SPCE Options History — June 2020

In June 2020, SPCE traded between $290.60 and $348.60. ATM implied volatility averaged 101.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 29.3%. IV traded above realized volatility by 13.4% (HV 20d: 88.2%). Max pain ranged from $320.00 to $400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.28.

Notable Days

2020-06-22: Highest Volume — 12,618 contracts
2020-06-08: Largest IV spike — 25.1% change
2020-06-08: Highest IV Rank — 35.7%
2020-06-08: Largest Expected Move — 34.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$316.86	$290.60	$348.60	$348.60	$325.40
Max Pain	$352.73	$320.00	$400.00	$400.00	$360.00
ATM IV	101.6%	88.2%	117.7%	115.1%	96.1%
Expected Move	29.3%	25.1%	34.8%	34.0%	27.0%
HV 20d	88.2%	82.1%	97.3%	91.9%	84.5%
HV 60d	113.9%	97.4%	134.4%	134.4%	98.2%
IV Rank	25.6%	18.2%	35.7%	22.7%	22.9%
IV Percentile	31.3%	17.3%	41.4%	29.4%	29.9%
Term Structure	3.2%	-3.0%	14.0%	-2.6%	14.0%
VWIV	109.1%	93.6%	127.7%	121.7%	97.0%
Skew 25d	-13.5%	-22.5%	-5.2%	-6.4%	-18.2%
Skew 10d	-25.3%	-37.8%	-8.7%	-11.4%	-32.9%
Call IV 25d	112.7%	100.5%	128.5%	121.1%	112.0%
Put IV 25d	99.2%	86.9%	114.7%	114.7%	93.8%
Bid-Ask Spread %	5.42	3.34	8.09	5.21	7.47
Gamma HHI	0.07	0.06	0.09	0.06	0.07
Net GEX	3.3M	1.6M	5.1M	4.2M	4.2M
Net DEX	-181.4M	-276.4M	-112.9M	-253.9M	-217.2M
Net VEX	-1.8M	-2.0M	-1.7M	-2.0M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.09	0.53	0.22	0.29
Total Volume	4,970.455	2,108	12,618	8,140	5,418
Total OI	35,416.182	30,521	38,077	33,232	34,863

Daily Data (22 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
2020-06-01	$348.60	$400.00	115.1%	34.0%	91.9%	0.0%	121.7%	-6.4%	-2.6%	4.2M	-253.9M	-2.0M	0.22	5.21	6,650	1,490	24,653	8,579
2020-06-02	$316.40	$360.00	102.6%	28.6%	96.1%	0.0%	104.4%	-5.3%	-0.6%	3.0M	-156.1M	-1.8M	0.25	3.60	4,755	1,178	26,522	9,124
2020-06-03	$331.40	$360.00	104.2%	30.1%	97.3%	0.0%	108.9%	-11.2%	2.0%	4.4M	-218.0M	-2.0M	0.13	3.34	7,565	953	27,336	9,556
2020-06-04	$318.00	$340.00	95.9%	28.5%	87.6%	22.7%	105.0%	-11.3%	0.0%	3.8M	-172.3M	-1.9M	0.19	5.91	2,971	556	28,126	9,696
2020-06-05	$315.60	$340.00	94.1%	28.7%	84.2%	21.7%	102.5%	-12.4%	3.3%	3.2M	-155.9M	-1.8M	0.26	4.89	2,844	731	28,258	9,819
2020-06-08	$344.00	$340.00	117.7%	34.8%	89.1%	35.7%	127.7%	-5.2%	4.5%	4.3M	-276.4M	-2.0M	0.09	5.09	8,988	784	25,444	8,473
2020-06-09	$334.60	$340.00	115.0%	34.5%	88.5%	34.1%	125.5%	-22.5%	5.2%	5.1M	-261.3M	-2.0M	0.13	5.93	3,658	479	27,398	8,676
2020-06-10	$323.20	$340.00	105.5%	31.3%	82.1%	28.4%	117.1%	-15.6%	4.9%	4.5M	-217.2M	-1.9M	0.14	6.09	3,005	423	27,790	8,894
2020-06-11	$290.60	$340.00	108.2%	32.4%	85.9%	30.1%	120.6%	-14.2%	7.4%	2.2M	-112.9M	-1.7M	0.21	7.55	3,659	780	28,061	9,063
2020-06-12	$297.60	$340.00	104.7%	30.9%	85.8%	28.0%	113.6%	-12.1%	5.4%	1.6M	-120.5M	-1.7M	0.45	8.09	2,013	907	27,947	9,266
2020-06-15	$306.60	$340.00	108.3%	31.3%	86.5%	30.1%	118.6%	-15.9%	-3.0%	2.5M	-158.2M	-1.7M	0.20	7.56	2,804	573	24,881	8,301
2020-06-16	$306.20	$320.00	102.8%	29.6%	85.8%	26.8%	110.3%	-13.5%	2.8%	2.8M	-157.8M	-1.8M	0.24	7.34	1,705	403	25,863	8,533
2020-06-17	$299.60	$340.00	96.5%	27.7%	86.0%	23.1%	109.6%	-17.0%	1.2%	2.3M	-134.1M	-1.7M	0.28	5.41	2,057	577	26,033	8,794
2020-06-18	$304.40	$340.00	94.8%	27.1%	83.1%	22.1%	108.6%	-16.8%	2.1%	2.6M	-135.4M	-1.7M	0.43	5.64	2,147	914	26,606	9,135
2020-06-19	$303.80	$380.00	89.8%	25.3%	82.8%	19.1%	96.3%	-13.6%	5.4%	2.5M	-119.4M	-1.7M	0.53	4.47	1,982	1,050	27,294	9,683
2020-06-22	$345.20	$380.00	108.6%	30.7%	92.4%	30.3%	110.9%	-16.5%	-0.9%	3.8M	-275.8M	-2.0M	0.19	5.77	10,583	2,035	23,131	7,390
2020-06-23	$328.60	$360.00	88.2%	25.1%	92.8%	18.2%	93.6%	-10.5%	5.7%	4.5M	-222.6M	-1.9M	0.26	4.89	4,407	1,154	25,933	8,167
2020-06-24	$310.60	$360.00	94.8%	26.5%	90.9%	22.1%	100.5%	-14.7%	3.2%	2.4M	-164.3M	-1.8M	0.42	4.11	3,159	1,320	26,434	8,431
2020-06-25	$303.20	$360.00	98.9%	27.8%	89.1%	24.5%	107.7%	-13.4%	2.8%	2.0M	-147.7M	-1.7M	0.47	3.40	3,196	1,493	26,844	8,789
2020-06-26	$311.20	$360.00	96.9%	27.3%	88.7%	23.4%	100.8%	-16.5%	2.2%	3.3M	-164.2M	-1.9M	0.31	3.98	3,543	1,098	27,918	9,668
2020-06-29	$306.20	$360.00	96.5%	26.0%	88.3%	23.1%	98.4%	-13.8%	5.9%	2.7M	-150.6M	-1.8M	0.39	3.59	2,410	933	25,258	8,526
2020-06-30	$325.40	$360.00	96.1%	27.0%	84.5%	22.9%	97.0%	-18.2%	14.0%	4.2M	-217.2M	-1.9M	0.29	7.47	4,208	1,210	25,993	8,870