SPX Options History — November 2024

In November 2024, SPX traded between $5715.34 and $6042.92. ATM implied volatility averaged 12.7%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.9% (HV 20d: 13.6%). Max pain ranged from $5300.00 to $5550.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.30.

Notable Days

2024-11-15: Highest Volume — 3,778,210 contracts
2024-11-06: Largest IV drop — 21.9% change
2024-11-04: Highest IV Rank — 41.4%
2024-11-01: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5929.73	$5715.34	$6042.92	$5734.26	$6042.92
Max Pain	$5443.75	$5300.00	$5550.00	$5500.00	$5550.00
ATM IV	12.7%	10.1%	17.5%	17.4%	10.1%
Expected Move	3.8%	3.1%	5.9%	5.9%	3.1%
HV 20d	13.6%	10.4%	14.8%	11.0%	13.1%
HV 60d	12.1%	11.5%	12.5%	11.5%	11.6%
IV Rank	15.9%	2.0%	41.4%	41.3%	2.0%
IV Percentile	55.9%	4.0%	96.4%	96.4%	4.0%
Term Structure	-0.1%	-0.5%	0.2%	0.0%	0.1%
VWIV	14.0%	11.7%	22.1%	22.1%	12.7%
Skew 25d	3.8%	2.7%	6.1%	6.1%	3.0%
Skew 10d	8.4%	5.7%	14.0%	13.4%	7.8%
Call IV 25d	11.1%	9.0%	14.5%	14.2%	9.0%
Put IV 25d	14.9%	12.0%	20.6%	20.3%	12.0%
Bid-Ask Spread %	5.87	4.05	8.71	8.71	6.66
Gamma HHI	0.03	0.01	0.07	0.01	0.03
Net GEX	36.85B	-39.73B	110.60B	-36.70B	87.52B
Net DEX	-2067.38B	-2594.23B	-1071.20B	-1104.56B	-2594.23B
Net VEX	-8.36B	-9.80B	-7.60B	-9.80B	-8.00B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	1.17	1.56	1.55	1.23
Total Volume	2,827,229.4	1,752,832	3,778,210	2,910,819	1,752,832
Total OI	20,438,965.6	19,532,060	21,520,747	19,968,993	21,061,909

Daily Data (20 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
2024-11-01	$5734.26	$5500.00	17.4%	5.9%	11.0%	41.3%	22.1%	6.1%	0.0%	-36.70B	-1104.56B	-9.80B	1.55	8.71	1,139,622	1,771,197	6,795,327	13,173,666
2024-11-04	$5715.34	$5300.00	17.5%	5.0%	10.5%	41.4%	18.1%	6.1%	-0.0%	-34.84B	-1071.20B	-9.58B	1.56	4.05	1,069,869	1,664,958	6,747,205	12,980,617
2024-11-05	$5770.41	$5300.00	16.4%	4.7%	10.4%	35.9%	17.1%	5.5%	0.2%	185.1M	-1370.66B	-9.25B	1.22	5.85	1,154,293	1,410,380	6,821,136	13,056,892
2024-11-06	$5930.71	$5300.00	12.8%	3.8%	14.1%	16.7%	14.4%	3.5%	-0.2%	71.19B	-2248.95B	-7.95B	1.35	4.75	1,441,237	1,950,913	6,914,326	13,094,935
2024-11-07	$5979.44	$5350.00	11.8%	3.5%	14.2%	11.2%	12.8%	2.8%	-0.3%	96.14B	-2467.80B	-7.72B	1.29	5.09	1,147,066	1,483,242	7,035,623	13,290,713
2024-11-08	$5994.69	$5400.00	11.6%	3.5%	14.0%	10.0%	12.7%	2.8%	0.1%	110.60B	-2560.36B	-7.60B	1.35	4.78	1,190,549	1,612,473	7,254,702	13,567,612
2024-11-11	$5998.67	$5400.00	11.8%	3.5%	13.8%	11.3%	13.2%	2.8%	0.1%	67.87B	-2491.15B	-7.99B	1.30	5.09	1,185,235	1,543,247	7,228,891	13,477,504
2024-11-12	$5989.59	$5400.00	11.9%	3.5%	13.3%	11.8%	12.5%	3.0%	0.1%	46.98B	-2466.06B	-7.65B	1.17	5.09	1,308,995	1,535,852	7,300,233	13,670,579
2024-11-13	$5998.26	$5400.00	11.3%	3.4%	13.2%	8.7%	12.2%	2.7%	-0.2%	63.29B	-2509.54B	-7.77B	1.22	5.74	1,330,906	1,623,541	7,401,694	13,849,861
2024-11-14	$5947.11	$5425.00	11.3%	3.4%	13.7%	8.9%	12.1%	3.0%	-0.3%	10.71B	-2217.33B	-8.12B	1.26	6.73	1,351,192	1,697,172	7,489,120	14,031,627
2024-11-15	$5862.85	$5450.00	12.9%	3.9%	14.7%	17.2%	13.5%	4.0%	0.1%	-39.73B	-1522.89B	-8.59B	1.33	6.54	1,621,306	2,156,904	6,872,095	12,659,965
2024-11-18	$5893.90	$5475.00	12.8%	3.7%	14.7%	16.5%	14.2%	3.9%	0.1%	10.15B	-1718.91B	-8.46B	1.24	6.35	1,247,944	1,544,815	6,945,265	12,727,512
2024-11-19	$5912.61	$5500.00	13.0%	3.8%	14.8%	17.8%	14.8%	4.0%	0.1%	16.04B	-1851.28B	-8.61B	1.36	5.66	1,337,526	1,813,237	7,066,655	12,842,033
2024-11-20	$5909.64	$5500.00	14.0%	4.0%	14.2%	23.1%	15.4%	4.5%	-0.5%	7.90B	-1824.13B	-8.99B	1.19	6.53	1,280,846	1,519,107	7,186,410	13,105,622
2024-11-21	$5955.05	$5500.00	13.1%	3.8%	14.4%	18.3%	13.7%	4.2%	-0.5%	42.29B	-2096.06B	-8.61B	1.19	5.22	1,409,352	1,680,531	7,210,844	13,172,272
2024-11-22	$5960.80	$5525.00	11.8%	3.5%	14.4%	11.5%	12.8%	4.1%	-0.0%	37.10B	-2126.62B	-8.47B	1.37	6.07	1,121,910	1,534,220	7,258,440	13,335,090
2024-11-25	$5982.06	$5525.00	11.1%	3.3%	14.4%	7.5%	12.3%	3.3%	-0.2%	63.41B	-2264.73B	-8.20B	1.28	6.30	1,261,269	1,619,476	7,268,885	13,236,080
2024-11-26	$6019.17	$5525.00	10.3%	3.1%	14.5%	3.5%	11.7%	3.0%	0.1%	78.56B	-2498.05B	-7.72B	1.30	6.09	1,103,386	1,429,724	7,320,290	13,395,515
2024-11-27	$5997.20	$5550.00	10.5%	3.1%	14.5%	4.2%	12.7%	3.5%	-0.2%	38.31B	-2343.11B	-8.15B	1.26	6.10	1,105,764	1,392,500	7,429,896	13,502,271
2024-11-29	$6042.92	$5550.00	10.1%	3.1%	13.1%	2.0%	12.7%	3.0%	0.1%	87.52B	-2594.23B	-8.00B	1.23	6.66	786,871	965,961	7,454,366	13,607,543