SPYX Options History — September 2024

In September 2024, SPYX traded between $44.38 and $47.03. ATM implied volatility averaged 22.1%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.3% (HV 20d: 13.7%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 2.47.

Notable Days

2024-09-19: Highest Volume — 47 contracts
2024-09-26: Largest IV spike — 39.9% change
2024-09-10: Highest IV Rank — 43.6%
2024-09-26: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.04	$44.38	$47.03	$45.17	$47.00
Max Pain	$43.30	$43.00	$46.00	$46.00	$43.00
ATM IV	22.1%	17.8%	30.5%	22.5%	21.3%
Expected Move	5.9%	5.1%	7.6%	6.4%	6.1%
HV 20d	13.7%	12.6%	16.5%	16.5%	13.0%
HV 60d	16.4%	15.9%	16.7%	15.9%	16.6%
IV Rank	26.0%	17.1%	43.6%	26.8%	24.3%
IV Percentile	57.8%	25.8%	90.9%	68.7%	60.7%
Term Structure	-4.8%	-16.6%	-1.4%	-5.1%	-3.5%
VWIV	16.1%	16.1%	16.1%	16.1%	16.1%
Skew 25d	3.2%	-4.1%	8.6%	4.4%	1.6%
Skew 10d	4.8%	-1.1%	18.0%	2.5%	18.0%
Call IV 25d	16.6%	14.1%	24.8%	15.4%	24.8%
Put IV 25d	19.8%	12.2%	26.4%	19.8%	26.4%
Bid-Ask Spread %	132.54	121.55	148.21	143.68	131.93
Gamma HHI	0.53	0.21	0.80	0.59	0.21
Net GEX	-11.1K	-39.4K	9.1K	-12.2K	7.0K
Net DEX	-68.7K	-164.5K	36.5K	16.3K	-163.3K
Net VEX	-310	-443	-179	-441	-214
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	0.00	14.67	0.00	0.00
Total Volume	3.9	0	47	0	0
Total OI	80.9	44	101	89	51

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
2024-09-03	$45.17	$46.00	22.5%	6.4%	16.5%	26.8%	0.0%	4.4%	-5.1%	-12.2K	16.3K	-441	0.00	143.68	N/A	N/A	0	0	45	44
2024-09-04	$45.22	$46.00	25.1%	7.2%	15.2%	32.3%	0.0%	8.6%	-6.2%	-12.4K	14.6K	-443	0.00	148.21	N/A	N/A	0	0	45	44
2024-09-05	$45.03	$43.00	25.4%	5.7%	14.5%	32.9%	0.0%	-4.1%	-3.6%	-10.5K	26.7K	-421	0.00	128.60	N/A	N/A	1	0	45	44
2024-09-06	$44.38	$43.00	24.4%	5.5%	14.5%	30.9%	0.0%	2.7%	-5.4%	-3.0K	36.5K	-420	0.00	121.55	N/A	N/A	3	0	46	44
2024-09-09	$44.78	$43.00	30.2%	5.8%	14.7%	43.0%	0.0%	1.6%	-2.3%	-5.2K	26.3K	-403	0.00	127.34	N/A	N/A	1	0	48	44
2024-09-10	$45.05	$43.00	30.5%	6.2%	14.7%	43.6%	0.0%	3.0%	-2.3%	-7.2K	13.0K	-406	0.00	128.59	N/A	N/A	0	0	49	44
2024-09-11	$45.41	$43.00	21.2%	6.1%	13.6%	24.0%	0.0%	2.4%	-4.4%	-18.6K	10.4K	-391	0.00	125.67	N/A	N/A	0	0	49	44
2024-09-12	$45.92	$43.00	18.1%	5.2%	14.0%	17.6%	0.0%	2.0%	-1.7%	-18.7K	-40.4K	-366	0.00	129.18	N/A	N/A	3	0	49	44
2024-09-13	$46.17	$43.00	18.9%	5.4%	12.9%	19.3%	0.0%	4.0%	-1.4%	-31.4K	-76.7K	-353	10.00	131.57	N/A	N/A	1	10	50	44
2024-09-16	$46.23	$43.00	19.4%	5.6%	12.9%	20.3%	0.0%	2.8%	-3.7%	-32.4K	-74.2K	-308	0.00	132.97	N/A	N/A	1	0	50	50
2024-09-17	$46.15	$43.00	19.0%	5.5%	12.6%	19.6%	0.0%	2.1%	-3.5%	-35.3K	-66.0K	-304	0.00	130.53	N/A	N/A	0	0	51	50
2024-09-18	$46.13	$43.00	25.4%	7.3%	12.6%	33.0%	0.0%	1.8%	-16.6%	-39.4K	-63.7K	-290	0.00	140.59	N/A	N/A	3	0	51	50
2024-09-19	$46.91	$43.00	17.8%	5.1%	13.9%	17.1%	0.0%	1.6%	-4.4%	-17.4K	-113.7K	-217	14.67	126.92	N/A	N/A	3	44	48	50
2024-09-20	$46.85	$43.00	18.5%	5.3%	13.5%	18.5%	0.0%	4.0%	-4.9%	-22.2K	-118.1K	-186	0.00	132.48	N/A	N/A	1	0	47	50
2024-09-23	$46.75	$43.00	19.0%	5.4%	13.2%	19.5%	16.1%	5.2%	-5.1%	7.1K	-152.9K	-179	0.00	133.50	N/A	N/A	7	0	44	0
2024-09-24	$46.86	$43.00	18.9%	5.4%	13.2%	19.4%	0.0%	6.2%	-4.6%	9.1K	-160.3K	-217	0.00	132.38	N/A	N/A	0	0	51	0
2024-09-25	$46.80	$43.00	19.0%	5.4%	13.2%	19.5%	0.0%	3.5%	-5.1%	6.8K	-162.4K	-201	0.00	132.39	N/A	N/A	0	0	51	0
2024-09-26	$47.03	$43.00	26.6%	7.6%	13.0%	35.4%	0.0%	6.0%	-5.8%	7.3K	-162.0K	-230	0.00	140.00	N/A	N/A	0	0	51	0
2024-09-27	$46.95	$43.00	20.3%	5.8%	13.1%	22.1%	0.0%	4.8%	-5.3%	7.3K	-164.5K	-202	0.00	132.81	N/A	N/A	0	0	51	0
2024-09-30	$47.00	$43.00	21.3%	6.1%	13.0%	24.3%	0.0%	1.6%	-3.5%	7.0K	-163.3K	-214	0.00	131.93	N/A	N/A	0	0	51	0