SPYX Options History — August 2023

In August 2023, SPYX traded between $35.49 and $37.20. ATM implied volatility averaged 20.6%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 10.0% (HV 20d: 10.6%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2023-08-16: Highest Volume — 5 contracts
  • 2023-08-22: Largest IV spike — 122.8% change
  • 2023-08-22: Highest IV Rank — 45.0%
  • 2023-08-22: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.25$35.49$37.20$37.20$36.77
Max Pain$36.09$35.00$37.00$35.00$37.00
ATM IV20.6%10.8%44.5%23.0%21.3%
Expected Move5.8%3.1%12.7%6.6%6.1%
HV 20d10.6%9.0%13.0%9.0%12.2%
HV 60d10.9%10.7%11.2%10.8%11.1%
IV Rank10.7%0.0%45.0%13.1%14.9%
IV Percentile28.1%0.0%98.4%50.0%34.5%
Term Structure-1.9%-11.7%12.4%-11.7%-5.4%
VWIV18.2%12.1%30.3%12.1%30.3%
Skew 25d3.1%-8.9%9.2%-8.9%-6.0%
Skew 10d2.3%-0.8%3.7%-0.8%1.5%
Call IV 25d17.2%14.0%22.8%22.8%18.8%
Put IV 25d20.3%12.8%25.3%13.9%12.8%
Bid-Ask Spread %133.05128.91140.69130.81134.16
Gamma HHI0.360.210.550.330.25
Net GEX7.0K1.7K13.7K7.8K2.7K
Net DEX-54.8K-95.0K-21.8K-95.0K-32.1K
Net VEX-145-177-118-166-121
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.004.000.000.00
Total Volume0.9570500
Total OI38.69626534130

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$37.20$35.0023.0%6.6%9.0%13.1%0.0%-8.9%-11.7%7.8K-95.0K-1660.00130.81N/AN/A00410
2023-08-02$36.71$35.0021.1%6.0%10.4%10.2%12.1%-7.5%-4.4%10.2K-84.8K-1610.00128.91N/AN/A10410
2023-08-03$36.61$0.0020.0%5.7%10.0%8.6%0.0%8.7%-2.6%11.2K-85.6K-1631.00137.18N/AN/A11420
2023-08-04$36.39$0.0016.8%6.1%10.3%3.9%0.0%7.0%-3.4%8.6K-77.3K-1770.00131.96N/AN/A00431
2023-08-07$36.68$0.0019.4%4.7%10.5%7.8%0.0%2.9%-1.0%11.1K-89.7K-1531.00129.99N/AN/A11431
2023-08-08$36.61$0.0032.8%5.9%10.4%27.6%0.0%5.3%-4.7%8.9K-79.8K-1610.00130.15N/AN/A00422
2023-08-09$36.39$0.0021.6%6.2%10.2%11.0%0.0%9.2%-2.3%9.3K-74.5K-1610.00134.91N/AN/A10421
2023-08-10$36.25$0.0017.3%4.9%9.5%4.5%0.0%8.6%-1.2%11.7K-73.1K-1550.00129.10N/AN/A00431
2023-08-11$36.27$0.0016.9%4.9%9.5%4.1%0.0%2.0%-0.3%12.2K-73.4K-1510.00131.10N/AN/A00431
2023-08-14$36.44$0.0017.6%5.0%9.5%5.0%0.0%6.0%3.1%12.1K-79.9K-1410.00131.30N/AN/A30431
2023-08-15$36.05$0.0022.3%6.4%9.7%12.1%0.0%5.4%-3.9%13.7K-68.8K-1450.00136.13N/AN/A00451
2023-08-16$35.87$0.0017.9%5.1%9.7%5.5%0.0%2.1%-2.4%11.0K-64.5K-1464.00129.78N/AN/A14471
2023-08-17$35.49$0.0020.2%5.8%9.9%9.0%0.0%2.6%-4.3%10.9K-46.0K-1460.00129.45N/AN/A00485
2023-08-18$35.57$0.0017.9%5.1%10.0%5.5%0.0%8.0%-4.0%2.7K-27.5K-1260.00135.67N/AN/A01485
2023-08-21$35.80$36.0020.0%5.7%10.3%8.6%17.9%8.8%-2.4%2.2K-25.5K-1422.00135.97N/AN/A12224
2023-08-22$35.63$36.0044.5%12.7%10.2%45.0%17.9%2.5%-4.5%2.3K-22.7K-1400.00135.07N/AN/A10236
2023-08-23$36.10$36.0023.1%6.6%11.5%13.3%0.0%5.4%-5.4%2.3K-27.3K-1380.00136.88N/AN/A00226
2023-08-24$35.65$36.0010.8%3.1%12.0%0.0%12.9%5.3%12.4%2.2K-21.8K-1300.00131.35N/AN/A01226
2023-08-25$35.88$36.0012.5%3.6%11.4%2.5%0.0%4.1%6.2%1.8K-23.3K-1360.00132.71N/AN/A00227
2023-08-28$36.09$36.0011.6%3.3%11.8%1.2%30.3%-0.5%5.0%1.7K-25.9K-1360.00131.83N/AN/A02227
2023-08-29$36.61$37.0019.2%5.5%13.0%11.8%0.0%1.3%2.7%2.4K-30.0K-1250.00135.09N/AN/A00228
2023-08-30$36.72$37.0026.3%7.5%12.2%22.0%0.0%-1.9%-8.5%3.1K-31.1K-1180.00140.69N/AN/A00228
2023-08-31$36.77$37.0021.3%6.1%12.2%14.9%0.0%-6.0%-5.4%2.7K-32.1K-1210.00134.16N/AN/A00228