SPCE Options History — July 2020

In July 2020, SPCE traded between $324.20 and $514.60. ATM implied volatility averaged 122.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 34.7%. IV traded above realized volatility by 35.1% (HV 20d: 87.8%). Max pain ranged from $360.00 to $460.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.32.

Notable Days

2020-07-17: Highest Volume — 24,077 contracts
2020-07-06: Largest IV spike — 49.7% change
2020-07-10: Highest IV Rank — 55.7%
2020-07-17: Largest Expected Move — 40.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$420.49	$324.20	$514.60	$334.40	$449.60
Max Pain	$407.27	$360.00	$460.00	$360.00	$420.00
ATM IV	122.9%	81.4%	151.3%	96.5%	112.0%
Expected Move	34.7%	21.1%	40.6%	25.2%	33.1%
HV 20d	87.8%	78.3%	99.9%	83.5%	91.4%
HV 60d	89.8%	85.2%	93.5%	93.3%	87.3%
IV Rank	38.8%	14.1%	55.7%	23.1%	32.3%
IV Percentile	51.5%	13.7%	74.8%	31.0%	41.6%
Term Structure	-2.5%	-29.4%	15.6%	15.6%	-1.2%
VWIV	123.7%	85.5%	146.4%	92.6%	121.5%
Skew 25d	-16.0%	-40.5%	6.5%	-16.8%	-15.1%
Skew 10d	-22.3%	-51.6%	45.3%	-28.7%	-36.2%
Call IV 25d	132.5%	96.5%	165.2%	111.9%	122.9%
Put IV 25d	116.6%	83.3%	144.2%	95.1%	107.8%
Bid-Ask Spread %	6.04	2.98	18.57	4.73	5.51
Gamma HHI	0.10	0.08	0.17	0.09	0.17
Net GEX	5.7M	1.9M	8.6M	5.9M	1.9M
Net DEX	-466.9M	-767.1M	-210.8M	-258.2M	-411.4M
Net VEX	-2.4M	-2.8M	-1.9M	-2.0M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.13	0.63	0.20	0.53
Total Volume	9,072.909	2,686	24,077	4,535	3,889
Total OI	36,505.727	33,212	40,449	36,595	36,236

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
2020-07-01	$334.40	$360.00	96.5%	25.2%	83.5%	23.1%	92.6%	-16.8%	15.6%	5.9M	-258.2M	-2.0M	0.20	4.73	3,781	754	27,164	9,431
2020-07-02	$324.20	$360.00	81.4%	21.1%	82.9%	14.1%	85.5%	-13.2%	14.6%	5.6M	-211.5M	-1.9M	0.25	4.13	3,726	919	27,487	9,747
2020-07-06	$339.00	$460.00	121.8%	31.5%	84.2%	38.2%	112.6%	-19.1%	-0.8%	3.9M	-236.3M	-2.0M	0.28	18.57	3,533	991	25,529	8,707
2020-07-07	$330.60	$440.00	93.5%	31.1%	78.8%	21.3%	111.0%	6.5%	4.8%	4.1M	-210.8M	-1.9M	0.29	13.68	2,351	673	26,529	8,982
2020-07-08	$334.00	$400.00	115.2%	31.8%	78.3%	34.2%	113.2%	3.5%	6.3%	4.7M	-227.4M	-1.9M	0.13	18.11	2,378	308	26,805	9,144
2020-07-09	$381.40	$400.00	133.0%	38.8%	90.2%	44.8%	135.7%	-25.9%	-9.8%	5.9M	-437.6M	-2.2M	0.18	5.12	16,268	2,875	27,294	9,267
2020-07-10	$385.60	$400.00	151.3%	38.6%	79.4%	55.7%	136.9%	-40.5%	-29.4%	6.7M	-449.7M	-2.3M	0.23	4.54	9,393	2,115	29,027	10,271
2020-07-13	$367.60	$400.00	140.5%	38.0%	82.2%	49.3%	138.8%	-32.2%	-6.3%	4.7M	-344.4M	-2.2M	0.19	6.90	11,992	2,323	27,564	9,572
2020-07-14	$367.40	$400.00	143.5%	39.6%	82.0%	51.0%	146.4%	-32.8%	-5.1%	4.6M	-331.5M	-2.2M	0.36	4.90	4,735	1,685	28,529	10,243
2020-07-15	$371.00	$400.00	133.9%	37.7%	81.9%	45.3%	131.0%	-18.1%	-2.0%	5.2M	-336.0M	-2.2M	0.24	4.73	3,516	831	29,064	10,590
2020-07-16	$422.20	$400.00	146.0%	39.8%	91.2%	52.6%	140.3%	-22.6%	-9.1%	6.7M	-575.8M	-2.4M	0.23	4.79	18,135	4,184	28,983	10,681
2020-07-17	$476.60	$400.00	147.8%	40.6%	98.4%	53.6%	140.9%	-19.9%	-10.8%	8.2M	-767.1M	-2.6M	0.26	5.97	19,048	5,029	29,530	10,919
2020-07-20	$462.40	$400.00	135.1%	38.0%	99.9%	46.1%	133.6%	-22.6%	-3.3%	6.2M	-577.3M	-2.6M	0.38	3.61	4,874	1,839	25,394	7,864
2020-07-21	$504.80	$400.00	138.2%	39.3%	95.1%	47.9%	138.7%	-16.0%	-4.9%	7.4M	-734.6M	-2.7M	0.22	3.83	12,321	2,665	26,083	8,309
2020-07-22	$514.60	$400.00	127.9%	36.7%	91.6%	41.8%	127.7%	-9.4%	-3.5%	8.2M	-762.3M	-2.8M	0.28	3.19	6,838	1,898	26,904	8,713
2020-07-23	$502.80	$420.00	126.7%	36.5%	88.5%	41.1%	128.6%	-11.7%	-2.2%	8.6M	-711.5M	-2.7M	0.37	4.26	10,269	3,774	27,469	8,937
2020-07-24	$487.00	$420.00	124.7%	36.2%	89.1%	39.9%	126.1%	-10.0%	-4.2%	6.1M	-611.7M	-2.7M	0.42	3.42	4,900	2,055	27,643	9,392
2020-07-27	$496.40	$420.00	123.1%	36.1%	89.1%	38.9%	127.4%	-10.5%	-2.2%	6.2M	-621.9M	-2.7M	0.33	2.98	4,512	1,504	25,201	8,011
2020-07-28	$479.20	$420.00	110.6%	32.5%	90.5%	31.5%	114.7%	-7.8%	-1.5%	6.5M	-548.1M	-2.6M	0.40	3.37	5,778	2,309	26,246	8,308
2020-07-29	$461.00	$420.00	103.5%	30.6%	91.8%	27.2%	108.7%	-10.1%	-0.9%	4.8M	-457.4M	-2.5M	0.63	3.10	3,327	2,091	26,492	8,886
2020-07-30	$459.00	$420.00	98.4%	30.2%	92.0%	24.3%	108.6%	-6.9%	1.9%	4.2M	-448.3M	-2.5M	0.59	3.46	2,022	1,196	26,811	9,168
2020-07-31	$449.60	$420.00	112.0%	33.1%	91.4%	32.3%	121.5%	-15.1%	-1.2%	1.9M	-411.4M	-2.5M	0.53	5.51	2,549	1,340	26,959	9,277