SPY Options History — October 2024 In October 2024, SPY traded between $566.73 and $584.60. ATM implied volatility averaged 16.0%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.9% (HV 20d: 10.0%). Max pain ranged from $557.00 to $572.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.23.
Notable Days 2024-10-01 : Highest Volume — 9,292,722 contracts2024-10-07 : Largest IV spike — 22.7% change2024-10-31 : Highest IV Rank — 42.9%2024-10-31 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $577.49 $566.73 $584.60 $569.15 $571.17 Max Pain $569.78 $557.00 $572.00 $557.00 $572.00 ATM IV 16.0% 14.5% 18.3% 14.5% 18.3% Expected Move 4.7% 4.2% 6.0% 4.3% 6.0% HV 20d 10.0% 9.1% 11.5% 10.6% 11.5% HV 60d 15.5% 11.8% 16.6% 16.4% 12.1% IV Rank 30.7% 23.5% 42.9% 23.5% 42.9% IV Percentile 87.2% 79.8% 98.0% 79.8% 98.0% Term Structure 0.1% -0.7% 2.3% 0.4% -0.4% VWIV 18.9% 16.2% 22.6% 17.2% 22.6% Skew 25d 5.8% 4.6% 7.9% 6.2% 6.3% Skew 10d 12.4% 10.5% 16.7% 11.9% 14.7% Call IV 25d 13.2% 11.4% 15.0% 11.6% 15.0% Put IV 25d 19.0% 17.0% 22.8% 17.8% 21.3% Bid-Ask Spread % 1.08 0.88 1.95 1.95 1.51 Gamma HHI 0.03 0.02 0.07 0.02 0.03 Net GEX -163.9M -11.64B 9.77B -5.98B -11.64B Net DEX -75.68B -126.40B -7.90B -47.10B -7.90B Net VEX -777.5M -837.8M -731.8M -811.8M -811.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.91 1.57 1.16 0.99 Total Volume 6,657,843.913 5,078,656 9,292,722 9,292,722 8,117,897 Total OI 19,495,763.304 17,877,708 21,496,874 17,877,708 19,722,929
Daily Data (23 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 2024-10-01 $569.15 $557.00 14.5% 4.3% 10.6% 23.5% 17.2% 6.2% 0.4% -5.98B -47.10B -811.8M 1.16 1.95 N/A N/A 4,303,599 4,989,123 4,898,689 12,979,019 2024-10-02 $569.30 $558.00 14.7% 4.2% 10.6% 24.3% 16.2% 6.0% 2.0% -4.72B -51.44B -813.1M 1.50 1.70 N/A N/A 2,801,266 4,192,164 4,987,783 13,231,808 2024-10-03 $566.73 $570.00 16.1% 5.0% 10.6% 31.7% 19.9% 6.7% 1.9% -7.82B -32.01B -837.8M 1.24 1.01 N/A N/A 3,148,960 3,901,404 4,983,373 13,561,715 2024-10-04 $572.39 $570.00 14.8% 4.6% 9.1% 24.6% 19.9% 5.5% 2.3% 158.0M -68.54B -803.3M 1.25 0.99 N/A N/A 3,337,529 4,168,774 5,048,102 13,857,407 2024-10-07 $567.09 $570.00 18.1% 5.2% 9.8% 41.8% 22.4% 7.9% -0.4% -9.46B -25.70B -834.6M 1.22 0.95 N/A N/A 3,200,638 3,899,180 4,924,319 14,396,538 2024-10-08 $573.40 $570.00 16.8% 4.8% 10.3% 34.9% 19.5% 7.0% -0.4% 2.81B -75.37B -786.1M 1.47 0.88 N/A N/A 2,666,771 3,927,615 5,101,413 14,438,758 2024-10-09 $576.98 $570.00 16.4% 4.6% 10.2% 32.9% 17.0% 6.3% -0.3% 