SPX Options History — July 2024 In July 2024, SPX traded between $5427.25 and $5660.80. ATM implied volatility averaged 12.1%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.4% (HV 20d: 8.7%). Max pain ranged from $5200.00 to $5325.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.34.
Notable Days 2024-07-18 : Highest Volume — 3,729,390 contracts2024-07-24 : Largest IV spike — 20.6% change2024-07-30 : Highest IV Rank — 65.0%2024-07-30 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $5539.88 $5427.25 $5660.80 $5467.59 $5535.50 Max Pain $5268.18 $5200.00 $5325.00 $5200.00 $5325.00 ATM IV 12.1% 10.0% 15.3% 10.3% 14.1% Expected Move 3.5% 2.7% 4.7% 2.8% 4.2% HV 20d 8.7% 5.7% 14.5% 6.0% 14.5% HV 60d 9.3% 8.6% 10.0% 9.9% 10.0% IV Rank 28.0% 3.9% 65.0% 7.1% 51.6% IV Percentile 47.4% 3.2% 90.1% 8.3% 81.3% Term Structure -0.0% -0.6% 0.3% 0.1% -0.6% VWIV 13.3% 9.8% 17.7% 11.2% 15.9% Skew 25d 2.9% 1.9% 4.1% 2.6% 3.4% Skew 10d 6.5% 4.7% 9.7% 5.0% 7.4% Call IV 25d 10.8% 8.8% 13.5% 9.1% 12.3% Put IV 25d 13.7% 11.2% 17.3% 11.7% 15.8% Bid-Ask Spread % 6.46 4.78 10.26 8.98 10.26 Gamma HHI 0.02 0.01 0.05 0.02 0.01 Net GEX 15.85B -81.12B 120.80B 5.42B 14.63B Net DEX -1492.17B -2114.71B -700.02B -1428.72B -1337.61B Net VEX -27.56B -419.90B -7.44B -8.22B -9.62B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 1.17 1.49 1.44 1.48 Total Volume 2,785,484.227 1,717,352 3,729,390 2,411,711 2,509,402 Total OI 20,385,642.545 19,134,573 21,902,433 19,134,573 20,627,371
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 2024-07-01 $5467.59 $5200.00 10.3% 2.8% 6.0% 7.1% 11.2% 2.6% 0.1% 5.42B -1428.72B -8.22B 1.44 8.98 990,373 1,421,338 6,212,003 12,922,570 2024-07-02 $5501.62 $5200.00 10.0% 2.7% 6.2% 3.9% 9.8% 2.6% 0.3% 51.68B -1599.03B -8.09B 1.35 8.62 1,039,147 1,398,367 6,244,988 13,021,705 2024-07-03 $5527.30 $5200.00 10.3% 2.7% 6.2% 7.4% 10.2% 2.5% -0.2% 88.30B -1705.49B -8.09B 1.35 8.50 731,033 986,319 6,306,208 13,241,703 2024-07-05 $5568.02 $5200.00 10.1% 3.0% 5.8% 4.5% 12.4% 2.5% 0.2% 120.80B -1890.61B -7.86B 1.44 5.38 1,115,125 1,608,576 6,378,643 13,394,515 2024-07-08 $5568.61 $5200.00 10.3% 3.1% 5.8% 6.6% 11.9% 2.2% 0.1% 75.42B -1840.90B -7.84B 1.35 5.00 1,009,803 1,361,600 6,453,268 13,418,366 2024-07-09 $5577.20 $5200.00 10.4% 3.1% 5.7% 8.6% 12.1% 2.4% 0.1% 56.90B -1852.82B -7.92B 1.49 5.32 919,896 1,367,345 6,451,143 