SPX Options History — April 2024 In April 2024, SPX traded between $4957.24 and $5240.73. ATM implied volatility averaged 14.0%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 11.2%). Max pain ranged from $5000.00 to $5050.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2024-04-12 : Highest Volume — 3,582,971 contracts2024-04-04 : Largest IV spike — 13.4% change2024-04-15 : Highest IV Rank — 79.4%2024-04-19 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $5114.23 $4957.24 $5240.73 $5240.73 $5060.35 Max Pain $5023.86 $5000.00 $5050.00 $5000.00 $5000.00 ATM IV 14.0% 11.3% 16.6% 11.3% 13.5% Expected Move 4.1% 3.2% 4.8% 3.2% 4.2% HV 20d 11.2% 9.0% 13.7% 10.3% 13.7% HV 60d 12.2% 11.4% 13.0% 11.4% 12.5% IV Rank 49.8% 17.4% 79.4% 17.4% 43.9% IV Percentile 74.8% 38.5% 94.4% 38.5% 72.2% Term Structure -0.1% -0.6% 0.3% 0.1% 0.1% VWIV 15.1% 12.1% 17.4% 12.1% 15.2% Skew 25d 3.4% 2.6% 4.9% 2.8% 3.0% Skew 10d 7.6% 5.5% 10.6% 7.6% 6.5% Call IV 25d 12.4% 10.1% 14.4% 10.1% 12.0% Put IV 25d 15.8% 12.9% 19.1% 12.9% 15.0% Bid-Ask Spread % 6.76 5.07 9.34 7.49 9.34 Gamma HHI 0.02 0.01 0.04 0.02 0.02 Net GEX -26.93B -80.49B 22.17B 22.17B -46.66B Net DEX -807.03B -1538.69B 21.00B -1538.69B -590.33B Net VEX -9.65B -10.45B -8.55B -8.55B -9.63B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 1.21 1.65 1.40 1.23 Total Volume 2,941,619.045 2,225,736 3,582,971 2,413,779 2,777,681 Total OI 20,076,656.727 18,964,876 21,394,048 18,964,876 20,236,578
Daily Data (22 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 2024-04-01 $5240.73 $5000.00 11.3% 3.2% 10.3% 17.4% 12.1% 2.8% 0.1% 22.17B -1538.69B -8.55B 1.40 7.49 1,005,874 1,407,905 6,233,030 12,731,846 2024-04-02 $5205.49 $5000.00 12.3% 3.5% 10.6% 29.8% 13.2% 2.7% 0.3% -19.18B -1244.81B -9.10B 1.43 7.69 1,088,677 1,556,823 6,290,381 12,856,058 2024-04-03 $5214.98 $5000.00 12.4% 3.4% 9.2% 31.2% 12.8% 2.6% -0.2% 6.50B -1315.58B -9.09B 1.34 9.16 1,080,784 1,444,055 6,435,572 13,099,410 2024-04-04 $5155.67 $5025.00 14.1% 4.0% 9.9% 50.9% 14.3% 3.4% -0.4% -43.31B -944.25B -9.37B 1.32 5.76 1,518,604 1,997,188 6,477,978 13,217,175 2024-04-05 $5201.73 $5025.00 13.8% 4.0% 9.7% 46.5% 14.8% 3.4% 0.1% -5.38B -1187.78B -9.63B 1.65 5.07 1,292,789 2,131,816 6,546,657 13,402,055 2024-04-08 $5206.36 $5045.00 12.9% 3.8% 9.4% 36.8% 14.8% 3.3% 0.1% -3.20B -1238.23B -9.34B 1.54 5.09 875,966 1,349,770 