5.81B -93.07B -764.7M 1.41 1.03 N/A N/A 2,863,959 4,048,545 5,072,464 14,622,964 2024-10-10 $575.65 $570.00 16.3% 4.6% 9.7% 32.5% 19.0% 6.3% -0.2% -1.86B -82.02B -782.8M 1.22 0.91 N/A N/A 2,799,068 3,403,083 5,253,219 14,831,385 2024-10-11 $580.13 $570.00 15.9% 4.5% 9.8% 30.3% 21.4% 5.7% -0.1% 8.35B -108.24B -777.4M 1.47 0.94 N/A N/A 2,963,698 4,358,549 5,364,792 14,861,919 2024-10-14 $584.60 $570.00 15.5% 4.4% 10.1% 28.6% 18.3% 5.1% -0.0% 9.77B -126.40B -749.8M 1.33 0.91 N/A N/A 2,183,015 2,895,641 5,394,578 14,951,597 2024-10-15 $579.25 $571.00 16.2% 4.6% 10.8% 32.2% 18.6% 5.8% -0.1% -5.05B -86.93B -772.8M 1.35 0.96 N/A N/A 3,013,274 4,063,151 5,455,923 15,153,668 2024-10-16 $582.28 $571.00 15.6% 4.5% 10.8% 28.8% 20.7% 5.2% -0.0% 7.05B -111.98B -762.6M 1.13 0.95 N/A N/A 2,583,330 2,928,191 5,567,483 15,178,129 2024-10-17 $582.50 $571.00 15.1% 4.3% 9.4% 26.4% 17.0% 4.7% 0.0% 4.48B -113.55B -746.7M 1.08 0.97 N/A N/A 3,022,538 3,275,850 5,550,657 15,472,908 2024-10-18 $584.19 $571.00 14.6% 4.2% 9.2% 24.0% 17.9% 4.6% -0.0% 7.17B -125.02B -731.8M 1.25 0.94 N/A N/A 2,384,888 2,985,862 5,663,042 15,833,832 2024-10-21 $582.57 $570.00 15.2% 4.4% 9.3% 26.7% 18.0% 5.1% -0.5% -1.94B -81.45B -743.5M 1.22 0.97 N/A N/A 2,715,044 3,318,871 5,015,239 13,292,408 2024-10-22 $583.85 $572.00 15.1% 4.4% 9.3% 26.2% 16.7% 4.9% -0.5% 3.29B -89.61B -746.3M 1.06 0.97 N/A N/A 2,727,156 2,893,759 5,154,259 13,468,326 2024-10-23 $577.95 $572.00 16.3% 4.8% 10.1% 32.5% 18.8% 5.4% -0.6% -7.95B -51.74B -780.1M 0.98 1.06 N/A N/A 4,316,077 4,212,516 5,265,190 13,635,029 2024-10-24 $579.28 $572.00 16.1% 4.8% 10.0% 31.5% 18.2% 5.5% -0.6% 1.25B -69.93B -767.6M 0.91 1.01 N/A N/A 3,076,159 2,796,088 5,518,837 13,819,554 2024-10-25 $579.35 $572.00 16.6% 4.9% 10.0% 33.8% 17.9% 6.3% -0.7% 820.1M -66.55B -782.2M 1.15 1.11 N/A N/A 3,493,667 4,012,869 5,451,629 13,852,670 2024-10-28 $581.39 $572.00 16.2% 5.0% 10.1% 32.0% 18.6% 5.6% -0.2% 1.84B -74.16B -763.5M 1.57 1.04 N/A N/A 2,223,879 3,491,718 5,331,236 13,472,488 2024-10-29 $582.51 $572.00 15.9% 5.0% 9.8% 30.5% 18.7% 5.1% -0.1% 1.85B -81.07B -754.6M 1.15 1.02 N/A N/A 2,555,525 2,928,178 5,373,169 13,885,255 2024-10-30 $580.47 $572.00 16.5% 5.3% 9.9% 33.7% 19.7% 5.4% -0.3% -2.00B -70.83B -757.6M 1.15 1.15 N/A N/A 2,765,780 3,175,562 5,455,212 14,051,642 2024-10-31 $571.17 $572.00 18.3% 6.0% 11.5% 42.9% 22.6% 6.3% -0.4% -11.64B -7.90B -811.0M 0.99 1.51 N/A N/A 4,079,425 4,038,472 5,529,202 14,193,727
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