SPCE Options History — December 2020

In December 2020, SPCE traded between $474.00 and $668.40. ATM implied volatility averaged 100.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded above realized volatility by 3.4% (HV 20d: 96.9%). Max pain ranged from $380.00 to $500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.35.

Notable Days

2020-12-14: Highest Volume — 16,273 contracts
2020-12-02: Largest IV spike — 21.4% change
2020-12-11: Highest IV Rank — 40.3%
2020-12-11: Largest Expected Move — 34.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$545.62	$474.00	$668.40	$566.00	$474.00
Max Pain	$428.18	$380.00	$500.00	$500.00	$440.00
ATM IV	100.3%	86.3%	125.4%	86.3%	86.3%
Expected Move	28.7%	23.4%	34.1%	29.1%	23.4%
HV 20d	96.9%	69.2%	113.5%	70.3%	108.6%
HV 60d	88.7%	82.0%	98.5%	83.3%	87.1%
IV Rank	24.5%	13.2%	40.3%	17.1%	13.2%
IV Percentile	40.5%	13.5%	69.4%	19.5%	13.5%
Term Structure	0.6%	-8.9%	4.9%	2.2%	3.2%
VWIV	105.4%	84.8%	125.6%	104.3%	84.8%
Skew 25d	-21.7%	-52.5%	-11.2%	-21.9%	-12.9%
Skew 10d	-28.1%	-60.4%	-0.3%	-14.7%	-23.0%
Call IV 25d	114.4%	94.8%	149.5%	108.4%	94.8%
Put IV 25d	92.7%	68.1%	122.6%	86.5%	81.9%
Bid-Ask Spread %	4.07	2.04	11.22	4.00	2.33
Gamma HHI	0.09	0.07	0.11	0.10	0.10
Net GEX	8.6M	3.0M	13.4M	9.5M	4.6M
Net DEX	-650.9M	-1.24B	-227.3M	-791.8M	-292.1M
Net VEX	-2.4M	-2.8M	-2.1M	-2.5M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.16	0.82	0.16	0.46
Total Volume	8,002	2,700	16,273	10,101	3,122
Total OI	41,641.409	36,911	48,634	36,936	41,031

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
2020-12-01	$566.00	$500.00	86.3%	29.1%	70.3%	17.1%	104.3%	-21.9%	2.2%	9.5M	-791.8M	-2.5M	0.16	4.00	8,743	1,358	26,408	10,528
2020-12-02	$550.80	$500.00	104.8%	31.1%	72.2%	28.0%	113.3%	-11.2%	4.9%	9.4M	-735.1M	-2.5M	0.21	2.97	5,788	1,236	27,428	10,859
2020-12-03	$560.20	$380.00	100.2%	29.2%	70.4%	25.3%	108.0%	-18.7%	1.3%	11.3M	-789.2M	-2.5M	0.17	4.07	4,120	694	28,005	11,003
2020-12-04	$572.80	$400.00	104.2%	29.3%	69.2%	27.7%	107.0%	-13.7%	1.2%	9.3M	-845.3M	-2.5M	0.21	3.27	4,754	977	28,331	11,248
2020-12-07	$665.20	$400.00	112.9%	32.3%	82.2%	32.9%	114.6%	-14.0%	0.4%	10.6M	-1.21B	-2.5M	0.18	7.49	13,185	2,438	27,133	10,281
2020-12-08	$668.40	$400.00	119.7%	33.8%	79.4%	36.9%	120.2%	-23.9%	-1.4%	12.3M	-1.24B	-2.6M	0.21	7.36	8,443	1,814	28,907	11,253
2020-12-09	$642.40	$400.00	114.1%	32.5%	81.5%	33.6%	116.4%	-46.3%	-1.2%	12.5M	-1.13B	-2.7M	0.18	3.71	12,393	2,269	30,610	12,019
2020-12-10	$643.40	$400.00	121.1%	33.9%	80.1%	37.7%	125.6%	-52.5%	-1.7%	12.8M	-1.14B	-2.8M	0.29	8.79	5,380	1,574	31,916	12,539
2020-12-11	$645.80	$400.00	125.4%	34.1%	79.2%	40.3%	124.0%	-26.9%	-8.9%	13.3M	-1.14B	-2.8M	0.38	11.22	7,502	2,887	32,861	12,800
2020-12-14	$533.00	$400.00	104.7%	30.2%	109.1%	28.0%	111.2%	-17.7%	-1.7%	6.9M	-503.2M	-2.4M	0.40	2.14	11,639	4,634	31,136	12,934
2020-12-15	$489.00	$420.00	98.5%	28.3%	111.9%	24.3%	104.5%	-20.7%	-0.3%	5.2M	-321.1M	-2.2M	0.55	2.10	5,941	3,255	32,053	13,668
2020-12-16	$519.40	$420.00	96.0%	27.5%	113.5%	22.8%	101.2%	-23.8%	0.9%	8.0M	-471.3M	-2.4M	0.44	2.05	4,974	2,171	33,093	14,220
2020-12-17	$513.20	$440.00	91.0%	26.7%	111.7%	19.9%	101.1%	-24.7%	-1.8%	7.8M	-430.8M	-2.3M	0.46	2.71	3,850	1,769	33,435	14,578
2020-12-18	$476.80	$440.00	89.9%	25.6%	113.0%	19.2%	99.4%	-17.3%	1.7%	3.0M	-227.3M	-2.2M	0.82	2.96	5,275	4,300	33,783	14,851
2020-12-21	$494.80	$440.00	92.8%	26.8%	113.2%	20.9%	99.9%	-18.6%	2.4%	5.6M	-407.7M	-2.2M	0.53	3.06	3,717	1,974	26,113	10,798
2020-12-22	$509.80	$440.00	103.8%	29.6%	111.4%	27.4%	107.9%	-21.1%	1.5%	7.2M	-488.7M	-2.3M	0.20	3.40	7,359	1,496	27,001	11,266
2020-12-23	$533.80	$440.00	91.6%	26.1%	112.5%	19.2%	95.0%	-15.8%	3.0%	13.4M	-647.7M	-2.5M	0.25	4.53	6,965	1,757	29,747	11,535
2020-12-24	$515.60	$440.00	89.6%	25.0%	109.2%	15.2%	92.4%	-31.1%	1.6%	10.6M	-523.4M	-2.4M	0.39	4.06	2,736	1,073	29,988	11,740
2020-12-28	$477.00	$440.00	94.5%	27.1%	112.3%	18.3%	101.2%	-17.4%	1.8%	6.1M	-345.8M	-2.1M	0.42	3.08	3,900	1,636	27,869	10,663
2020-12-29	$474.20	$440.00	90.4%	25.8%	112.1%	15.7%	95.7%	-14.6%	1.8%	5.4M	-320.2M	-2.1M	0.52	2.27	2,792	1,454	28,581	11,317
2020-12-30	$478.00	$440.00	89.2%	24.6%	108.8%	14.9%	90.5%	-12.6%	2.3%	5.2M	-325.3M	-2.1M	0.31	2.04	2,054	646	28,821	11,761
2020-12-31	$474.00	$440.00	86.3%	23.4%	108.6%	13.2%	84.8%	-12.9%	3.2%	4.6M	-292.1M	-2.1M	0.46	2.33	2,133	989	29,120	11,911