SPCE Options History — January 2020

In January 2020, SPCE traded between $226.00 and $388.20. ATM implied volatility averaged 89.3%. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 22.4% (HV 20d: 66.9%). Max pain ranged from $150.00 to $320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-01-22: Highest Volume — 5,569 contracts
  • 2020-01-13: Largest IV spike — 43.9% change
  • 2020-01-23: Largest Expected Move — 37.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$300.84$226.00$388.20$237.00$339.40
Max Pain$224.76$150.00$320.00$150.00$320.00
ATM IV89.3%65.2%129.3%70.2%89.3%
Expected Move24.9%18.6%37.1%20.1%25.6%
HV 20d66.9%51.4%85.9%66.8%84.4%
Term Structure1.2%-7.5%8.5%1.5%5.6%
VWIV88.5%65.5%132.7%69.9%92.0%
Skew 25d-9.5%-30.9%3.6%-1.1%-8.3%
Skew 10d-14.5%-39.0%7.8%-2.8%-15.5%
Call IV 25d94.1%65.4%151.5%71.9%96.2%
Put IV 25d84.6%66.4%120.6%70.8%87.9%
Bid-Ask Spread %16.637.2838.1110.9315.50
Gamma HHI0.170.110.280.230.12
Net GEX1.9M1.5M2.6M1.6M2.6M
Net DEX-176.7M-285.0M-90.2M-101.1M-206.9M
Net VEX-704.6K-1.1M-396.4K-396.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.070.590.120.32
Total Volume2,157.8572815,5695051,236
Total OI12,014.6198,15517,6798,15517,679

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$237.00$150.0070.2%20.1%66.8%0.0%69.9%-1.1%1.5%1.6M-101.1M-396.4K0.1210.93450557,433722
2020-01-03$237.20$150.0072.0%20.6%67.3%0.0%70.7%-4.3%-3.1%1.6M-103.6M-410.2K0.1310.45249327,625732
2020-01-06$226.00$160.0066.3%20.2%70.9%0.0%70.2%0.1%-1.4%1.6M-90.2M-397.3K0.1337.39322437,693742
2020-01-07$227.60$160.0065.2%19.9%71.0%0.0%68.0%3.6%-0.6%1.6M-91.9M-398.2K0.1838.11311567,713759
2020-01-08$229.60$160.0067.5%19.2%51.5%0.0%65.5%1.2%-6.3%1.7M-94.0M-398.3K0.5934.892431447,681796
2020-01-09$239.60$160.0070.7%18.6%51.4%0.0%65.7%-0.4%0.0%1.7M-107.5M-419.8K0.0735.731,300907,742887
2020-01-10$254.80$160.0072.3%19.7%52.8%0.0%68.1%-1.2%-3.3%1.8M-132.3M-462.0K0.1221.311,5381778,171924
2020-01-13$274.60$160.00104.0%21.0%55.3%0.0%72.7%-1.4%2.5%1.6M-152.4M-477.5K0.1210.982,0642588,072992
2020-01-14$280.60$160.0093.4%20.9%53.7%0.0%73.5%-4.3%8.2%1.7M-160.8M-521.2K0.1110.751,7261948,4531,163
2020-01-15$297.60$180.0085.3%24.4%55.3%0.0%88.0%-10.3%3.4%1.6M-185.0M-564.1K0.2115.654,1868848,8271,269
2020-01-16$297.60$220.0088.4%25.4%55.7%0.0%92.7%-15.8%4.9%1.8M-179.8M-670.4K0.2512.582,7476799,8661,957
2020-01-17$312.40$240.0086.9%24.9%56.4%0.0%87.8%-11.9%3.2%1.5M-196.7M-733.4K0.1612.491,24819610,3002,396
2020-01-21$347.40$240.0090.3%25.9%60.6%0.0%91.5%-14.9%4.1%1.7M-206.1M-740.3K0.277.333,0518178,9081,910
2020-01-22$388.20$260.00123.7%35.5%67.3%0.0%123.9%-23.7%-4.0%1.7M-267.5M-856.9K0.187.844,7298409,8362,377
2020-01-23$386.00$300.00129.3%37.1%68.2%0.0%132.7%-30.9%-7.5%2.1M-285.0M-992.2K0.207.283,70072311,4652,811
2020-01-24$342.40$300.00106.0%30.4%85.9%0.0%116.0%-20.8%5.8%2.3M-226.2M-1.0M0.2711.973,16785612,7393,159
2020-01-27$350.00$300.00115.0%33.0%83.0%0.0%119.7%-18.8%-6.0%2.3M-236.6M-1.1M0.329.161,86458913,1303,587
2020-01-28$357.60$300.00101.6%29.1%82.0%0.0%104.9%-16.5%3.3%2.6M-250.2M-1.1M0.2812.071,30036813,3393,787
2020-01-29$351.00$320.0091.8%26.3%82.3%0.0%94.7%-12.3%6.8%2.6M-228.1M-1.1M0.2013.351,08021713,3223,873
2020-01-30$341.00$320.0086.3%24.8%84.0%0.0%89.9%-7.5%8.5%2.6M-208.4M-1.1M0.5513.381,02156513,5043,966
2020-01-31$339.40$320.0089.3%25.6%84.4%0.0%92.0%-8.3%5.6%2.6M-206.9M-1.1M0.3215.5093829813,6254,054