SPCE Options History — September 2020

In September 2020, SPCE traded between $316.80 and $414.00. ATM implied volatility averaged 92.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 35.2% (HV 20d: 56.9%). Max pain ranged from $340.00 to $400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2020-09-28: Highest Volume — 17,057 contracts
  • 2020-09-28: Largest IV spike — 22.3% change
  • 2020-09-08: Highest IV Rank — 29.8%
  • 2020-09-08: Largest Expected Move — 30.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$346.78$316.80$414.00$347.80$382.60
Max Pain$362.38$340.00$400.00$400.00$370.00
ATM IV92.1%80.0%107.7%100.8%90.2%
Expected Move26.0%22.3%30.4%26.9%24.2%
HV 20d56.9%41.2%102.4%46.8%102.4%
HV 60d80.4%75.5%89.7%81.7%89.7%
IV Rank20.5%13.3%29.8%25.6%19.3%
IV Percentile27.5%10.5%49.0%39.4%26.9%
Term Structure3.6%-2.6%15.1%4.0%11.3%
VWIV95.3%80.6%113.6%96.4%88.3%
Skew 25d-17.2%-48.2%-6.2%-18.2%-15.6%
Skew 10d-31.7%-64.0%-16.5%-64.0%-31.5%
Call IV 25d102.5%84.5%119.9%109.3%100.7%
Put IV 25d85.3%68.1%96.3%91.1%85.1%
Bid-Ask Spread %4.302.1214.463.655.38
Gamma HHI0.080.060.140.070.09
Net GEX3.7M735.4K7.2M4.7M5.2M
Net DEX-216.1M-447.6M-121.7M-221.1M-313.9M
Net VEX-1.9M-2.2M-1.6M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.160.790.160.52
Total Volume4,845.7141,77717,0573,9976,871
Total OI36,055.1931,55639,91636,08239,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$347.80$400.00100.8%26.9%46.8%25.6%96.4%-18.2%4.0%4.7M-221.1M-1.9M0.163.653,43556227,4058,677
2020-09-02$341.40$400.00100.1%27.1%45.9%25.3%98.8%-17.4%2.0%4.0M-206.3M-1.9M0.304.533,4931,05927,7608,921
2020-09-03$329.40$340.0091.2%29.1%46.4%19.9%108.2%-20.9%0.8%2.9M-158.2M-1.8M0.458.002,6231,18527,9309,239
2020-09-04$320.20$360.00100.4%29.5%41.2%25.4%110.2%-15.7%2.2%735.4K-121.7M-1.8M0.5814.462,7991,63028,0269,595
2020-09-08$349.20$360.00107.7%30.4%49.0%29.8%113.6%-23.3%-2.5%3.7M-231.9M-1.9M0.205.177,3461,48925,9459,265
2020-09-09$354.00$340.00101.8%30.1%46.1%26.2%112.5%-25.2%3.4%4.8M-262.1M-2.0M0.204.296,1131,24526,9329,715
2020-09-10$348.80$360.0094.4%27.5%46.3%21.8%101.6%-22.1%2.8%5.3M-234.2M-1.9M0.285.353,40995128,0199,887
2020-09-11$330.60$360.0089.5%26.9%47.9%18.9%104.5%-21.5%6.6%2.8M-154.1M-1.8M0.773.232,8112,15227,99910,068
2020-09-14$348.20$360.0086.2%24.9%52.0%17.0%90.7%-12.3%-2.6%3.9M-193.9M-1.8M0.263.062,27058426,8499,732
2020-09-15$353.20$360.0084.6%24.5%52.1%16.0%88.6%-15.5%0.6%5.0M-215.4M-1.9M0.292.892,20063827,2579,708
2020-09-16$346.80$360.0083.7%24.0%51.9%15.5%89.1%-12.7%2.3%4.3M-189.9M-1.8M0.383.441,39753127,6079,773
2020-09-17$342.00$360.0083.1%23.8%51.9%15.2%86.3%-13.6%-0.3%3.5M-167.4M-1.8M0.442.501,40761627,8749,913
2020-09-18$343.80$360.0080.0%22.3%51.8%13.3%80.6%-8.6%8.0%3.2M-171.3M-1.8M0.693.011,6611,15528,05310,121
2020-09-21$329.00$360.0087.8%24.2%53.4%17.9%87.5%-6.2%7.1%2.5M-177.7M-1.7M0.332.511,95564323,8617,695
2020-09-22$327.80$360.0087.0%23.9%51.3%17.5%85.8%-15.3%2.0%2.4M-172.2M-1.7M0.552.121,15062724,5118,053
2020-09-23$316.80$360.0084.6%23.5%52.5%16.0%84.4%-12.6%4.2%1.9M-136.4M-1.6M0.472.341,67879424,8478,417
2020-09-24$319.40$360.0090.2%25.2%52.7%19.4%91.5%-14.7%5.6%1.9M-149.9M-1.7M0.793.471,8041,42725,2108,613
2020-09-25$328.00$360.0086.9%24.2%53.8%17.4%85.3%-6.3%3.6%3.1M-176.3M-1.7M0.442.451,23154625,2548,916
2020-09-28$414.00$360.00106.3%28.4%99.5%28.9%102.2%-48.2%-0.7%4.9M-436.3M-2.1M0.325.5712,9634,09424,2518,293
2020-09-29$409.40$360.0098.1%26.3%99.6%24.1%94.9%-15.4%15.1%7.2M-447.6M-2.2M0.362.938,2482,96827,3239,729
2020-09-30$382.60$370.0090.2%24.2%102.4%19.3%88.3%-15.6%11.3%5.2M-313.9M-2.1M0.525.384,5172,35428,91011,006