SPX Options History — May 2024

In May 2024, SPX traded between $5050.17 and $5319.65. ATM implied volatility averaged 11.2%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.1% (HV 20d: 11.1%). Max pain ranged from $5000.00 to $5060.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.36.

Notable Days

2024-05-31: Highest Volume — 3,201,950 contracts
2024-05-13: Largest IV spike — 12.5% change
2024-05-02: Highest IV Rank — 42.3%
2024-05-02: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5233.34	$5050.17	$5319.65	$5050.17	$5249.14
Max Pain	$5021.59	$5000.00	$5060.00	$5005.00	$5060.00
ATM IV	11.2%	9.7%	13.4%	13.4%	11.4%
Expected Move	3.3%	2.8%	4.2%	4.1%	3.4%
HV 20d	11.1%	8.1%	14.2%	13.7%	8.8%
HV 60d	11.7%	10.8%	12.7%	12.5%	10.8%
IV Rank	16.6%	0.0%	42.3%	42.1%	19.8%
IV Percentile	32.6%	0.0%	70.2%	69.8%	46.8%
Term Structure	-0.1%	-0.3%	0.3%	-0.3%	-0.0%
VWIV	12.0%	10.3%	14.9%	14.8%	12.3%
Skew 25d	2.4%	1.7%	3.5%	2.8%	3.3%
Skew 10d	5.6%	3.8%	8.3%	5.8%	7.4%
Call IV 25d	10.1%	8.4%	12.3%	12.0%	9.8%
Put IV 25d	12.5%	11.1%	14.8%	14.7%	13.0%
Bid-Ask Spread %	6.96	4.93	11.28	11.28	8.60
Gamma HHI	0.02	0.01	0.04	0.02	0.01
Net GEX	19.95B	-45.27B	93.67B	-45.27B	-21.64B
Net DEX	-1437.60B	-1992.68B	-551.68B	-551.68B	-1321.84B
Net VEX	-8.71B	-9.64B	-8.03B	-9.63B	-8.76B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	1.22	1.48	1.34	1.22
Total Volume	2,487,474.636	2,065,367	3,201,950	2,278,848	3,201,950
Total OI	20,804,838.773	19,983,477	21,801,541	19,983,477	21,801,541

