SPYX Options History — February 2024 In February 2024, SPYX traded between $40.03 and $41.63. ATM implied volatility averaged 20.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 7.8% (HV 20d: 12.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.96.
Notable Days 2024-02-27 : Highest Volume — 43 contracts2024-02-06 : Largest IV drop — 53.6% change2024-02-05 : Highest IV Rank — 25.4%2024-02-29 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $40.92 $40.03 $41.63 $40.03 $41.63 Max Pain $38.10 $38.00 $39.00 $38.00 $39.00 ATM IV 20.6% 12.6% 27.2% 21.4% 25.8% Expected Move 5.7% 4.1% 7.4% 4.7% 7.4% HV 20d 12.8% 10.8% 15.2% 10.8% 13.9% HV 60d 10.4% 9.1% 11.2% 10.1% 11.1% IV Rank 15.6% 3.8% 25.4% 16.9% 23.4% IV Percentile 46.5% 2.4% 85.3% 54.0% 81.0% Term Structure -3.5% -9.8% 1.9% 1.1% -8.0% VWIV 17.5% 9.9% 23.2% 10.1% 21.7% Skew 25d 3.5% -2.2% 6.6% 4.9% 2.9% Skew 10d -0.2% -3.7% 5.2% 2.5% -3.7% Call IV 25d 16.3% 12.9% 21.6% 12.9% 18.9% Put IV 25d 19.9% 16.5% 26.7% 17.8% 21.8% Bid-Ask Spread % 137.83 132.47 142.38 135.38 141.23 Gamma HHI 0.51 0.34 0.74 0.45 0.41 Net GEX 4.6K -1.2K 6.9K 5.8K -1.0K Net DEX -123.5K -140.1K -103.4K -112.3K -120.1K Net VEX -241 -303 -141 -303 -218 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.00 13.33 0.00 13.33 Total Volume 4.2 0 43 1 0 Total OI 50.8 37 82 47 82
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 2024-02-01 $40.03 $38.00 21.4% 4.7% 10.8% 16.9% 0.0% 4.9% 1.1% 5.8K -112.3K -303 0.00 135.38 N/A N/A 0 1 43 4 2024-02-02 $40.55 $38.00 26.6% 5.1% 11.4% 24.5% 0.0% 4.2% -1.8% 5.7K -126.1K -276 0.00 140.74 N/A N/A 4 0 43 5 2024-02-05 $40.39 $38.00 27.2% 4.7% 11.6% 25.4% 0.0% 5.1% -2.2% 5.2K -116.8K -303 0.00 138.06 N/A N/A 5 0 43 5 2024-02-06 $40.36 $38.00 12.6% 5.6% 10.8% 3.8% 0.0% 4.3% -3.9% 6.7K -124.2K -277 0.00 142.38 N/A N/A 0 0 48 5 2024-02-07 $40.80 $38.00 14.6% 4.2% 11.1% 6.8% 0.0% 3.4% 0.8% 6.9K -133.5K -281 0.00 134.05 N/A N/A 1 0 48 5 2024-02-08 $40.80 $38.00 14.3% 4.1% 11.1% 6.4% 0.0% 4.4% 1.1% 6.9K -137.4K -281 0.00 138.60 N/A N/A 1 0 49 5 2024-02-09 $41.03 $38.00 14.7% 4.2% 11.1% 7.0% 0.0% 3.6% 1.9% 6.5K -140.1K -263 0.00 138.24 N/A N/A 3 0 48 5 2024-02-12 $41.05 $38.00 15.4% 4.4% 11.1% 8.0% 0.0% 1.5% -0.8% 6.9K -138.7K -240 0.50 132.47 N/A N/A 2 1 48 5 2024-02-13 $40.36 $38.00 19.9% 5.7% 12.9% 14.7% 0.0% 6.6% -3.8% 4.9K -115.1K -279 0.00 136.48 N/A N/A 3 0 47 6 2024-02-14 $40.80 $38.00 19.2% 5.5% 13.0% 13.6% 0.0% 4.7% -3.6% 4.3K -125.5K -255 0.00 133.67 N/A N/A 1 0 47 6 2024-02-15 $41.02 $38.00 19.8% 5.7% 12.8% 14.4% 0.0% 3.5% -4.5% 4.4K -130.9K -236 0.00 140.50 N/A N/A 0 0 47 6 2024-02-16 $40.89 $38.00 19.9% 5.7% 12.3% 14.6% 0.0% 4.5% -3.3% 3.9K -126.7K -240 0.50 138.27 N/A N/A 2 1 47 6 2024-02-20 $40.60 $38.00 22.5% 6.4% 12.7% 18.4% 10.1% 4.8% -6.0% 4.5K -103.4K -228 0.00 137.45 N/A N/A 1 0 34 3 2024-02-21 $40.57 $38.00 23.2% 6.7% 12.7% 19.5% 9.9% 5.3% -5.1% 4.6K -104.3K -246 0.00 134.00 N/A N/A 1 0 35 3 2024-02-22 $41.56 $38.00 21.9% 6.3% 15.1% 17.6% 22.8% -2.2% -8.2% 4.4K -121.3K -197 0.00 139.04 N/A N/A 2 0 36 3 2024-02-23 $41.61 $38.00 19.3% 5.5% 15.1% 13.7% 0.0% 2.4% -0.6% 3.9K -128.8K -141 0.00 137.35 N/A N/A 1 0 36 3 2024-02-26 $41.47 $38.00 22.7% 6.5% 15.2% 18.8% 23.2% 2.5% -5.2% 4.2K -125.9K -156 0.00 138.84 N/A N/A 11 0 36 3 2024-02-27 $41.48 $38.00 24.8% 7.1% 15.1% 21.9% 21.7% 2.0% -7.2% 4.1K -125.8K -155 13.33 141.73 N/A N/A 3 40 36 3 2024-02-28 $41.39 $39.00 25.7% 7.4% 15.2% 23.2% 0.0% 1.9% -9.8% -1.2K -113.7K -251 0.00 138.15 N/A N/A 0 0 39 43 2024-02-29 $41.63 $39.00 25.8% 7.4% 13.9% 23.4% 0.0% 2.9% -8.0% -1.0K -120.1K -218 0.00 141.23 N/A N/A 0 0 39 43
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