SPYX Options History — December 2023

In December 2023, SPYX traded between $37.19 and $39.04. ATM implied volatility averaged 22.1%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 13.3% (HV 20d: 8.7%). Max pain ranged from $26.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2023-12-11: Highest Volume — 14 contracts
2023-12-11: Largest IV spike — 115.4% change
2023-12-11: Highest IV Rank — 38.2%
2023-12-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.22	$37.19	$39.04	$37.48	$38.91
Max Pain	$28.70	$26.00	$35.00	$35.00	$26.00
ATM IV	22.1%	12.8%	36.2%	23.7%	17.9%
Expected Move	5.5%	3.7%	6.8%	6.8%	5.1%
HV 20d	8.7%	6.8%	11.1%	11.0%	8.1%
HV 60d	13.2%	12.3%	13.9%	13.8%	12.3%
IV Rank	16.9%	2.9%	38.2%	19.4%	10.6%
IV Percentile	44.8%	1.2%	95.6%	69.8%	15.1%
Term Structure	-3.0%	-7.9%	4.3%	-0.2%	-1.2%
VWIV	25.7%	14.0%	65.0%	17.3%	17.7%
Skew 25d	0.9%	-12.3%	6.3%	6.3%	-11.6%
Skew 10d	0.4%	-12.4%	7.7%	-1.8%	-12.4%
Call IV 25d	15.4%	14.0%	19.2%	15.0%	18.0%
Put IV 25d	16.3%	6.4%	21.3%	21.3%	6.4%
Bid-Ask Spread %	127.53	103.68	143.13	117.86	108.68
Gamma HHI	0.55	0.38	0.84	0.72	0.84
Net GEX	12.2K	8.2K	14.3K	13.5K	9.4K
Net DEX	-254.1K	-309.9K	-187.5K	-202.2K	-309.9K
Net VEX	-302	-389	-225	-308	-322
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	0.50	0.50	0.00
Total Volume	2.5	0	14	3	0
Total OI	92.3	79	105	79	105

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
2023-12-01	$37.48	$35.00	23.7%	6.8%	11.0%	19.4%	17.3%	6.3%	-0.2%	13.5K	-202.2K	-308	0.50	117.86	N/A	N/A	2	1	77	2
2023-12-04	$37.28	$35.00	24.6%	5.4%	11.0%	20.7%	0.0%	5.5%	-4.3%	13.8K	-189.8K	-318	0.00	143.13	N/A	N/A	0	0	79	3
2023-12-05	$37.28	$35.00	29.4%	5.4%	11.0%	27.9%	0.0%	4.8%	-4.5%	13.9K	-193.0K	-303	0.00	142.69	N/A	N/A	0	0	79	3
2023-12-06	$37.19	$35.00	27.3%	5.5%	11.0%	24.8%	0.0%	4.4%	-5.6%	14.3K	-187.5K	-305	0.00	142.38	N/A	N/A	0	0	79	3
2023-12-07	$37.47	$35.00	26.8%	5.9%	11.1%	24.1%	0.0%	4.1%	-7.2%	13.5K	-199.6K	-288	0.00	140.69	N/A	N/A	0	0	79	3
2023-12-08	$37.65	$35.00	16.8%	5.4%	10.2%	9.0%	65.0%	4.2%	-4.0%	13.0K	-208.5K	-269	0.00	142.75	N/A	N/A	5	0	79	3
2023-12-11	$37.74	$26.00	36.2%	5.6%	9.1%	38.2%	14.0%	3.7%	-5.2%	11.2K	-232.4K	-249	0.00	140.38	N/A	N/A	14	0	84	3
2023-12-12	$37.94	$26.00	35.4%	6.1%	9.1%	37.0%	0.0%	3.0%	-7.9%	13.0K	-254.4K	-282	0.00	140.59	N/A	N/A	0	0	95	3
2023-12-13	$38.42	$26.00	20.0%	5.7%	7.3%	13.9%	0.0%	4.1%	-5.9%	13.1K	-275.8K	-256	0.00	141.84	N/A	N/A	0	0	95	3
2023-12-14	$38.53	$26.00	20.1%	5.8%	7.3%	13.9%	0.0%	3.3%	-2.7%	12.7K	-281.4K	-237	0.00	141.21	N/A	N/A	2	0	95	3
2023-12-15	$38.50	$26.00	20.3%	5.8%	7.4%	14.2%	0.0%	3.3%	-2.6%	12.6K	-283.2K	-235	0.00	142.46	N/A	N/A	6	0	97	3
2023-12-18	$38.64	$26.00	12.8%	3.7%	7.4%	2.9%	0.0%	3.4%	0.2%	10.8K	-255.7K	-225	0.00	132.15	N/A	N/A	10	0	85	0
2023-12-19	$38.78	$26.00	16.0%	4.6%	6.8%	7.8%	0.0%	-0.6%	4.3%	12.0K	-278.8K	-362	0.00	119.74	N/A	N/A	0	0	95	0
2023-12-20	$38.40	$26.00	18.7%	5.4%	7.8%	11.8%	0.0%	2.6%	-3.3%	12.9K	-266.4K	-369	0.00	108.25	N/A	N/A	0	0	95	0
2023-12-21	$38.63	$26.00	16.0%	4.6%	7.8%	7.8%	0.0%	-0.3%	2.4%	12.0K	-277.2K	-342	0.00	109.91	N/A	N/A	0	0	95	0
2023-12-22	$38.72	$26.00	20.6%	5.9%	7.8%	14.8%	14.1%	-3.1%	-3.6%	11.0K	-288.2K	-294	0.40	115.92	N/A	N/A	5	2	95	0
2023-12-26	$38.92	$26.00	20.3%	5.8%	7.8%	14.3%	0.0%	-7.7%	-4.4%	10.8K	-297.9K	-374	0.00	107.53	N/A	N/A	0	0	100	2
2023-12-27	$38.89	$26.00	20.2%	5.8%	7.8%	14.0%	0.0%	0.8%	-0.9%	11.3K	-292.5K	-389	0.00	108.72	N/A	N/A	0	0	100	2
2023-12-28	$39.04	$26.00	18.2%	5.2%	7.8%	11.1%	17.7%	-12.3%	-2.7%	8.2K	-308.2K	-307	0.00	103.68	N/A	N/A	3	0	100	2
2023-12-29	$38.91	$26.00	17.9%	5.1%	8.1%	10.6%	0.0%	-11.6%	-1.2%	9.4K	-309.9K	-322	0.00	108.68	N/A	N/A	0	0	103	2