13,561,843 2024-07-10 $5623.50 $5225.00 10.5% 3.1% 6.1% 10.1% 11.6% 2.3% -0.2% 98.24B -2089.02B -7.44B 1.20 4.81 1,225,142 1,475,901 6,519,156 13,851,053 2024-07-11 $5588.86 $5230.00 10.7% 3.1% 6.9% 11.6% 11.6% 2.3% -0.3% 26.40B -1844.54B -8.27B 1.17 5.09 1,449,067 1,695,652 6,598,714 14,056,093 2024-07-12 $5625.17 $5250.00 10.1% 3.0% 6.7% 4.7% 12.5% 1.9% 0.1% 79.16B -2034.58B -7.92B 1.21 5.94 1,502,642 1,813,439 6,692,864 14,350,049 2024-07-15 $5625.88 $5260.00 10.9% 3.2% 6.6% 14.2% 12.1% 2.2% 0.0% 68.98B -1979.95B -8.06B 1.24 5.29 1,354,116 1,683,557 6,771,212 14,270,729 2024-07-16 $5660.80 $5295.00 11.0% 3.2% 6.7% 14.9% 12.3% 2.0% 0.1% 68.19B -2114.71B -8.03B 1.40 4.78 1,118,847 1,562,031 6,824,780 14,445,379 2024-07-17 $5592.71 $5300.00 12.2% 3.5% 7.7% 28.9% 12.8% 2.8% -0.3% -6.81B -1706.01B -8.91B 1.32 5.10 1,326,487 1,757,180 6,898,530 14,702,561 2024-07-18 $5544.84 $5300.00 12.9% 3.7% 8.4% 37.8% 13.4% 3.5% -0.4% -53.07B -1397.87B -9.38B 1.34 5.64 1,591,697 2,137,693 6,971,375 14,931,058 2024-07-19 $5503.88 $5300.00 13.6% 4.0% 8.8% 45.1% 14.2% 4.0% 0.1% -58.38B -1030.43B -9.70B 1.31 5.67 1,327,718 1,735,649 6,386,488 13,610,462 2024-07-22 $5567.79 $5315.00 12.4% 3.6% 9.7% 31.1% 13.5% 3.1% 0.1% 12.54B -1445.02B -10.69B 1.33 5.58 1,144,736 1,527,616 6,442,814 13,474,941 2024-07-23 $5558.69 $5320.00 12.5% 3.7% 9.7% 32.3% 13.4% 3.0% 0.2% -23.08B -1372.66B -419.90B 1.27 5.95 1,105,523 1,400,810 6,570,260 13,604,737 2024-07-24 $5438.40 $5325.00 15.0% 4.4% 12.6% 62.2% 15.4% 4.1% -0.4% -81.12B -717.47B -10.15B 1.36 5.93 1,513,167 2,052,188 6,519,425 13,722,597 2024-07-25 $5427.25 $5310.00 15.2% 4.5% 12.6% 63.9% 17.7% 3.8% -0.4% -79.20B -700.02B -10.28B 1.32 6.67 1,477,157 1,942,806 6,654,629 13,863,903 2024-07-26 $5459.88 $5310.00 14.2% 4.3% 12.8% 52.5% 15.3% 3.5% -0.0% -39.14B -896.32B -10.10B 1.41 7.73 1,168,745 1,645,858 6,726,327 13,899,469 2024-07-29 $5476.58 $5315.00 14.1% 4.4% 12.8% 51.6% 16.3% 3.2% 0.3% -26.87B -1026.18B -9.81B 1.34 7.40 1,004,838 1,350,083 6,700,764 13,729,940 2024-07-30 $5437.26 $5320.00 15.3% 4.7% 13.1% 65.0% 16.7% 3.5% 0.1% -50.27B -817.67B -10.03B 1.38 8.37 1,149,144 1,582,840 6,705,654 13,753,847 2024-07-31 $5535.50 $5325.00 14.1% 4.2% 14.5% 51.6% 15.9% 3.4% -0.6% 14.63B -1337.61B -9.62B 1.48 10.26 1,010,798 1,498,604 6,771,121 13,856,250
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