SPCE Options History — May 2020

In May 2020, SPCE traded between $294.00 and $409.40. ATM implied volatility averaged 127.6%. The 30-day expected move averaged 36.8%. IV traded above realized volatility by 31.3% (HV 20d: 96.3%). Max pain ranged from $400.00 to $500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-05-08: Highest Volume — 10,748 contracts
  • 2020-05-28: Largest IV drop — 8.8% change
  • 2020-05-01: Largest Expected Move — 51.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$339.64$294.00$409.40$356.80$342.20
Max Pain$439.00$400.00$500.00$440.00$400.00
ATM IV127.6%111.8%153.5%153.5%118.5%
Expected Move36.8%32.0%51.1%51.1%35.1%
HV 20d96.3%82.2%114.1%112.9%91.8%
HV 60d150.2%134.5%160.4%158.9%134.5%
Term Structure-1.1%-6.0%2.7%-6.0%-2.9%
VWIV128.7%113.8%179.6%179.6%124.5%
Skew 25d-1.7%-10.3%8.3%-0.3%-2.0%
Skew 10d-5.0%-22.9%8.2%3.9%-11.7%
Call IV 25d129.5%116.1%157.5%157.5%119.8%
Put IV 25d127.7%110.6%157.2%157.2%117.8%
Bid-Ask Spread %5.703.9810.194.085.67
Gamma HHI0.080.060.150.100.15
Net GEX2.5M710.3K5.4M2.5M5.4M
Net DEX-183.2M-349.1M-76.7M-204.0M-246.6M
Net VEX-1.9M-2.2M-1.6M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.191.040.580.34
Total Volume5,081.52,05010,7486,3314,508
Total OI32,596.3527,24536,92929,21436,929

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$356.80$440.00153.5%51.1%112.9%0.0%179.6%-0.3%-6.0%2.5M-204.0M-1.9M0.584.084,0042,32720,6858,529
2020-05-04$337.00$440.00148.0%40.0%114.1%0.0%137.7%3.0%-5.2%1.6M-159.5M-1.8M0.424.441,86678019,6357,610
2020-05-05$329.00$440.00139.9%38.9%102.4%0.0%133.9%2.0%-2.9%1.6M-140.2M-1.7M0.485.322,2281,06620,2807,956
2020-05-06$370.40$440.00132.0%37.1%109.8%0.0%129.4%1.8%-0.9%2.9M-236.7M-2.0M0.2510.195,8851,49121,0188,497
2020-05-07$392.40$440.00124.3%35.5%109.4%0.0%122.5%-3.0%-4.6%4.9M-309.2M-2.1M0.239.476,8101,58521,8888,603
2020-05-08$409.40$440.00121.8%34.7%109.8%0.0%119.5%8.3%1.4%4.2M-349.1M-2.1M0.747.006,1934,55522,2048,968
2020-05-11$392.40$500.00130.9%37.6%111.7%0.0%131.3%-5.1%0.6%3.0M-275.9M-2.2M0.335.204,6051,53521,4648,531
2020-05-12$354.40$480.00132.1%38.4%94.0%0.0%134.1%-6.2%1.4%2.3M-189.5M-2.0M0.425.584,5011,87722,9589,207
2020-05-13$327.80$440.00128.4%37.2%95.0%0.0%128.3%1.4%2.3%1.3M-119.3M-1.9M0.375.222,9901,11324,13710,269
2020-05-14$316.00$440.00133.1%38.3%90.4%0.0%132.5%-1.4%-2.5%710.3K-91.5M-1.8M1.045.201,7081,78524,43710,772
2020-05-15$312.00$440.00124.8%36.0%88.8%0.0%126.5%-3.4%2.7%1.1M-76.7M-1.8M0.686.621,5091,02924,72111,040
2020-05-18$321.00$440.00119.3%34.1%89.7%0.0%119.4%-0.9%1.5%1.5M-131.3M-1.8M0.205.022,55251122,4058,836
2020-05-19$319.40$440.00122.8%35.2%82.2%0.0%122.4%-4.2%-0.3%1.8M-134.4M-1.8M0.195.262,24742923,6299,030
2020-05-20$299.40$440.00117.5%33.7%84.8%0.0%119.7%-5.2%2.0%1.3M-96.0M-1.7M0.315.202,53979724,2399,182
2020-05-21$294.00$440.00111.8%32.0%84.3%0.0%113.8%-5.5%1.3%971.2K-81.6M-1.6M0.313.981,56348724,8819,466
2020-05-22$310.80$440.00116.2%33.2%86.0%0.0%118.4%-10.3%1.0%1.9M-130.2M-1.8M0.245.784,3451,05625,2329,624
2020-05-26$326.80$420.00123.5%34.6%86.4%0.0%122.2%5.3%-4.3%3.0M-190.7M-1.9M0.194.155,4571,03924,4168,689
2020-05-27$350.80$420.00132.1%39.0%90.2%0.0%136.6%-7.0%-3.1%4.4M-285.6M-2.1M0.206.196,7791,32426,0639,231
2020-05-28$330.80$400.00120.4%33.8%91.6%0.0%121.1%-1.7%-2.8%4.4M-216.2M-1.9M0.234.363,70385227,1459,521
2020-05-29$342.20$400.00118.5%35.1%91.8%0.0%124.5%-2.0%-2.9%5.4M-246.6M-2.0M0.345.673,3721,13627,3229,607