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
2024-05-01	$5050.17	$5005.00	13.4%	4.1%	13.7%	42.1%	14.8%	2.8%	-0.3%	-45.27B	-551.68B	-9.63B	1.34	11.28	972,652	1,306,196	6,718,589	13,264,888
2024-05-02	$5056.27	$5005.00	13.4%	4.2%	13.2%	42.3%	14.9%	2.5%	-0.3%	-35.45B	-600.80B	-9.64B	1.32	10.46	1,138,865	1,504,468	6,739,488	13,351,215
2024-05-03	$5129.71	$5005.00	11.9%	3.5%	13.9%	24.6%	12.4%	2.1%	0.1%	21.67B	-1037.51B	-9.30B	1.37	9.46	1,233,077	1,693,211	6,793,812	13,496,292
2024-05-06	$5169.34	$5000.00	11.8%	3.5%	14.2%	23.6%	13.3%	2.0%	0.1%	37.21B	-1251.67B	-8.96B	1.48	5.22	934,054	1,385,874	6,807,123	13,327,540
2024-05-07	$5186.59	$5000.00	11.4%	3.5%	14.2%	19.1%	13.2%	2.0%	0.3%	45.26B	-1330.48B	-8.90B	1.38	5.24	1,029,394	1,424,663	6,916,525	13,478,614
2024-05-08	$5189.12	$5000.00	11.4%	3.4%	14.0%	18.8%	12.4%	2.0%	-0.2%	31.11B	-1341.89B	-8.80B	1.36	5.36	900,428	1,221,068	6,942,156	13,672,272
2024-05-09	$5211.12	$5000.00	11.0%	3.3%	13.7%	14.2%	12.0%	2.0%	-0.2%	52.45B	-1461.34B	-8.75B	1.22	5.31	1,022,480	1,248,610	6,995,990	13,783,068
2024-05-10	$5222.15	$5000.00	10.6%	3.3%	12.3%	9.4%	11.5%	2.0%	0.1%	55.66B	-1538.76B	-8.56B	1.34	4.97	1,055,458	1,411,218	7,055,468	13,938,171
2024-05-13	$5221.04	$5000.00	11.9%	3.4%	11.2%	25.1%	12.2%	2.2%	0.1%	38.12B	-1491.11B	-8.65B	1.43	5.36	850,698	1,214,669	7,069,802	13,900,215
2024-05-14	$5247.74	$5000.00	11.6%	3.3%	11.3%	21.5%	12.5%	2.2%	0.0%	49.90B	-1621.94B	-8.47B	1.32	4.93	1,083,152	1,430,254	7,075,333	14,025,590
2024-05-15	$5304.99	$5000.00	10.7%	3.0%	11.2%	10.5%	11.1%	1.7%	-0.2%	93.67B	-1992.68B	-8.11B	1.31	5.95	1,378,078	1,798,549	7,191,491	14,212,796
2024-05-16	$5300.54	$5015.00	10.5%	3.0%	11.1%	8.4%	11.3%	1.7%	-0.2%	66.19B	-1930.67B	-8.21B	1.33	6.02	1,119,202	1,492,881	7,287,587	14,491,039
2024-05-17	$5299.83	$5025.00	10.0%	2.9%	9.8%	2.1%	10.6%	1.9%	0.1%	37.36B	-1727.92B	-8.17B	1.42	7.45	976,666	1,389,344	6,742,032	13,476,798
2024-05-20	$5308.54	$5030.00	10.3%	3.0%	9.4%	5.7%	10.8%	2.0%	-0.1%	35.74B	-1761.98B	-8.03B	1.39	6.68	900,275	1,255,789	6,725,132	13,304,924
2024-05-21	$5319.65	$5035.00	10.0%	2.9%	8.8%	2.3%	10.8%	2.0%	0.1%	38.19B	-1777.59B	-8.15B	1.39	6.98	880,911	1,223,716	6,819,767	13,476,713
2024-05-22	$5298.12	$5045.00	10.5%	3.0%	9.1%	8.4%	11.3%	2.5%	-0.3%	8.16B	-1645.99B	-8.49B	1.44	7.33	999,705	1,438,811	6,918,937	13,727,543
2024-05-23	$5263.94	$5050.00	10.7%	3.1%	9.2%	10.8%	10.9%	3.0%	-0.3%	-31.20B	-1383.91B	-8.95B	1.32	7.22	1,345,259	1,770,568	6,958,546	13,952,731
2024-05-24	$5300.55	$5050.00	9.7%	2.8%	8.7%	0.0%	10.3%	2.7%	0.1%	20.61B	-1641.58B	-8.51B	1.43	8.03	1,059,548	1,516,600	7,031,434	14,149,073
2024-05-28	$5296.35	$5050.00	10.5%	3.1%	8.7%	9.7%	10.8%	3.2%	0.2%	2.59B	-1602.14B	-8.53B	1.40	6.67	939,059	1,311,180	7,041,666	14,154,989
2024-05-29	$5275.75	$5050.00	11.4%	3.3%	8.1%	19.6%	12.1%	3.4%	-0.3%	-19.86B	-1439.14B	-8.84B	1.43	6.68	959,395	1,369,350	7,072,673	14,266,000
2024-05-30	$5232.75	$5050.00	12.0%	3.5%	8.8%	26.9%	12.7%	3.5%	-0.3%	-41.49B	-1174.47B	-9.12B	1.25	7.88	1,040,394	1,296,723	7,112,216	14,438,674
2024-05-31	$5249.14	$5060.00	11.4%	3.4%	8.8%	19.8%	12.3%	3.3%	-0.0%	-21.64B	-1321.84B	-8.76B	1.22	8.60	1,443,118	1,758,832	7,208,332	14,593,209