $572.24 Max Pain $551.05 $540.00 $557.00 $540.00 $557.00 ATM IV 14.3% 12.0% 18.1% 16.2% 13.0% Expected Move 4.1% 3.4% 5.1% 5.0% 3.8% HV 20d 13.6% 12.5% 16.2% 16.2% 12.9% HV 60d 16.1% 15.6% 16.4% 15.6% 16.3% IV Rank 22.1% 10.2% 41.6% 32.0% 15.6% IV Percentile 72.4% 46.8% 95.6% 88.9% 65.5% Term Structure 0.0% -0.3% 0.4% -0.0% 0.4% VWIV 16.3% 13.4% 19.1% 19.1% 15.2% Skew 25d 5.0% 3.6% 7.0% 7.0% 4.5% Skew 10d 11.0% 7.6% 15.7% 14.2% 10.1% Call IV 25d 12.2% 10.4% 15.4% 13.4% 11.0% Put IV 25d 17.2% 14.3% 22.2% 20.4% 15.4% Bid-Ask Spread % 1.89 1.55 3.16 1.78 2.15 Gamma HHI 0.04 0.02 0.09 0.02 0.03 Net GEX 708.1M -13.32B 15.42B -8.92B 4.01B Net DEX -55.12B -135.47B 40.46B -3.96B -75.81B Net VEX -780.1M -862.2M -694.3M -838.0M -788.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.97 1.53 1.00 1.27 Total Volume 7,553,508.85 6,174,674 9,925,167 8,224,088 6,581,471 Total OI 19,639,218.65 17,666,625 21,036,783 18,896,147 18,910,024
Daily Data (20 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 2024-09-03 $550.55 $540.00 16.2% 5.0% 16.2% 32.0% 19.1% 7.0% -0.0% -8.92B -3.96B -838.0M 1.00 1.78 N/A N/A 4,108,506 4,115,582 5,105,878 13,790,269 2024-09-04 $550.95 $540.00 16.3% 4.9% 14.9% 32.7% 19.1% 6.9% -0.0% -7.31B -10.67B -833.8M 1.24 1.60 N/A N/A 3,220,591 4,002,959 5,361,057 13,981,079 2024-09-05 $548.67 $551.00 16.3% 4.6% 14.3% 32.3% 18.0% 6.2% -0.1% -8.55B -2.97B -826.0M 1.21 1.64 N/A N/A 3,457,133 4,178,885 5,396,059 14,110,392 2024-09-06 $540.77 $552.00 18.1% 5.1% 14.3% 41.6% 19.0% 6.8% -0.2% -13.32B 40.46B -862.2M 1.17 1.55 N/A N/A 4,266,221 4,991,489 5,500,460 14,261,685 2024-09-09 $545.53 $550.00 16.9% 4.8% 14.5% 35.3% 18.8% 5.8% -0.2% -6.42B -1.36B -825.3M 1.53 1.72 N/A N/A 2,744,177 4,207,064 5,566,387 13,930,711 2024-09-10 $548.34 $550.00 16.4% 4.6% 14.5% 33.1% 17.7% 6.0% -0.3% -4.11B -17.68B -814.8M 1.33 1.79 N/A N/A 2,909,779 3,867,187 5,554,503 14,099,866 2024-09-11 $552.63 $550.00 15.4% 4.3% 13.4% 27.7% 17.9% 5.3% -0.2% -518.7M -40.71B -802.8M 0.97 1.87 N/A N/A 5,039,056 4,886,111 5,601,748 14,272,283 2024-09-12 $558.92 $550.00 14.1% 4.0% 13.9% 21.3% 16.4% 4.7% -0.1% 4.62B -78.68B -768.1M 1.27 1.91 N/A N/A 4,151,535 5,288,360 5,647,417 14,546,082 2024-09-13 $561.97 $550.00 13.7% 3.9% 12.7% 19.0% 16.2% 4.6% -0.0% 7.81B -93.82B -741.8M 1.17 2.27 N/A N/A 3,636,077 4,271,360 5,667,374 15,369,409 2024-09-16 $562.67 $550.00 14.0% 4.0% 12.7% 20.4% 15.4% 4.7% 0.1% 4.61B -86.08B -740.9M 1.19 1.82 N/A N/A 2,843,576 3,384,427 5,537,456 14,643,948 2024-09-17 $562.07 $550.00 14.4% 4.1% 12.5% 22.6% 17.5% 4.8% -0.0% 1.25B -77.55B -761.8M 1.16 2.09 N/A N/A 3,600,525 4,191,803 5,571,381 14,689,079 2024-09-18 $562.00 $551.00 14.3% 4.1% 12.5% 22.2% 15.9% 4.9% -0.0% 875.6M -73.53B -760.7M 1.20 3.16 N/A N/A 3,195,039 3,842,411 5,727,328 14,946,505 2024-09-19 $571.32 $552.00 12.6% 3.6% 13.7% 13.4% 14.6% 3.7% 0.1% 15.42B -135.47B -694.3M 1.50 2.16 N/A N/A 3,717,056 5,566,116 5,843,988 15,118,368 2024-09-20 $569.03 $555.00 12.4% 3.5% 13.5% 12.5% 15.0% 3.6% 0.2% 2.74B -62.79B -748.2M 1.17 2.00 N/A N/A 3,647,667 4,252,962 5,067,454 15,856,786 2024-09-23 $569.30 $554.00 12.4% 3.5% 13.1% 12.5% 13.7% 4.2% 0.1% 6.04B -73.47B -729.1M 1.28 1.69 N/A N/A 2,890,198 3,708,602 4,757,076 12,909,549 2024-09-24 $570.65 $554.00 12.0% 3.4% 13.1% 10.2% 13.6% 3.9% 0.0% 5.87B -76.96B -746.9M 1.21 1.65 N/A N/A 2,875,891 3,466,978 4,827,056 13,424,619 2024-09-25 $569.58 $555.00 12.2% 3.5% 13.1% 11.4% 14.4% 4.1% 0.1% -318.0M -70.10B -760.5M 1.28 1.56 N/A N/A 2,705,496 3,469,178 4,942,593 13,622,049 2024-09-26 $572.09 $555.00 12.2% 3.5% 13.0% 11.6% 13.4% 3.8% 0.1% 9.34B -85.45B -768.9M 1.08 1.58 N/A N/A 3,464,438 3,755,386 5,016,285 14,074,253 2024-09-27 $571.59 $555.00 12.9% 3.7% 13.0% 15.0% 14.3% 4.4% -0.0% 1.07B -75.74B -789.2M 1.34 1.88 N/A N/A 2,801,410 3,767,475 5,061,269 14,474,648 2024-09-30 $572.24 $557.00 13.0% 3.8% 12.9% 15.6% 15.2% 4.5% 0.4% 4.01B -75.81B -788.9M 1.27 2.15 N/A N/A 2,893,202 3,688,269 5,005,130 13,904,894
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