SPX Options History — June 2024

In June 2024, SPX traded between $5268.70 and $5484.05. ATM implied volatility averaged 10.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.1% (HV 20d: 7.6%). Max pain ranged from $5050.00 to $5200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.30.

Notable Days

  • 2024-06-17: Highest Volume — 3,558,307 contracts
  • 2024-06-12: Largest IV drop — 9.7% change
  • 2024-06-03: Highest IV Rank — 21.2%
  • 2024-06-04: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5413.43$5268.70$5484.05$5268.70$5469.70
Max Pain$5111.05$5050.00$5200.00$5060.00$5200.00
ATM IV10.7%9.8%11.5%11.5%10.3%
Expected Move3.1%2.9%3.5%3.5%2.9%
HV 20d7.6%6.0%8.2%7.5%6.0%
HV 60d10.4%10.2%10.7%10.6%10.2%
IV Rank11.3%1.3%21.2%21.2%6.9%
IV Percentile21.8%0.4%52.0%52.0%6.3%
Term Structure-0.0%-0.4%0.3%-0.0%0.1%
VWIV12.0%10.7%14.8%12.8%11.1%
Skew 25d2.3%1.7%2.9%2.9%2.5%
Skew 10d5.3%3.8%6.2%5.8%4.9%
Call IV 25d9.6%9.0%10.1%10.1%9.0%
Put IV 25d11.9%10.9%13.1%13.1%11.5%
Bid-Ask Spread %6.664.988.727.618.68
Gamma HHI0.020.010.030.010.01
Net GEX43.79B2.44B97.39B2.44B8.04B
Net DEX-1922.18B-2572.10B-1441.08B-1441.08B-1510.80B
Net VEX-8.08B-9.62B-7.51B-8.72B-8.22B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.301.121.501.251.12
Total Volume2,681,455.6842,087,1593,558,3072,632,7533,405,712
Total OI21,509,315.05319,116,87524,264,97021,323,42419,823,109

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$5268.70$5060.0011.5%3.5%7.5%21.2%12.8%2.9%-0.0%2.44B-1441.08B-8.72B1.257.611,168,0371,464,7167,108,70914,214,715
2024-06-04$5288.77$5065.0011.5%3.5%7.2%20.8%12.5%2.9%0.1%19.46B-1564.45B-9.62B1.308.721,085,6651,406,0907,163,76714,259,361
2024-06-05$5344.90$5070.0011.0%3.4%7.9%15.5%12.8%2.6%-0.2%72.38B-1927.58B-8.20B1.258.251,204,5251,510,4407,235,36114,494,488
2024-06-06$5348.88$5050.0010.8%3.2%7.9%13.0%12.0%2.5%-0.3%47.89B-1951.91B-8.14B1.294.98971,4731,252,7367,320,63614,668,646
2024-06-07$5349.52$5050.0010.4%3.1%7.8%8.1%12.0%2.1%0.1%39.31B-1940.11B-8.14B1.215.861,208,4571,466,5047,338,96614,757,128
2024-06-10$5356.31$5050.0010.7%3.2%7.8%11.7%11.9%2.2%0.3%41.24B-1963.00B-7.94B1.215.38984,5431,194,3477,328,39214,661,531
2024-06-11$5368.36$5050.0011.1%3.2%7.8%16.2%12.5%2.4%0.1%47.89B-2040.00B-7.96B1.275.661,101,5681,402,0217,392,41214,780,662
2024-06-12$5412.90$5050.0010.0%2.9%8.1%3.8%10.7%1.8%-0.1%85.09B-2306.01B-7.53B1.206.671,391,7621,668,5987,469,67714,966,383
2024-06-13$5434.60$5090.009.8%2.9%7.4%1.3%11.8%1.7%-0.1%77.05B-2371.23B-7.51B1.415.441,121,1461,579,5667,583,15715,062,401
2024-06-14$5424.91$5100.0010.1%3.0%7.4%4.9%11.0%2.4%0.1%51.93B-2312.18B-7.81B1.506.071,122,5241,679,0377,690,28315,316,031
2024-06-17$5482.46$5100.0010.4%3.1%8.1%8.8%11.0%2.1%0.1%97.39B-2572.10B-7.51B1.306.311,549,5052,008,8027,679,45215,410,381
2024-06-18$5484.05$5125.0010.4%3.0%8.1%8.6%11.4%2.1%0.1%81.11B-2566.81B-7.57B1.465.781,206,8781,763,9857,877,48915,831,587
2024-06-20$5477.86$5175.0011.0%3.2%8.2%15.0%12.8%2.3%-0.4%56.45B-2489.03B-7.91B1.416.001,373,7701,936,3778,028,05416,236,916
2024-06-21$5466.31$5175.0010.8%3.2%8.0%12.6%12.7%2.3%0.1%16.43B-1475.18B-8.11B1.296.031,175,4841,521,6986,077,83813,223,095
2024-06-24$5462.09$5175.0011.0%3.2%7.5%15.0%12.5%2.4%0.1%11.96B-1470.77B-8.21B1.406.861,060,9531,488,7396,111,36213,005,513
2024-06-25$5466.61$5170.0010.7%3.1%7.3%12.0%14.8%2.3%0.2%21.55B-1525.06B-8.00B1.336.96949,0631,258,3106,190,24013,112,973
2024-06-26$5469.49$5175.0010.7%3.0%7.2%11.3%11.1%2.4%-0.2%24.74B-1528.67B-8.21B1.267.77923,9891,163,1706,262,73813,302,457
2024-06-27$5478.74$5180.0010.3%2.9%6.9%7.4%11.1%2.4%-0.3%29.73B-1565.39B-8.13B1.197.57994,1581,183,3106,311,87413,379,202
2024-06-28$5469.70$5200.0010.3%2.9%6.0%6.9%11.1%2.5%0.1%8.04B-1510.80B-8.22B1.128.681,603,3251,802,3876,347,37713,475,732