SPX Options History — December 2024

In December 2024, SPX traded between $5882.65 and $6086.92. ATM implied volatility averaged 11.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.6% (HV 20d: 11.1%). Max pain ranged from $5400.00 to $5625.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.31.

Notable Days

2024-12-20: Highest Volume — 4,031,430 contracts
2024-12-18: Largest IV spike — 50.9% change
2024-12-18: Highest IV Rank — 42.7%
2024-12-18: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6013.01	$5882.65	$6086.92	$6048.08	$5883.38
Max Pain	$5535.71	$5400.00	$5625.00	$5550.00	$5625.00
ATM IV	11.6%	9.2%	17.4%	10.0%	14.0%
Expected Move	3.5%	2.9%	5.0%	3.1%	4.0%
HV 20d	11.1%	6.8%	14.0%	13.1%	13.9%
HV 60d	11.6%	10.6%	12.8%	11.1%	12.8%
IV Rank	12.2%	0.0%	42.7%	1.7%	24.7%
IV Percentile	34.8%	0.0%	95.6%	2.0%	75.0%
Term Structure	-0.0%	-0.6%	0.3%	0.0%	0.1%
VWIV	13.0%	10.8%	18.1%	11.0%	14.3%
Skew 25d	4.0%	2.4%	7.6%	2.8%	4.5%
Skew 10d	9.0%	5.5%	15.8%	6.2%	10.1%
Call IV 25d	9.9%	8.3%	14.1%	9.0%	11.7%
Put IV 25d	14.0%	10.7%	21.3%	11.9%	16.2%
Bid-Ask Spread %	7.57	4.39	13.99	7.30	10.34
Gamma HHI	0.03	0.01	0.08	0.03	0.02
Net GEX	14.42B	-82.98B	114.38B	79.39B	-65.79B
Net DEX	-2055.44B	-2841.18B	-849.58B	-2626.30B	-849.58B
Net VEX	-559.23B	-11581.20B	-7.30B	-7.30B	-8.78B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	1.08	1.65	1.49	1.14
Total Volume	2,836,447.286	1,981,311	4,031,430	2,419,979	3,190,910
Total OI	20,779,546.524	17,723,361	23,739,976	20,536,866	18,541,812

