SPCE Options History — November 2020

In November 2020, SPCE traded between $354.00 and $543.80. ATM implied volatility averaged 88.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 13.8% (HV 20d: 74.9%). Max pain ranged from $400.00 to $500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-11-18: Highest Volume — 15,887 contracts
  • 2020-11-18: Largest IV spike — 12.8% change
  • 2020-11-02: Highest IV Rank — 30.0%
  • 2020-11-02: Largest Expected Move — 32.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$442.10$354.00$543.80$354.00$528.80
Max Pain$458.00$400.00$500.00$450.00$500.00
ATM IV88.7%76.0%108.0%108.0%91.5%
Expected Move26.0%21.8%32.6%32.6%28.1%
HV 20d74.9%68.3%83.4%70.2%68.3%
HV 60d78.9%74.6%83.1%75.4%82.8%
IV Rank18.5%10.9%30.0%30.0%20.1%
IV Percentile23.6%7.5%54.5%54.5%29.6%
Term Structure1.0%-4.6%11.6%-3.6%5.1%
VWIV94.0%79.1%117.0%117.0%103.2%
Skew 25d-12.7%-35.4%4.3%-5.6%4.3%
Skew 10d-20.4%-32.7%10.4%-30.5%-19.0%
Call IV 25d98.2%82.4%106.6%105.6%106.6%
Put IV 25d85.5%66.5%110.9%100.0%110.9%
Bid-Ask Spread %4.622.3110.414.464.59
Gamma HHI0.090.060.120.070.10
Net GEX7.9M2.7M11.8M2.7M8.5M
Net DEX-411.6M-761.4M-138.3M-138.3M-633.0M
Net VEX-2.1M-2.5M-1.7M-1.7M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.200.480.250.40
Total Volume6,643.72,66915,8873,1944,446
Total OI40,57136,39946,73036,39936,555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$354.00$450.00108.0%32.6%70.2%30.0%117.0%-5.6%-3.6%2.7M-138.3M-1.7M0.254.462,55164325,96110,438
2020-11-03$369.00$450.0098.1%29.8%72.4%24.1%104.5%-9.5%11.6%3.0M-163.2M-1.7M0.293.912,07659325,96110,438
2020-11-04$360.80$440.0091.7%28.7%70.7%20.3%104.8%-11.2%0.4%3.5M-151.8M-1.7M0.442.772,03689027,24310,848
2020-11-05$382.20$460.0095.7%27.7%74.5%22.6%98.0%-12.6%-2.1%4.7M-218.0M-1.9M0.484.563,3491,59928,17111,473
2020-11-06$380.60$440.0085.2%25.0%74.1%16.4%88.4%-9.2%3.4%5.9M-209.7M-1.9M0.333.004,5441,51529,03212,017
2020-11-09$415.60$400.0085.6%24.9%80.5%16.6%90.4%-11.6%0.2%6.3M-324.1M-2.1M0.263.095,3031,40327,84611,246
2020-11-10$409.20$420.0085.8%25.1%78.2%16.7%90.8%-8.8%2.4%6.4M-290.1M-2.0M0.252.313,43285228,66011,730
2020-11-11$437.40$420.0089.8%25.6%81.5%19.2%92.0%-16.7%0.0%8.8M-420.4M-2.1M0.252.997,2331,80229,21912,026
2020-11-12$430.60$420.0088.0%25.2%81.6%18.0%89.1%-15.6%0.8%9.2M-379.3M-2.1M0.342.543,9191,31930,00912,560
2020-11-13$444.20$420.0079.3%22.8%81.4%12.9%83.2%-7.2%-0.4%10.3M-445.3M-2.1M0.272.493,54795130,49712,565
2020-11-16$419.60$420.0076.0%21.8%83.4%10.9%79.1%-10.8%3.5%7.2M-289.7M-1.9M0.283.778,1402,28129,67511,913
2020-11-17$424.20$440.0077.8%22.4%83.4%12.0%81.1%-10.8%7.2%8.3M-313.4M-1.9M0.403.343,7621,51730,60412,945
2020-11-18$453.20$480.0087.8%25.2%73.6%17.9%96.8%-17.1%-0.9%10.4M-457.6M-2.2M0.359.4411,7724,11530,64613,205
2020-11-19$482.60$500.0091.2%26.2%76.2%19.9%94.7%-16.1%-1.3%11.8M-609.7M-2.4M0.214.497,2131,48931,95413,900
2020-11-20$468.40$500.0084.6%24.9%70.8%16.0%92.4%-15.0%-0.1%10.2M-511.5M-2.3M0.3910.415,2832,05032,61914,111
2020-11-23$499.40$500.0086.8%24.9%69.1%17.3%89.1%-11.8%0.0%9.9M-595.6M-2.4M0.335.036,0241,98127,28010,798
2020-11-24$497.60$500.0087.4%25.3%69.4%17.7%92.1%-16.1%-0.6%9.9M-562.2M-2.4M0.369.663,1051,10627,30811,235
2020-11-25$540.80$500.0092.0%26.6%69.0%20.5%96.5%-16.7%-0.1%11.0M-761.4M-2.5M0.325.969,7023,14927,32711,305
2020-11-27$543.80$500.0092.0%26.2%69.1%20.4%96.6%-35.4%-4.6%10.8M-757.7M-2.5M0.203.525,1321,05027,92712,173
2020-11-30$528.80$500.0091.5%28.1%68.3%20.1%103.2%4.3%5.1%8.5M-633.0M-2.4M0.404.593,1861,26026,31110,244