SPY Options History — December 2024 In December 2024, SPY traded between $585.96 and $607.82. ATM implied volatility averaged 11.9%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.9% (HV 20d: 11.0%). Max pain ranged from $565.00 to $589.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.11.
Notable Days 2024-12-20 : Highest Volume — 9,363,462 contracts2024-12-18 : Largest IV spike — 50.6% change2024-12-18 : Highest IV Rank — 40.3%2024-12-18 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $599.88 $585.96 $607.82 $603.74 $585.96 Max Pain $580.81 $565.00 $589.00 $565.00 $585.00 ATM IV 11.9% 9.7% 17.7% 10.2% 14.2% Expected Move 3.5% 3.0% 5.1% 3.2% 4.0% HV 20d 11.0% 6.8% 13.9% 13.0% 13.7% HV 60d 11.6% 10.6% 12.8% 11.1% 12.7% IV Rank 11.1% 0.0% 40.3% 1.0% 22.9% IV Percentile 34.3% 0.0% 95.6% 1.2% 75.0% Term Structure 0.3% -0.4% 0.7% 0.2% 0.2% VWIV 13.5% 11.3% 18.9% 12.3% 14.4% Skew 25d 4.0% 2.2% 7.4% 2.9% 4.6% Skew 10d 8.8% 5.5% 15.8% 6.4% 9.8% Call IV 25d 10.3% 8.9% 14.4% 9.3% 11.8% Put IV 25d 14.3% 11.1% 21.6% 12.2% 16.4% Bid-Ask Spread % 2.32 1.90 3.97 2.60 2.25 Gamma HHI 0.04 0.02 0.11 0.06 0.03 Net GEX 3.13B -10.59B 18.99B 11.36B -10.59B Net DEX -86.50B -161.47B 7.38B -141.27B 2.66B Net VEX -710.0M -794.0M -651.1M -651.1M -743.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.84 1.33 1.24 0.92 Total Volume 6,768,187.81 5,211,072 9,363,462 6,142,850 7,830,536 Total OI 17,948,672.857 15,519,153 19,598,670 17,308,233 17,191,040
Daily Data (21 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 2024-12-02 $603.74 $565.00 10.2% 3.2% 13.0% 1.0% 12.3% 2.9% 0.2% 11.36B -141.27B -651.1M 1.24 2.60 N/A N/A 2,741,941 3,400,909 5,764,413 11,543,820 2024-12-03 $603.66 $567.00 10.0% 3.1% 12.8% 0.0% 13.0% 2.8% 0.5% 7.03B -133.50B -671.5M 1.28 2.39 N/A N/A 2,298,945 2,952,040 5,916,159 11,777,467 2024-12-04 $607.64 $568.00 9.8% 3.0% 12.6% 0.0% 11.3% 2.5% 0.5% 16.03B -161.47B -660.3M 1.33 2.75 N/A N/A 2,439,031 3,235,337 5,959,080 11,920,005 2024-12-05 $607.32 $575.00 9.8% 3.1% 8.8% 0.0% 12.0% 2.4% 0.5% 10.10B -154.10B -664.0M 1.14 2.01 N/A N/A 2,602,815 2,966,485 6,026,028 12,233,693 2024-12-06 $607.69 $578.00 9.7% 3.0% 8.4% 0.0% 11.7% 2.2% 0.7% 11.40B -154.53B -666.1M 1.15 2.36 N/A N/A 2,566,847 2,948,288 6,091,134 12,432,939 2024-12-09 $604.31 $578.00 10.8% 3.2% 8.7% 5.5% 12.4% 3.2% 0.5% -743.3M -113.74B -703.2M 1.21 2.05 N/A N/A 2,830,950 3,413,893 5,956,070 11,927,281 2024-12-10 $602.65 $580.00 10.8% 3.2% 8.7% 5.8% 12.7% 3.4% 0.4% -1.80B -105.69B -693.3M 1.15 1.91 N/A N/A 2,654,527 3,045,945 6,107,975 12,237,875 2024-12-11 $607.82 $580.00 10.1% 3.0% 9.2% 2.2% 11.8% 2.8% 0.5% 18.99B -150.99B -684.4M 1.15 2.11 N/A N/A 2,520,556 2,905,301 6,229,454 12,401,329 2024-12-12 $605.22 $580.00 10.3% 3.1% 9.3% 3.3% 13.3% 3.1% 0.6% 3.77B -122.38B -701.0M 1.26 1.90 N/A N/A 2,691,252 3,390,043 6,277,398 12,469,134 2024-12-13 $604.50 $584.00 10.3% 3.1% 8.8% 3.2% 12.0% 3.4% 0.7% 2.96B -119.28B -690.3M 1.08 2.02 N/A N/A 3,243,803 3,488,403 6,324,555 12,594,115 2024-12-16 $606.78 $585.00 10.9% 3.2% 6.8% 6.4% 11.9% 3.5% 0.2% 14.52B -131.35B -674.7M 1.14 2.12 N/A N/A 2,433,962 2,777,110 6,138,599 12,288,269 2024-12-17 $604.18 $585.00 11.7% 3.4% 7.0% 10.4% 13.8% 4.0% 0.0% -2.44B -102.38B -695.4M 1.16 2.13 N/A N/A 2,682,942 3,103,273 6,112,207 12,503,506 2024-12-18 $587.27 $589.00 17.7% 5.1% 12.6% 40.3% 17.1% 7.2% -0.4% -8.58B 7.38B -783.3M 1.07 3.97 N/A N/A 4,365,143 4,655,025 6,233,922 12,641,051 2024-12-19 $587.90 $588.00 16.7% 4.8% 12.6% 35.4% 18.9% 7.4% -0.3% -7.63B 3.85B -794.0M 1.07 2.71 N/A N/A 4,165,860 4,450,964 6,717,179 12,881,491 2024-12-20 $591.74 $585.00 14.5% 4.2% 12.5% 24.4% 16.7% 6.0% -0.1% -4.27B -1.53B -784.3M 1.06 2.24 N/A N/A 4,543,267 4,820,195 6,250,061 13,094,811 2024-12-23 $594.64 $585.00 13.3% 3.8% 12.6% 18.3% 14.6% 4.8% 0.4% -1.53B -42.68B -756.8M 1.14 2.22 N/A N/A 3,544,523 4,025,309 5,566,326 9,952,827 2024-12-24 $599.74 $585.00 11.1% 3.2% 13.0% 7.2% 12.7% 4.3% 0.6% 14.74B -82.32B -709.7M 0.94 2.16 N/A N/A 3,034,921 2,843,380 5,606,566 10,662,213 2024-12-26 $601.87 $585.00 11.2% 3.1% 12.8% 7.6% 12.4% 4.2% 0.7% 9.81B -84.93B -714.2M 0.84 1.94 N/A N/A 3,566,219 2,989,541 5,515,072 11,344,350 2024-12-27 $592.78 $585.00 13.2% 3.8% 13.9% 17.6% 13.6% 4.6% 0.5% -8.85B -19.43B -730.4M 0.97 2.07 N/A N/A 4,635,021 4,506,403 5,588,205 11,490,079 2024-12-30 $590.00 $585.00 13.9% 4.0% 13.6% 21.1% 14.5% 4.7% 0.1% -8.65B -8.85B -738.5M 0.98 2.77 N/A N/A 4,444,413 4,376,626 5,533,494 11,420,938 2024-12-31 $585.96 $585.00 14.2% 4.0% 13.7% 22.9% 14.4% 4.6% 0.2% -10.59B 2.66B -743.7M 0.92 2.25 N/A N/A 4,075,213 3,755,323 5,644,505 11,546,535
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