SPX Options History — October 2024 In October 2024, SPX traded between $5688.04 and $5866.30. ATM implied volatility averaged 15.7%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.7% (HV 20d: 9.9%). Max pain ranged from $5300.00 to $5500.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.37.
Notable Days 2024-10-23 : Highest Volume — 3,542,716 contracts2024-10-07 : Largest IV spike — 33.2% change2024-10-07 : Highest IV Rank — 44.6%2024-10-31 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $5794.32 $5688.04 $5866.30 $5713.86 $5729.50 Max Pain $5410.22 $5300.00 $5500.00 $5425.00 $5500.00 ATM IV 15.7% 13.6% 18.1% 14.3% 17.8% Expected Move 4.7% 4.2% 6.0% 4.3% 6.0% HV 20d 9.9% 8.7% 11.6% 10.4% 11.6% HV 60d 15.4% 11.7% 16.5% 16.3% 12.0% IV Rank 31.9% 20.7% 44.6% 24.7% 43.5% IV Percentile 87.0% 73.8% 97.2% 80.6% 97.2% Term Structure -0.2% -0.6% 0.4% 0.4% -0.5% VWIV 18.9% 16.1% 22.3% 17.3% 22.3% Skew 25d 5.8% 4.7% 7.4% 6.1% 6.5% Skew 10d 12.3% 9.7% 15.3% 13.1% 14.0% Call IV 25d 13.1% 10.9% 14.9% 11.5% 14.9% Put IV 25d 18.8% 16.5% 22.1% 17.6% 21.4% Bid-Ask Spread % 5.21 3.83 7.88 7.58 7.88 Gamma HHI 0.02 0.01 0.12 0.01 0.02 Net GEX 24.92B -48.65B 138.43B -5.76B -48.65B Net DEX -1612.11B -2105.07B -1062.19B -1380.90B -1062.19B Net VEX 3.00B -10.14B 273.58B -9.92B -9.74B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 1.18 1.54 1.41 1.37 Total Volume 2,749,151.217 2,167,517 3,542,716 3,009,033 3,396,966 Total OI 20,045,624.087 19,060,453 21,488,086 19,194,225 20,235,076
Daily Data (23 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 2024-10-01 $5713.86 $5425.00 14.3% 4.3% 10.4% 24.7% 17.3% 6.1% 0.4% -5.76B -1380.90B -9.92B 1.41 7.58 1,251,171 1,757,862 6,414,173 12,780,052 2024-10-02 $5714.50 $5425.00 14.5% 4.2% 10.4% 25.7% 17.1% 6.1% -0.3% 11.25B -1404.72B -9.79B 1.54 6.29 960,559 1,477,879 6,462,564 12,916,100 2024-10-03 $5688.04 $5300.00 15.5% 5.0% 10.4% 31.0% 20.2% 6.8% -0.5% -13.79B -1256.14B -10.14B 1.47 4.73 1,002,982 1,469,434 6,515,240 13,131,140 2024-10-04 $5744.62 $5300.00 13.6% 4.6% 8.7% 20.7% 20.1% 5.6% -0.0% 31.50B -1572.06B -9.51B 1.46 4.54 1,248,211 1,816,858 6,561,099 13,342,285 2024-10-07 $5691.10 $5300.00 18.1% 5.2% 9.4% 44.6% 22.0% 7.4% 0.3% -25.82B -1246.55B -10.01B 1.39 3.83 1,121,977 1,554,447 6,550,112 13,306,092 2024-10-08 $5754.40 $5300.00 16.9% 4.7% 9.9% 38.3% 19.5% 6.8% 0.1% 40.22B -1593.30B -9.52B 1.45 3.89 1,034,790 1,499,956 6,618,840 13,376,924 2024-10-09 $5790.17 $5300.00 