SPCE Options History — August 2020

In August 2020, SPCE traded between $338.80 and $480.60. ATM implied volatility averaged 88.2%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 2.8% (HV 20d: 85.4%). Max pain ranged from $420.00 to $500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2020-08-13: Highest Volume — 11,376 contracts
2020-08-13: Largest IV spike — 22.3% change
2020-08-03: Highest IV Rank — 36.8%
2020-08-03: Largest Expected Move — 35.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$370.04	$338.80	$480.60	$480.60	$357.60
Max Pain	$470.48	$420.00	$500.00	$420.00	$420.00
ATM IV	88.2%	79.4%	119.6%	119.6%	99.6%
Expected Move	25.5%	23.2%	35.4%	35.4%	28.3%
HV 20d	85.4%	67.1%	109.6%	92.6%	67.1%
HV 60d	88.1%	83.2%	92.3%	87.6%	83.3%
IV Rank	18.2%	13.0%	36.8%	36.8%	25.0%
IV Percentile	19.4%	11.5%	47.9%	47.9%	39.0%
Term Structure	1.0%	-5.6%	3.5%	-5.6%	2.0%
VWIV	93.7%	84.0%	126.8%	126.8%	100.6%
Skew 25d	-12.8%	-20.2%	-5.1%	-18.9%	-20.2%
Skew 10d	-26.2%	-36.7%	-12.2%	-36.4%	-30.0%
Call IV 25d	97.0%	85.9%	129.4%	129.4%	112.2%
Put IV 25d	84.2%	77.4%	110.5%	110.5%	92.0%
Bid-Ask Spread %	5.08	2.60	14.24	4.46	4.16
Gamma HHI	0.09	0.07	0.17	0.11	0.07
Net GEX	3.2M	485.0K	5.7M	5.7M	4.2M
Net DEX	-206.5M	-547.1M	-97.9M	-547.1M	-245.6M
Net VEX	-2.0M	-2.6M	-1.8M	-2.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.12	1.33	0.39	0.12
Total Volume	5,242.286	2,309	11,376	7,338	6,193
Total OI	36,815.381	32,164	40,187	32,164	34,034

Daily Data (21 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
2020-08-03	$480.60	$420.00	119.6%	35.4%	92.6%	36.8%	126.8%	-18.9%	-5.6%	5.7M	-547.1M	-2.6M	0.39	4.46	5,262	2,076	24,624	7,540
2020-08-04	$415.80	$420.00	93.1%	27.1%	108.3%	21.1%	101.8%	-19.5%	-0.5%	3.8M	-317.9M	-2.3M	0.58	4.24	5,712	3,341	28,137	8,586
2020-08-05	$401.20	$420.00	84.6%	24.9%	109.6%	16.0%	91.5%	-16.2%	2.0%	2.5M	-262.1M	-2.2M	1.01	4.46	3,921	3,958	28,464	9,432
2020-08-06	$390.20	$500.00	86.0%	26.1%	100.0%	16.9%	95.6%	-14.2%	0.8%	1.7M	-215.6M	-2.1M	1.33	4.35	2,678	3,569	28,937	9,804
2020-08-07	$364.00	$500.00	88.0%	26.0%	103.0%	18.0%	96.0%	-11.1%	-3.3%	1.5M	-138.0M	-2.0M	1.08	3.42	2,962	3,213	29,418	10,339
2020-08-10	$383.20	$500.00	84.9%	25.5%	103.3%	16.2%	98.4%	-14.5%	3.5%	3.4M	-233.1M	-2.1M	0.65	3.73	3,151	2,057	25,421	9,124
2020-08-11	$364.00	$500.00	83.2%	24.9%	105.0%	15.2%	95.9%	-10.9%	3.0%	2.6M	-171.8M	-2.0M	0.76	4.89	2,131	1,610	26,372	9,797
2020-08-12	$363.80	$500.00	79.4%	23.8%	105.0%	13.0%	90.0%	-5.5%	3.0%	2.1M	-158.8M	-2.0M	0.99	3.04	1,657	1,637	26,694	10,187
2020-08-13	$375.80	$500.00	97.2%	28.0%	94.1%	23.5%	101.1%	-14.8%	0.5%	3.6M	-223.7M	-2.1M	0.28	3.22	8,866	2,510	26,981	10,458
2020-08-14	$369.80	$500.00	83.5%	24.0%	81.3%	15.4%	88.9%	-5.1%	0.2%	3.8M	-198.5M	-2.1M	0.46	2.69	3,583	1,650	28,885	10,918
2020-08-17	$364.40	$500.00	83.1%	24.1%	81.0%	15.2%	88.6%	-12.1%	3.2%	4.0M	-186.6M	-2.0M	0.47	3.25	3,739	1,742	27,276	9,856
2020-08-18	$356.20	$500.00	88.7%	25.6%	72.0%	18.5%	91.2%	-10.1%	1.8%	3.3M	-162.1M	-2.0M	1.05	3.57	2,300	2,413	27,919	10,506
2020-08-19	$352.00	$500.00	80.8%	23.2%	70.7%	13.8%	84.0%	-9.7%	1.5%	2.3M	-131.2M	-1.9M	0.40	10.04	1,897	765	28,194	10,769
2020-08-20	$347.60	$500.00	82.3%	23.5%	70.7%	14.6%	90.0%	-16.0%	2.2%	1.6M	-120.5M	-1.9M	0.50	9.04	3,061	1,539	28,355	10,836
2020-08-21	$338.80	$500.00	81.9%	23.3%	70.6%	14.4%	85.9%	-13.2%	2.3%	485.0K	-97.9M	-1.8M	0.80	14.24	2,033	1,626	29,143	11,044
2020-08-24	$351.80	$480.00	82.6%	23.5%	72.2%	14.8%	84.3%	-8.5%	1.3%	3.2M	-180.3M	-1.9M	0.25	9.83	2,971	755	24,618	8,604
2020-08-25	$350.60	$440.00	84.3%	23.7%	72.0%	15.8%	84.1%	-11.9%	1.9%	4.0M	-179.8M	-1.9M	0.35	4.04	1,713	596	25,678	8,735
2020-08-26	$348.00	$440.00	88.3%	25.0%	71.5%	18.3%	90.8%	-15.0%	-0.6%	4.0M	-181.6M	-1.9M	0.21	4.73	4,327	925	26,044	8,925
2020-08-27	$346.40	$420.00	89.5%	25.1%	71.5%	18.9%	91.0%	-9.5%	-1.6%	4.3M	-185.5M	-1.9M	0.36	2.60	2,546	920	26,765	9,041
2020-08-28	$349.00	$420.00	92.2%	25.0%	71.9%	20.6%	91.2%	-11.6%	3.0%	4.7M	-199.8M	-1.9M	0.28	2.65	1,940	543	27,345	9,318
2020-08-31	$357.60	$420.00	99.6%	28.3%	67.1%	25.0%	100.6%	-20.2%	2.0%	4.2M	-245.6M	-2.0M	0.12	4.16	5,546	647	25,636	8,398