SPYX Options History — November 2023

In November 2023, SPYX traded between $34.47 and $37.19. ATM implied volatility averaged 20.1%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.6% (HV 20d: 15.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2023-11-03: Highest Volume — 71 contracts
2023-11-09: Largest IV spike — 48.1% change
2023-11-03: Highest IV Rank — 23.0%
2023-11-28: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.34	$34.47	$37.19	$34.47	$37.19
Max Pain	$34.95	$34.00	$35.00	$34.00	$35.00
ATM IV	20.1%	15.1%	26.1%	16.1%	24.5%
Expected Move	5.4%	4.3%	7.3%	4.6%	7.0%
HV 20d	15.5%	11.9%	18.0%	15.6%	11.9%
HV 60d	14.0%	13.3%	14.6%	13.3%	13.7%
IV Rank	14.0%	6.5%	23.0%	8.0%	20.5%
IV Percentile	36.5%	4.4%	77.4%	5.2%	73.4%
Term Structure	-0.9%	-9.0%	7.6%	7.2%	-4.7%
VWIV	12.6%	8.9%	21.0%	16.0%	8.9%
Skew 25d	0.4%	-7.6%	6.7%	-4.8%	1.1%
Skew 10d	-1.6%	-11.1%	17.9%	-5.3%	-11.1%
Call IV 25d	15.1%	9.8%	20.5%	20.5%	13.1%
Put IV 25d	15.5%	8.4%	21.1%	15.7%	14.3%
Bid-Ask Spread %	123.13	106.85	140.33	125.79	106.85
Gamma HHI	0.59	0.33	0.85	0.64	0.75
Net GEX	8.9K	-11.8K	25.4K	7.0K	14.6K
Net DEX	-146.8K	-223.0K	-28.0K	-73.6K	-189.5K
Net VEX	-406	-547	-318	-378	-330
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	6.10	0.25	0.00
Total Volume	5.238	0	71	5	0
Total OI	114.333	71	168	71	79

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
2023-11-01	$34.47	$34.00	16.1%	4.6%	15.6%	8.0%	16.0%	-4.8%	7.2%	7.0K	-73.6K	-378	0.25	125.79	N/A	N/A	4	1	65	6
2023-11-02	$35.06	$0.00	22.0%	4.7%	16.7%	16.8%	0.0%	4.2%	3.1%	7.7K	-92.6K	-402	0.00	132.78	N/A	N/A	0	0	65	6
2023-11-03	$35.46	$0.00	26.1%	4.9%	16.5%	23.0%	13.0%	6.7%	3.8%	9.6K	-104.3K	-397	6.10	137.51	N/A	N/A	10	61	65	6
2023-11-06	$35.45	$35.00	23.8%	5.3%	16.5%	19.5%	0.0%	3.9%	-2.3%	-10.4K	-28.0K	-547	0.00	136.85	N/A	N/A	13	0	75	67
2023-11-07	$35.70	$35.00	24.2%	4.6%	16.5%	20.1%	0.0%	3.1%	5.9%	-4.8K	-89.5K	-532	0.00	133.63	N/A	N/A	0	0	88	67
2023-11-08	$35.72	$35.00	15.4%	4.4%	16.5%	6.9%	0.0%	1.4%	1.1%	-3.5K	-94.5K	-526	0.00	130.21	N/A	N/A	0	0	90	67
2023-11-09	$35.39	$35.00	22.8%	6.5%	16.7%	18.0%	0.0%	3.2%	-6.3%	-11.8K	-59.3K	-523	0.00	140.33	N/A	N/A	1	0	90	67
2023-11-10	$35.95	$35.00	15.6%	4.5%	17.3%	7.2%	0.0%	-0.9%	0.6%	686	-111.3K	-507	0.00	129.85	N/A	N/A	2	0	90	67
2023-11-13	$35.96	$35.00	15.1%	4.3%	16.7%	6.5%	0.0%	4.4%	7.6%	-1.7K	-114.2K	-457	0.00	116.97	N/A	N/A	1	0	88	67
2023-11-14	$36.70	$35.00	17.7%	5.1%	18.0%	10.4%	10.0%	1.4%	-0.7%	21.2K	-193.5K	-376	0.00	115.03	N/A	N/A	9	0	88	67
2023-11-15	$36.73	$35.00	21.0%	6.0%	17.1%	15.3%	0.0%	-0.9%	-5.5%	17.2K	-208.6K	-425	0.00	118.92	N/A	N/A	0	0	101	67
2023-11-16	$36.75	$35.00	18.0%	5.2%	16.6%	10.9%	0.0%	-6.4%	-0.5%	19.1K	-216.4K	-402	0.00	128.76	N/A	N/A	0	0	101	67
2023-11-17	$36.77	$35.00	17.4%	5.0%	15.9%	10.0%	9.4%	-7.6%	-2.0%	25.4K	-223.0K	-364	0.00	119.61	N/A	N/A	1	0	101	67
2023-11-20	$37.14	$35.00	18.6%	5.3%	16.0%	11.8%	21.0%	-5.2%	-1.6%	12.0K	-179.1K	-356	0.00	113.76	N/A	N/A	0	1	72	0
2023-11-21	$36.99	$35.00	18.8%	5.4%	16.2%	12.0%	10.0%	1.0%	-1.6%	14.0K	-173.5K	-356	0.00	126.92	N/A	N/A	2	0	72	1
2023-11-22	$37.17	$35.00	18.7%	5.4%	14.5%	11.9%	8.9%	3.5%	-2.7%	13.5K	-187.6K	-331	0.50	115.94	N/A	N/A	2	1	73	1
2023-11-24	$37.16	$35.00	19.6%	5.6%	13.2%	13.2%	0.0%	0.0%	-2.9%	14.0K	-186.5K	-338	0.00	116.08	N/A	N/A	0	0	75	2
2023-11-27	$37.17	$35.00	20.4%	5.9%	12.7%	14.5%	0.0%	1.9%	-3.4%	14.2K	-187.1K	-325	0.00	112.17	N/A	N/A	0	0	75	2
2023-11-28	$37.13	$35.00	25.4%	7.3%	12.2%	21.9%	0.0%	-1.9%	-9.0%	14.4K	-185.0K	-326	0.00	115.71	N/A	N/A	0	0	75	2
2023-11-29	$37.13	$35.00	20.9%	6.0%	12.3%	15.2%	0.0%	0.4%	-3.9%	14.4K	-185.2K	-318	0.00	112.01	N/A	N/A	1	0	75	2
2023-11-30	$37.19	$35.00	24.5%	7.0%	11.9%	20.5%	0.0%	1.1%	-4.7%	14.6K	-189.5K	-330	0.00	106.85	N/A	N/A	0	0	77	2