SPY Options History — November 2024 In November 2024, SPY traded between $569.84 and $603.17. ATM implied volatility averaged 13.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.5% (HV 20d: 13.5%). Max pain ranged from $545.00 to $572.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.15.
Notable Days 2024-11-15 : Highest Volume — 10,085,495 contracts2024-11-06 : Largest IV drop — 23.5% change2024-11-04 : Highest IV Rank — 41.7%2024-11-01 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $591.51 $569.84 $603.17 $571.63 $603.17 Max Pain $558.45 $545.00 $572.00 $572.00 $565.00 ATM IV 13.0% 10.3% 18.1% 17.9% 10.3% Expected Move 3.8% 3.2% 5.8% 5.8% 3.2% HV 20d 13.5% 10.3% 14.7% 10.9% 13.0% HV 60d 12.1% 11.6% 12.5% 11.6% 11.6% IV Rank 15.5% 1.8% 41.7% 40.8% 1.8% IV Percentile 54.6% 3.2% 97.2% 96.8% 3.2% Term Structure -0.1% -0.7% 0.6% -0.3% -0.1% VWIV 15.2% 11.3% 21.5% 21.5% 11.3% Skew 25d 3.8% 2.6% 6.1% 6.1% 2.9% Skew 10d 8.8% 6.5% 14.1% 14.1% 6.5% Call IV 25d 11.4% 9.4% 15.0% 14.9% 9.6% Put IV 25d 15.2% 12.4% 21.0% 21.0% 12.4% Bid-Ask Spread % 1.51 1.02 2.52 1.25 2.52 Gamma HHI 0.05 0.02 0.11 0.03 0.08 Net GEX 5.64B -8.22B 19.07B -6.92B 17.58B Net DEX -112.59B -164.39B -15.82B -23.50B -158.35B Net VEX -714.8M -808.6M -664.7M -808.6M -678.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.91 1.45 1.32 1.20 Total Volume 7,031,763.75 4,175,078 10,085,495 7,601,725 4,175,078 Total OI 18,767,318.65 17,268,397 20,671,803 18,549,497 19,028,419
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 2024-11-01 $571.63 $572.00 17.9% 5.8% 10.9% 40.8% 21.5% 6.1% -0.3% -6.92B -23.50B -808.6M 1.32 1.25 N/A N/A 3,279,403 4,322,322 5,598,827 12,950,670 2024-11-04 $569.84 $545.00 18.1% 5.0% 10.5% 41.7% 20.0% 6.0% -0.3% -8.22B -15.82B -798.1M 1.29 1.22 N/A N/A 3,057,975 3,949,545 5,381,335 11,887,062 2024-11-05 $575.40 $545.00 17.0% 4.7% 10.3% 36.1% 20.4% 5.6% -0.4% 259.6M -54.89B -760.9M 1.45 2.10 N/A N/A 3,131,827 4,534,658 5,493,090 12,077,482 2024-11-06 $591.28 $547.00 13.0% 3.9% 14.0% 15.6% 16.3% 3.5% 0.2% 10.02B -146.68B -681.1M 1.31 1.52 N/A N/A 3,282,131 4,298,156 5,599,761 12,852,869 2024-11-07 $596.08 $550.00 12.1% 3.6% 14.1% 10.9% 14.4% 2.8% 0.2% 12.78B -164.39B -664.7M 0.99 1.42 N/A N/A 3,291,435 3,269,208 5,710,922 13,270,073 2024-11-08 $597.81 $554.00 11.9% 3.6% 13.9% 9.9% 14.6% 2.6% 0.3% 12.39B -163.39B -698.2M 1.24 1.19 N/A N/A 3,039,694 3,771,283 5,965,981 13,604,749 2024-11-11 $598.20 $555.00 12.1% 3.6% 13.7% 10.8% 14.7% 2.8% 0.4% 6.11B -151.96B -677.3M 1.17 1.02 N/A N/A 2,462,355 2,875,403 5,772,375 13,763,386 2024-11-12 $597.32 $560.00 12.1% 3.6% 13.2% 11.1% 14.7% 3.0% 0.4% 4.16B -146.00B -672.9M 1.11 1.05 N/A N/A 3,287,840 3,652,734 5,880,124 13,936,852 2024-11-13 $598.14 $560.00 11.5% 3.5% 13.2% 7.7% 13.9% 2.7% 0.6% 7.96B -153.62B -689.1M 1.22 1.14 N/A N/A 3,196,658 3,893,661 6,034,717 14,040,503 2024-11-14 $593.18 $560.00 11.7% 3.5% 13.6% 8.7% 12.9% 3.0% 0.5% -1.06B -122.89B -681.6M 1.17 1.19 N/A N/A 3,448,394 4,037,016 6,098,255 14,319,524 2024-11-15 $584.91 $560.00 13.4% 3.9% 14.6% 17.5% 14.7% 4.0% 0.4% -6.35B -68.18B -727.0M 1.06 1.58 N/A N/A 4,905,976 5,179,519 6,304,567 14,367,236 2024-11-18 $588.10 $560.00 13.1% 3.8% 14.7% 16.2% 15.1% 4.0% -0.5% 3.18B -78.68B -737.8M 0.94 1.14 N/A N/A 3,166,332 2,972,746 5,941,734 11,643,109 2024-11-19 $589.96 $560.00 13.4% 3.8% 14.7% 17.3% 15.2% 4.0% -0.6% 4.88B -88.75B -738.5M 1.15 1.27 N/A N/A 3,389,781 3,887,718 5,919,257 11,789,535 2024-11-20 $589.63 $560.00 14.2% 4.1% 14.1% 21.6% 16.7% 4.5% -0.7% 962.1M -82.45B -763.4M 0.99 1.31 N/A N/A 3,190,169 3,142,634 5,966,019 11,976,634 2024-11-21 $594.23 $561.00 13.5% 3.9% 14.3% 17.8% 14.4% 4.3% -0.7% 9.08B -114.83B -744.0M 1.08 1.38 N/A N/A 3,795,907 4,101,989 6,152,210 12,119,626 2024-11-22 $594.97 $562.00 12.1% 3.5% 14.3% 11.1% 14.4% 4.0% -0.5% 13.09B -115.04B -724.2M 1.03 1.66 N/A N/A 3,511,452 3,618,795 6,137,394 12,293,685 2024-11-25 $597.01 $563.00 11.4% 3.4% 14.3% 7.3% 12.9% 3.5% -0.2% 11.25B -127.48B -684.1M 0.91 2.05 N/A N/A 4,305,008 3,914,940 5,951,983 12,165,468 2024-11-26 $600.76 $565.00 10.7% 3.2% 14.4% 3.5% 12.4% 3.2% -0.1% 19.07B -149.60B -674.1M 1.28 2.16 N/A N/A 3,074,179 3,949,892 6,146,950 12,341,464 2024-11-27 $598.58 $565.00 10.5% 3.2% 14.4% 2.9% 12.9% 3.5% -0.1% 2.67B -125.34B -691.3M 1.19 1.97 N/A N/A 2,869,882 3,401,580 6,153,364 12,709,162 2024-11-29 $603.17 $565.00 10.3% 3.2% 13.0% 1.8% 11.3% 2.9% -0.1% 17.58B -158.35B -678.6M 1.20 2.52 N/A N/A 1,898,329 2,276,749 6,179,175 12,849,244
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