Daily Data (21 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
2024-12-02	$6048.08	$5550.00	10.0%	3.1%	13.1%	1.7%	11.0%	2.8%	0.0%	79.39B	-2626.30B	-7.30B	1.49	7.30	972,068	1,447,911	7,341,462	13,195,404
2024-12-03	$6047.41	$5570.00	9.8%	3.0%	12.9%	0.4%	10.9%	2.8%	0.2%	62.68B	-2579.34B	-7.50B	1.33	7.63	994,048	1,326,168	7,416,013	13,485,999
2024-12-04	$6086.88	$5590.00	9.8%	2.9%	12.8%	0.4%	10.8%	2.5%	-0.2%	114.38B	-2828.85B	-7.30B	1.41	7.08	1,065,706	1,505,792	7,522,839	13,682,124
2024-12-05	$6082.73	$5400.00	9.5%	3.0%	8.8%	0.0%	11.6%	2.7%	-0.1%	77.30B	-2764.55B	-7.58B	1.17	4.39	1,148,287	1,343,729	7,642,918	13,939,893
2024-12-06	$6086.45	$5425.00	9.2%	3.0%	8.4%	0.0%	12.3%	2.4%	0.2%	69.10B	-2840.09B	-7.58B	1.55	4.88	1,029,641	1,591,059	7,747,579	14,136,145
2024-12-09	$6052.15	$5450.00	10.4%	3.2%	8.7%	6.0%	11.7%	3.2%	0.1%	14.82B	-2608.94B	-7.74B	1.36	4.71	1,159,130	1,579,760	7,733,289	14,083,087
2024-12-10	$6035.04	$5500.00	10.5%	3.2%	8.8%	6.4%	14.1%	3.4%	0.3%	-20.30B	-2462.63B	-7.99B	1.53	5.22	994,766	1,517,814	7,782,001	14,199,822
2024-12-11	$6086.92	$5450.00	10.0%	3.1%	9.2%	4.2%	11.6%	2.9%	-0.1%	73.47B	-2841.18B	-7.58B	1.22	4.99	1,091,532	1,328,339	7,834,107	14,289,799
2024-12-12	$6061.10	$5480.00	10.1%	3.1%	9.4%	4.7%	11.9%	3.2%	-0.1%	-1.45B	-2663.75B	-7.83B	1.30	4.92	1,044,663	1,353,903	7,959,053	14,433,167
2024-12-13	$6053.36	$5500.00	10.0%	3.1%	8.8%	3.9%	11.8%	3.3%	0.2%	13.36B	-2621.09B	-7.93B	1.34	4.99	1,218,409	1,637,210	8,005,120	14,576,780
2024-12-16	$6074.84	$5500.00	10.8%	3.2%	6.8%	8.0%	11.1%	3.5%	0.2%	49.97B	-2751.69B	-7.65B	1.33	5.11	1,178,509	1,571,173	7,984,576	14,540,359
2024-12-17	$6048.88	$5500.00	11.6%	3.4%	7.0%	12.1%	12.0%	3.9%	0.2%	3.05B	-2567.43B	-8.06B	1.26	5.21	1,271,365	1,601,994	8,148,520	14,835,994
2024-12-18	$5882.65	$5525.00	17.4%	5.0%	12.4%	42.7%	18.1%	7.2%	-0.5%	-67.58B	-1294.50B	-9.30B	1.34	13.99	1,522,621	2,037,146	8,260,446	15,061,647
2024-12-19	$5884.83	$5575.00	16.6%	4.8%	12.4%	38.6%	18.0%	7.6%	-0.6%	-62.38B	-1314.07B	-9.31B	1.65	11.89	1,406,989	2,326,362	8,453,307	15,286,669
2024-12-20	$5942.75	$5575.00	14.2%	4.2%	12.6%	26.0%	16.0%	5.9%	-0.5%	-30.50B	-1026.66B	-9.03B	1.28	12.06	1,764,842	2,266,588	6,010,075	11,713,286
2024-12-23	$5971.26	$5600.00	12.9%	3.9%	12.7%	19.2%	14.5%	4.9%	0.1%	2.14B	-1248.37B	-8.70B	1.21	7.44	1,283,383	1,550,160	6,097,570	11,685,991
2024-12-24	$6023.25	$5600.00	10.8%	3.1%	13.1%	8.3%	12.6%	4.3%	0.2%	45.26B	-1522.41B	-8.35B	1.08	8.33	952,897	1,028,414	6,174,204	11,790,167
2024-12-26	$6044.04	$5600.00	10.9%	3.1%	12.9%	8.7%	12.1%	4.0%	-0.1%	65.52B	-1628.15B	-8.24B	1.11	7.27	1,162,677	1,286,703	6,250,828	11,862,701
2024-12-27	$5952.90	$5610.00	12.7%	3.8%	14.0%	17.9%	13.4%	4.9%	0.1%	-36.59B	-1097.62B	-8.86B	1.26	10.01	1,621,094	2,040,320	6,299,586	12,037,909
2024-12-30	$5924.40	$5625.00	13.4%	3.9%	13.7%	21.8%	13.7%	4.5%	0.1%	-82.98B	-1027.08B	-11581.20B	1.20	11.29	1,429,486	1,721,825	6,345,674	11,982,555
2024-12-31	$5883.38	$5625.00	14.0%	4.0%	13.9%	24.7%	14.3%	4.5%	0.1%	-65.79B	-849.58B	-8.78B	1.14	10.34	1,490,624	1,700,286	6,415,007	12,126,805