SPCE Options History — March 2020

In March 2020, SPCE traded between $202.60 and $511.20. ATM implied volatility averaged 180.2%. The 30-day expected move averaged 52.1%. IV traded below realized volatility by 1.5% (HV 20d: 181.8%). Max pain ranged from $400.00 to $500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2020-03-12: Highest Volume — 5,644 contracts
  • 2020-03-12: Largest IV spike — 24.5% change
  • 2020-03-20: Largest Expected Move — 66.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$330.79$202.60$511.20$511.20$293.20
Max Pain$413.64$400.00$500.00$500.00$400.00
ATM IV180.2%138.8%225.8%152.7%162.8%
Expected Move52.1%37.9%66.6%45.4%45.0%
HV 20d181.8%171.4%211.2%174.8%177.5%
HV 60d134.7%116.6%153.3%116.6%153.3%
Term Structure-7.8%-21.4%2.9%-4.5%0.0%
VWIV182.2%130.8%230.8%161.4%159.8%
Skew 25d19.0%3.7%35.5%6.7%23.1%
Skew 10d48.3%9.5%102.7%9.5%46.0%
Call IV 25d173.0%136.9%214.0%148.5%148.9%
Put IV 25d191.9%143.8%241.9%155.2%172.0%
Bid-Ask Spread %18.8612.3140.2113.1213.16
Gamma HHI0.070.050.100.070.07
Net GEX949.7K124.2K2.0M2.0M1.0M
Net DEX-111.9M-357.7M50.4M-357.7M-103.6M
Net VEX-1.7M-2.3M-1.0M-2.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.412.040.660.61
Total Volume3,826.1821,2375,6444,5451,237
Total OI31,636.77325,13436,58632,35526,163

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$511.20$500.00152.7%45.4%174.8%0.0%161.4%6.7%-4.5%2.0M-357.7M-2.3M0.6613.122,7431,80220,61911,736
2020-03-03$500.40$500.00143.6%43.9%174.3%0.0%154.5%4.9%-1.5%1.9M-331.2M-2.3M0.9915.642,6512,63321,21812,338
2020-03-04$465.40$500.00139.0%42.3%175.2%0.0%149.7%7.2%-4.7%996.2K-232.6M-2.2M1.1314.482,1492,42621,84313,068
2020-03-05$480.00$400.00138.8%37.9%173.4%0.0%130.8%3.7%-1.3%1.5M-279.9M-2.3M0.7713.952,5711,98322,36013,423
2020-03-06$426.40$400.00139.2%37.9%179.5%0.0%132.5%6.6%-7.8%124.2K-151.1M-2.1M1.4812.312,0202,98223,08113,505
2020-03-09$394.00$400.00150.6%41.9%181.8%0.0%149.2%20.5%-1.6%990.2K-131.6M-2.0M1.1322.282,0212,27721,09811,937
2020-03-10$367.40$400.00151.3%41.1%181.4%0.0%141.7%6.1%-7.2%897.6K-84.3M-1.9M0.5814.022,7021,56621,80012,229
2020-03-11$319.40$400.00152.1%42.6%185.1%0.0%150.5%9.5%-4.8%551.9K-9.2M-1.6M1.3213.432,1882,88422,29212,274
2020-03-12$273.40$400.00189.3%50.4%189.1%0.0%182.0%21.9%-21.0%463.5K15.1M-1.5M1.7321.012,0693,57522,87012,439
2020-03-13$287.00$400.00198.8%53.2%190.7%0.0%192.3%26.5%-15.2%683.4K4.4M-1.5M2.0420.221,2652,57723,00712,384
2020-03-16$242.20$400.00191.7%54.1%182.1%0.0%190.5%23.0%2.9%355.6K25.2M-1.2M1.6818.131,0491,76121,32011,415
2020-03-17$253.20$400.00184.6%52.8%179.3%0.0%186.7%27.8%-12.6%438.0K23.9M-1.3M0.9636.551,3131,25821,55511,143
2020-03-18$202.60$400.00208.2%59.7%173.1%0.0%214.2%27.7%-4.8%274.5K50.4M-1.0M1.7840.211,2902,29221,91911,166
2020-03-19$213.20$400.00209.5%60.6%171.4%0.0%206.0%35.5%-10.9%388.7K20.6M-1.1M0.6234.341,6261,01522,32210,741
2020-03-20$226.80$400.00225.8%66.6%175.0%0.0%219.5%29.5%-21.4%632.8K6.0M-1.2M0.5522.053,4611,88622,46410,863
2020-03-23$250.80$400.00217.8%65.7%179.9%0.0%230.8%28.4%-6.1%731.9K-80.4M-1.3M0.8412.601,5951,33417,3877,747
2020-03-24$326.40$400.00206.6%62.7%211.2%0.0%217.6%13.3%-7.3%1.5M-197.7M-1.7M0.5217.573,3631,75418,0877,900
2020-03-25$317.60$400.00207.3%62.8%202.8%0.0%217.0%27.5%-8.4%1.5M-180.9M-1.7M0.6918.081,8651,28218,5688,356
2020-03-26$327.40$400.00203.4%62.6%182.9%0.0%218.9%24.3%-5.4%1.6M-190.6M-1.7M0.4113.692,5501,03518,8318,713
2020-03-27$305.80$400.00198.8%60.9%180.6%0.0%211.6%21.4%-17.8%1.3M-157.4M-1.6M0.7214.081,4161,01619,3068,727
2020-03-30$293.60$400.00192.9%55.4%177.3%0.0%191.4%21.9%-9.5%1.1M-118.5M-1.5M0.5614.011,08660818,1107,685
2020-03-31$293.20$400.00162.8%45.0%177.5%0.0%159.8%23.1%0.0%1.0M-103.6M-1.5M0.6113.1676647118,3837,780