SPYX Options History — October 2023

In October 2023, SPYX traded between $33.34 and $35.52. ATM implied volatility averaged 20.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.5% (HV 20d: 13.4%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.03.

Notable Days

  • 2023-10-13: Highest Volume — 50 contracts
  • 2023-10-27: Largest IV spike — 119.0% change
  • 2023-10-05: Highest IV Rank — 29.6%
  • 2023-10-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.62$33.34$35.52$34.65$34.02
Max Pain$35.07$34.00$37.00$34.00$34.00
ATM IV20.8%13.8%30.5%22.6%14.0%
Expected Move5.5%3.9%8.6%6.5%4.0%
HV 20d13.4%11.1%15.8%11.1%15.3%
HV 60d12.0%11.2%13.0%11.2%13.0%
IV Rank15.1%4.5%29.6%17.7%4.7%
IV Percentile37.3%1.2%90.9%50.4%1.6%
Term Structure0.7%-7.5%33.4%-5.5%4.5%
VWIV13.8%10.0%17.9%10.0%12.5%
Skew 25d2.7%-14.5%13.0%-8.7%2.4%
Skew 10d-0.5%-9.4%8.9%-9.4%-4.1%
Call IV 25d17.7%9.8%27.7%20.4%21.0%
Put IV 25d20.4%11.7%27.4%11.7%23.4%
Bid-Ask Spread %130.65115.85140.64131.75115.85
Gamma HHI0.470.230.840.270.56
Net GEX4.9K1.6K11.2K2.0K4.8K
Net DEX-49.7K-119.7K-12.8K-18.1K-52.0K
Net VEX-228-421-56-69-342
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.200.000.20
Total Volume3.22705006
Total OI51.90927822866

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$34.65$34.0022.6%6.5%11.1%17.7%0.0%-8.7%-5.5%2.0K-18.1K-690.00131.75N/AN/A00253
2023-10-03$34.23$34.0014.8%4.2%11.5%6.0%0.0%-14.5%3.7%1.6K-12.8K-630.00132.00N/AN/A00253
2023-10-04$34.59$34.0025.3%7.2%12.3%21.7%0.0%-8.2%-5.5%2.1K-17.1K-670.00131.61N/AN/A00253
2023-10-05$34.59$0.0030.5%5.2%12.3%29.6%0.0%3.7%-0.8%2.2K-17.2K-680.00135.34N/AN/A00253
2023-10-06$35.05$0.0027.8%6.0%13.5%25.6%0.0%8.1%-4.2%2.6K-21.6K-740.00134.56N/AN/A00253
2023-10-09$35.12$0.0027.7%5.6%13.0%25.4%0.0%4.5%-0.4%2.7K-23.7K-710.00135.82N/AN/A10253
2023-10-10$35.39$0.0027.7%5.3%13.3%25.3%0.0%4.4%-1.0%2.9K-23.0K-660.00135.47N/AN/A20243
2023-10-11$35.52$0.0018.3%5.3%13.4%11.3%0.0%4.3%-1.5%3.4K-30.4K-660.00132.60N/AN/A00263
2023-10-12$35.31$0.0018.6%5.3%12.9%11.6%0.0%3.6%-2.8%3.1K-28.3K-620.00134.42N/AN/A10263
2023-10-13$35.03$0.0019.0%5.4%12.5%12.3%0.0%3.3%-3.4%2.6K-24.5K-560.00133.53N/AN/A500263
2023-10-16$35.49$0.0021.4%6.1%13.5%15.9%10.0%7.4%-1.8%11.1K-119.7K-4200.00140.64N/AN/A20763
2023-10-17$35.37$37.0020.6%5.9%13.5%14.7%0.0%10.7%-2.2%11.2K-116.9K-4210.00134.54N/AN/A00783
2023-10-18$34.90$37.0020.9%6.0%14.0%15.2%0.0%5.8%-4.8%9.7K-100.9K-3960.00132.95N/AN/A00783
2023-10-19$34.59$37.0023.6%6.8%13.3%19.2%0.0%12.3%-4.5%8.9K-89.8K-3770.00136.00N/AN/A10783
2023-10-20$34.25$37.0021.7%6.2%13.6%16.4%0.0%2.8%-3.6%7.4K-86.6K-3540.00133.09N/AN/A10793
2023-10-23$34.25$37.0015.3%4.4%13.6%6.7%17.9%3.0%33.4%7.5K-67.7K-3440.00123.45N/AN/A04600
2023-10-24$34.50$34.0014.7%4.2%13.1%5.8%0.0%-1.1%5.3%4.4K-66.5K-3740.00125.61N/AN/A00606
2023-10-25$33.96$34.0015.2%4.4%14.2%6.6%0.0%2.6%9.5%5.1K-52.5K-3590.00125.11N/AN/A00606
2023-10-26$33.54$34.0013.8%3.9%14.3%4.5%13.7%1.7%2.6%4.3K-39.6K-3220.00120.42N/AN/A02606
2023-10-27$33.34$34.0030.1%8.6%14.4%29.1%0.0%-1.2%-7.5%4.6K-37.3K-3120.00126.55N/AN/A00606
2023-10-30$33.88$34.0015.0%4.3%15.8%6.4%15.1%13.0%6.9%4.3K-47.3K-3250.00122.94N/AN/A01606
2023-10-31$34.02$34.0014.0%4.0%15.3%4.7%12.5%2.4%4.5%4.8K-52.0K-3420.20115.85N/AN/A51606