16.3% 4.6% 9.8% 35.4% 18.2% 6.1% -0.5% 83.62B -1771.12B -9.37B 1.29 4.11 1,213,047 1,565,907 6,717,317 13,615,505 2024-10-10 $5775.41 $5345.00 16.2% 4.6% 9.4% 34.7% 19.4% 6.1% -0.4% 36.19B -1675.53B -9.56B 1.32 4.06 1,104,189 1,454,550 6,820,699 13,815,699 2024-10-11 $5821.46 $5360.00 15.6% 4.5% 9.6% 31.3% 18.4% 5.5% 0.0% 80.31B -1932.89B -9.09B 1.39 3.88 1,207,713 1,682,451 6,805,597 13,880,023 2024-10-14 $5866.30 $5400.00 15.3% 4.5% 9.8% 30.1% 18.0% 5.3% -0.0% 89.05B -2105.07B -8.77B 1.33 4.17 1,088,797 1,451,185 6,821,078 13,848,284 2024-10-15 $5811.31 $5400.00 16.1% 4.6% 10.5% 34.1% 20.0% 5.6% 0.1% 22.05B -1790.98B -9.03B 1.48 4.41 1,273,323 1,888,534 6,911,819 14,057,663 2024-10-16 $5842.10 $5400.00 15.6% 4.5% 10.6% 31.5% 18.8% 5.0% -0.6% 138.43B -1965.65B -8.97B 1.38 3.84 1,106,942 1,523,432 7,052,295 14,273,750 2024-10-17 $5843.94 $5400.00 14.9% 4.3% 9.3% 27.7% 17.5% 4.9% -0.4% 51.87B -2015.56B -8.73B 1.31 4.39 1,266,578 1,659,954 7,069,001 14,419,085 2024-10-18 $5860.64 $5400.00 14.2% 4.2% 9.2% 24.4% 16.1% 4.7% 0.0% 36.42B -1761.25B -8.80B 1.43 4.50 1,064,282 1,523,499 6,359,978 12,797,013 2024-10-21 $5844.40 $5450.00 14.8% 4.4% 9.3% 27.0% 18.7% 5.0% 0.3% 11.19B -1643.33B -8.93B 1.44 4.86 1,040,498 1,493,253 6,366,504 12,693,949 2024-10-22 $5857.01 $5465.00 14.8% 4.4% 9.3% 27.2% 16.6% 4.9% 0.1% 25.45B -1729.31B -8.65B 1.29 5.59 1,074,808 1,387,492 6,432,350 12,847,140 2024-10-23 $5797.77 $5465.00 16.1% 4.8% 10.1% 33.9% 17.1% 5.5% -0.5% -30.89B -1423.46B 273.58B 1.32 6.35 1,526,042 2,016,674 6,537,943 12,978,621 2024-10-24 $5811.89 $5500.00 15.8% 4.8% 10.1% 32.5% 18.0% 5.6% -0.5% 2.53B -1491.87B -9.16B 1.22 6.22 1,103,993 1,341,957 6,640,158 13,231,430 2024-10-25 $5811.35 $5500.00 16.1% 4.9% 10.1% 34.4% 19.5% 6.1% -0.0% -1.57B -1461.87B -9.38B 1.34 6.19 1,395,414 1,866,944 6,672,033 13,278,147 2024-10-28 $5832.88 $5500.00 16.0% 5.0% 10.1% 33.5% 19.1% 5.9% -0.4% 11.17B -1594.68B -9.12B 1.43 6.19 890,714 1,276,803 6,687,712 13,172,359 2024-10-29 $5843.54 $5500.00 15.8% 5.1% 9.9% 32.3% 20.5% 5.6% -0.4% 27.44B -1654.32B -9.04B 1.18 5.70 1,182,821 1,398,431 6,724,719 13,196,164 2024-10-30 $5823.09 $5500.00 16.1% 5.3% 10.0% 34.2% 20.0% 5.5% -0.5% 988.7M -1545.87B -9.31B 1.31 6.54 1,109,635 1,457,524 6,801,349 13,314,273 2024-10-31 $5729.50 $5500.00 17.8% 6.0% 11.6% 43.5% 22.3% 6.5% -0.5% -48.65B -1062.19B -9.74B 1.37 7.88 1,433,010 1,963,956 6,836,667 13,398,409
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