SPX Options History — February 2024

In February 2024, SPX traded between $4902.03 and $5093.32. ATM implied volatility averaged 11.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.4% (HV 20d: 12.5%). Max pain ranged from $4750.00 to $4795.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.34.

Notable Days

2024-02-02: Highest Volume — 3,696,884 contracts
2024-02-13: Largest IV spike — 13.0% change
2024-02-20: Highest IV Rank — 19.8%
2024-02-13: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5009.81	$4902.03	$5093.32	$4902.03	$5093.32
Max Pain	$4766.25	$4750.00	$4795.00	$4750.00	$4795.00
ATM IV	11.1%	10.3%	12.5%	11.1%	10.7%
Expected Move	3.2%	3.0%	3.6%	3.3%	3.1%
HV 20d	12.5%	10.5%	15.1%	10.5%	13.7%
HV 60d	10.2%	9.0%	11.0%	9.9%	11.0%
IV Rank	9.5%	3.3%	19.8%	9.3%	6.2%
IV Percentile	24.3%	3.6%	51.2%	23.4%	14.7%
Term Structure	-0.1%	-0.3%	0.2%	-0.3%	-0.2%
VWIV	12.0%	11.0%	14.2%	11.9%	11.4%
Skew 25d	2.3%	1.6%	3.5%	2.4%	1.9%
Skew 10d	5.6%	4.0%	8.2%	5.2%	4.5%
Call IV 25d	10.4%	9.5%	11.4%	10.3%	10.3%
Put IV 25d	12.6%	11.2%	14.6%	12.8%	12.2%
Bid-Ask Spread %	5.54	4.17	7.12	4.31	7.12
Gamma HHI	0.03	0.02	0.04	0.02	0.04
Net GEX	46.72B	-8.28B	85.37B	41.84B	67.21B
Net DEX	-1634.22B	-1962.49B	-1200.47B	-1225.15B	-1962.49B
Net VEX	-8.30B	-9.02B	-7.89B	-8.54B	-7.98B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	1.20	1.57	1.32	1.28
Total Volume	2,872,866.4	2,129,099	3,696,884	2,880,216	2,645,070
Total OI	20,229,501.1	19,086,685	21,579,850	19,086,685	20,968,299

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 Vol	Put Vol	Call OI	Put OI
2024-02-01	$4902.03	$4750.00	11.1%	3.3%	10.5%	9.3%	11.9%	2.4%	-0.3%	41.84B	-1225.15B	-8.54B	1.32	4.31	1,242,428	1,637,788	6,441,159	12,645,526
2024-02-02	$4965.07	$4750.00	10.7%	3.2%	11.1%	6.2%	12.5%	2.1%	0.0%	75.11B	-1581.19B	-8.23B	1.27	4.28	1,626,385	2,070,499	6,535,530	12,815,008
2024-02-05	$4945.54	$4750.00	10.5%	3.2%	11.2%	5.5%	11.5%	2.1%	0.2%	37.62B	-1448.10B	-8.20B	1.29	4.17	1,373,566	1,774,005	6,601,763	12,885,737
2024-02-06	$4943.88	$4750.00	10.6%	3.1%	10.5%	5.5%	11.1%	2.1%	-0.0%	43.88B	-1440.06B	-8.23B	1.24	4.79	1,057,467	1,310,239	6,687,099	13,066,085
2024-02-07	$4996.05	$4750.00	10.5%	3.0%	10.9%	4.9%	11.6%	1.6%	-0.2%	85.37B	-1765.90B	-8.00B	1.33	5.00	1,288,038	1,709,889	6,745,725	13,248,095
2024-02-08	$4996.93	$4750.00	10.3%	3.0%	10.8%	3.7%	11.0%	1.8%	-0.2%	69.97B	-1732.16B	-8.01B	1.20	4.92	967,310	1,161,789	6,830,625	13,454,449
2024-02-09	$5021.75	$4750.00	10.3%	3.0%	10.8%	3.3%	11.0%	1.7%	0.2%	84.73B	-1865.30B	-8.03B	1.40	4.95	1,169,807	1,640,600	6,850,330	13,580,134
2024-02-12	$5025.38	$4755.00	11.0%	3.2%	10.8%	8.6%	11.8%	2.3%	-0.0%	55.74B	-1816.87B	-8.04B	1.33	5.20	1,271,700	1,694,936	6,834,048	13,604,496
2024-02-13	$4941.24	$4760.00	12.4%	3.6%	12.6%	18.9%	13.2%	3.5%	0.1%	-8.28B	-1200.47B	-8.94B	1.47	5.09	1,495,447	2,198,567	6,903,581	13,824,066
2024-02-14	$4995.95	$4765.00	11.3%	3.2%	12.7%	10.7%	14.2%	2.6%	-0.3%	44.73B	-1619.46B	-8.51B	1.57	5.18	1,305,267	2,052,894	7,021,630	14,160,370
2024-02-15	$5025.03	$4765.00	11.2%	3.2%	12.5%	10.3%	11.8%	2.3%	-0.2%	74.03B	-1819.30B	-8.50B	1.28	5.26	1,225,633	1,573,129	7,096,559	14,483,291
2024-02-16	$5007.98	$4770.00	11.3%	3.3%	12.2%	10.9%	12.1%	2.6%	-0.0%	3.26B	-1470.65B	-8.69B	1.46	5.80	1,192,436	1,744,674	6,555,421	13,303,660
2024-02-20	$4969.59	$4775.00	12.5%	3.6%	12.6%	19.8%	13.2%	3.1%	-0.1%	-3.25B	-1208.04B	-9.02B	1.31	6.04	1,235,773	1,617,200	6,503,783	13,135,913
2024-02-21	$4968.69	$4775.00	12.4%	3.6%	12.6%	19.2%	13.9%	3.1%	-0.1%	7.02B	-1228.06B	-8.77B	1.41	5.98	1,060,241	1,497,768	6,586,958	13,179,594
2024-02-22	$5087.74	$4775.00	11.6%	3.3%	14.9%	13.2%	12.4%	2.0%	-0.2%	73.45B	-1931.60B	-7.93B	1.25	6.10	1,566,115	1,959,989	6,627,174	13,350,849
2024-02-23	$5091.60	$4780.00	11.0%	3.1%	15.0%	8.4%	11.5%	1.7%	0.1%	68.85B	-1914.75B	-8.14B	1.31	6.11	1,243,064	1,628,422	6,759,954	13,579,427
2024-02-26	$5076.16	$4785.00	11.1%	3.2%	15.1%	9.1%	11.4%	1.9%	-0.1%	40.11B	-1850.86B	-7.89B	1.34	6.55	1,046,827	1,397,837	6,800,284	13,527,500
2024-02-27	$5076.36	$4785.00	10.9%	3.2%	14.9%	7.8%	11.3%	1.9%	-0.2%	43.37B	-1848.78B	-7.97B	1.35	6.91	1,003,765	1,358,429	6,879,415	13,668,172
2024-02-28	$5065.98	$4790.00	10.9%	3.2%	15.0%	7.8%	11.7%	2.2%	-0.3%	29.69B	-1755.26B	-8.31B	1.34	7.02	1,031,796	1,380,539	6,974,481	13,873,832
2024-02-29	$5093.32	$4795.00	10.7%	3.1%	13.7%	6.2%	11.4%	1.9%	-0.2%	67.21B	-1962.49B	-7.98B	1.28	7.12	1,160,387	1,484,683	7,018,483	13,949,816