6,530,626 13,372,299 2024-04-09 $5195.24 $5050.00 13.3% 3.8% 9.4% 41.0% 15.0% 3.4% 0.1% -9.14B -1187.08B -9.38B 1.36 5.33 1,176,271 1,596,480 6,547,511 13,417,726 2024-04-10 $5162.33 $5050.00 13.7% 3.9% 9.0% 46.0% 14.4% 3.4% -0.3% -31.71B -1009.03B -9.49B 1.33 6.07 1,213,414 1,617,953 6,589,338 13,554,049 2024-04-11 $5209.61 $5050.00 13.0% 3.8% 9.5% 37.1% 15.2% 3.3% -0.4% 11.05B -1292.44B -9.18B 1.33 5.49 1,252,952 1,670,388 6,661,725 13,700,609 2024-04-12 $5124.23 $5050.00 14.7% 4.3% 11.1% 57.3% 16.2% 4.3% 0.0% -50.98B -777.38B -9.93B 1.44 7.25 1,466,044 2,116,927 6,717,093 13,864,239 2024-04-15 $5061.45 $5050.00 16.6% 4.8% 11.9% 79.4% 17.2% 4.9% 0.0% -76.26B -442.25B -10.29B 1.37 5.97 1,481,587 2,032,571 6,786,935 13,862,372 2024-04-16 $5063.88 $5050.00 16.0% 4.6% 11.4% 72.5% 16.8% 4.3% 0.0% -58.05B -484.22B -10.19B 1.33 5.49 1,216,855 1,623,416 6,905,251 13,992,431 2024-04-17 $5028.65 $5050.00 16.1% 4.6% 11.5% 74.2% 16.5% 4.2% -0.5% -70.94B -313.93B -10.19B 1.34 6.12 1,450,843 1,949,467 6,971,529 14,104,189 2024-04-18 $5016.10 $5050.00 15.8% 4.6% 10.9% 70.5% 16.8% 4.0% -0.6% -71.30B -252.79B -10.25B 1.42 5.88 1,240,965 1,763,330 7,082,025 14,312,023 2024-04-19 $4957.24 $5030.00 16.5% 4.8% 11.0% 78.4% 17.4% 4.0% 0.1% -80.49B 21.00B -10.45B 1.41 7.32 1,465,086 2,061,428 6,450,503 13,017,575 2024-04-22 $5013.16 $5000.00 14.7% 4.3% 12.1% 58.0% 15.3% 3.0% 0.2% -35.29B -343.05B -9.96B 1.34 7.15 1,361,474 1,830,846 6,590,995 12,930,832 2024-04-23 $5070.98 $5000.00 14.0% 4.0% 13.0% 49.0% 15.8% 2.9% 0.0% -1.34B -682.82B -9.74B 1.36 6.29 1,182,359 1,607,412 6,684,829 13,079,312 2024-04-24 $5071.61 $5000.00 13.9% 4.0% 13.0% 48.6% 14.5% 3.0% -0.5% -14.55B -680.62B -9.74B 1.24 6.68 1,209,110 1,500,150 6,780,139 13,226,249 2024-04-25 $5044.69 $5000.00 14.4% 4.2% 12.8% 53.7% 15.1% 3.2% -0.5% -37.46B -513.79B -9.88B 1.21 8.41 1,365,326 1,657,591 6,766,010 13,238,102 2024-04-26 $5103.65 $5000.00 13.0% 3.8% 13.6% 37.6% 14.2% 2.9% -0.5% 19.01B -870.16B -9.60B 1.38 8.01 1,136,703 1,565,717 6,842,626 13,462,294 2024-04-29 $5104.95 $5000.00 12.8% 3.9% 13.6% 35.8% 14.5% 2.8% 0.0% 4.04B -866.36B -9.42B 1.35 7.65 1,009,522 1,365,500 6,785,188 13,333,084 2024-04-30 $5060.35 $5000.00 13.5% 4.2% 13.7% 43.9% 15.2% 3.0% 0.1% -46.66B -590.33B -9.63B 1.23 9.34 1,245,006 1,532,675 6,807,846 13,428,732
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