SPCE Options History — October 2020

In October 2020, SPCE traded between $347.60 and $462.40. ATM implied volatility averaged 102.6%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 29.5%. IV traded above realized volatility by 9.3% (HV 20d: 93.3%). Max pain ranged from $380.00 to $480.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-10-16: Highest Volume — 12,671 contracts
  • 2020-10-06: Largest IV spike — 21.0% change
  • 2020-10-06: Highest IV Rank — 33.9%
  • 2020-10-05: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$411.77$347.60$462.40$400.60$347.60
Max Pain$430.91$380.00$480.00$380.00$450.00
ATM IV102.6%91.8%114.7%94.3%107.6%
Expected Move29.5%25.6%32.4%25.6%31.1%
HV 20d93.3%70.1%110.7%103.0%70.1%
HV 60d81.0%76.5%90.1%90.1%76.7%
IV Rank26.7%20.3%33.9%21.8%29.7%
IV Percentile44.8%27.8%53.9%33.0%53.9%
Term Structure0.9%-3.6%11.7%8.3%-3.3%
VWIV106.0%92.3%113.3%92.3%111.2%
Skew 25d-10.5%-18.3%-1.8%-12.8%-4.6%
Skew 10d-15.6%-45.3%7.0%-20.8%-9.2%
Call IV 25d108.6%98.2%115.9%105.4%107.7%
Put IV 25d98.1%86.9%105.4%92.6%103.1%
Bid-Ask Spread %3.592.215.752.212.86
Gamma HHI0.080.070.200.100.09
Net GEX7.2M1.3M11.2M7.7M1.3M
Net DEX-381.1M-563.9M-103.1M-395.5M-103.1M
Net VEX-2.1M-2.4M-1.7M-2.2M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.140.980.280.98
Total Volume5,885.2732,16612,6715,6012,979
Total OI40,054.86436,59143,22040,30041,260

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$400.60$380.0094.3%25.6%103.0%21.8%92.3%-12.8%8.3%7.7M-395.5M-2.2M0.282.214,3791,22229,24511,055
2020-10-02$416.40$380.00107.2%27.4%102.2%29.5%96.7%-15.2%11.7%9.7M-480.8M-2.3M0.202.427,3251,47029,91611,279
2020-10-05$422.80$400.0094.8%32.4%101.1%22.1%113.3%-16.4%7.2%7.7M-478.4M-2.3M0.253.705,1191,27328,4829,953
2020-10-06$423.00$400.00114.7%30.6%97.4%33.9%110.7%-16.5%0.5%8.3M-469.4M-2.3M0.235.069,2552,11129,25910,267
2020-10-07$438.80$400.00103.2%30.3%97.9%27.1%106.2%-11.8%0.7%9.5M-533.9M-2.3M0.282.853,36195130,05210,729
2020-10-08$441.40$400.00106.8%29.8%97.4%29.3%105.5%-10.5%3.3%10.5M-542.4M-2.3M0.183.223,34459830,30711,077
2020-10-09$429.60$400.0099.8%28.4%95.5%25.1%100.8%-11.3%2.6%8.7M-478.5M-2.3M0.313.202,75484830,78611,204
2020-10-12$415.80$420.00101.1%28.2%95.7%25.9%101.1%-8.3%-1.5%7.6M-394.2M-2.1M0.273.192,62869729,0569,991
2020-10-13$438.40$420.00104.3%30.2%96.9%27.8%110.5%-7.1%-0.6%9.3M-487.7M-2.2M0.252.844,7781,19529,46410,349
2020-10-14$427.60$440.00103.5%28.7%97.2%27.3%102.9%-13.6%-2.6%9.3M-436.1M-2.2M0.182.643,85367930,50410,943
2020-10-15$433.80$440.00107.2%29.8%96.8%29.5%105.9%-12.4%-0.7%11.2M-479.4M-2.3M0.182.672,97653331,58011,154
2020-10-16$448.80$440.00105.3%29.7%97.1%28.3%107.4%-13.3%-3.0%11.1M-563.9M-2.3M0.143.3011,1151,55632,01611,204
2020-10-19$457.80$440.00106.7%30.5%94.7%29.2%107.8%-5.2%-2.8%10.2M-539.7M-2.3M0.165.758,1401,27228,0698,522
2020-10-20$462.40$440.00105.0%30.0%94.4%28.2%109.0%-12.6%-1.7%11.2M-558.0M-2.4M0.184.3210,3161,81128,8918,835
2020-10-21$407.80$450.00105.5%30.3%105.9%28.5%108.6%-7.3%-3.6%6.1M-313.9M-2.1M0.365.466,1652,18929,2089,377
2020-10-22$416.80$440.0099.6%28.7%106.0%25.0%102.4%-8.8%-3.3%6.9M-334.2M-2.1M0.292.942,67877830,1899,989
2020-10-23$385.40$440.00100.8%29.2%110.7%25.7%107.8%-18.3%-2.6%2.9M-220.8M-1.9M0.513.673,4881,76330,06410,091
2020-10-26$365.40$480.0098.1%29.0%74.2%24.0%104.7%-9.7%0.8%2.7M-150.2M-1.8M0.553.642,8091,55727,98310,150
2020-10-27$368.20$480.0091.8%27.9%74.3%20.3%103.9%-8.4%0.1%2.5M-160.3M-1.8M0.364.851,59557128,45210,686
2020-10-28$350.20$480.0098.3%29.8%72.6%24.2%112.4%-1.8%9.0%1.9M-117.5M-1.7M0.653.501,7601,15028,68710,851
2020-10-29$360.40$460.00101.1%30.6%71.2%25.8%111.0%-4.4%0.9%1.9M-146.6M-1.8M0.674.592,6601,77528,95111,080
2020-10-30$347.60$450.00107.6%31.1%70.1%29.7%111.2%-4.6%-3.3%1.3M-103.1M-1.7M0.982.861,5051,47429,82111,439