SPCE Options History — January 2021

In January 2021, SPCE traded between $463.60 and $923.80. ATM implied volatility averaged 113.6%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 32.2%. IV traded above realized volatility by 21.0% (HV 20d: 92.6%). Max pain ranged from $500.00 to $580.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.29.

Notable Days

2021-01-14: Highest Volume — 28,035 contracts
2021-01-27: Largest IV spike — 62.6% change
2021-01-27: Highest IV Rank — 96.4%
2021-01-27: Largest Expected Move — 57.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$639.27	$463.60	$923.80	$463.60	$895.00
Max Pain	$527.37	$500.00	$580.00	$500.00	$580.00
ATM IV	113.6%	72.4%	220.3%	88.1%	187.3%
Expected Move	32.2%	25.1%	57.8%	26.4%	51.0%
HV 20d	92.6%	71.4%	109.3%	108.3%	98.5%
HV 60d	90.6%	86.5%	96.4%	86.9%	96.4%
IV Rank	27.8%	4.5%	96.4%	14.3%	74.9%
IV Percentile	44.5%	1.6%	99.2%	17.9%	92.1%
Term Structure	0.1%	-10.8%	10.1%	0.2%	-7.5%
VWIV	115.2%	89.2%	208.1%	93.8%	183.8%
Skew 25d	-22.4%	-59.8%	-9.1%	-14.2%	-59.8%
Skew 10d	-35.5%	-88.8%	-16.1%	-26.7%	-70.7%
Call IV 25d	129.3%	89.8%	239.2%	96.9%	238.7%
Put IV 25d	106.9%	78.9%	203.7%	82.7%	178.9%
Bid-Ask Spread %	4.71	2.31	17.31	2.57	10.88
Gamma HHI	0.12	0.07	0.39	0.09	0.15
Net GEX	9.9M	4.0M	15.2M	4.0M	12.1M
Net DEX	-777.7M	-1.55B	-262.1M	-262.1M	-1.37B
Net VEX	-2.4M	-3.1M	-1.9M	-1.9M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.16	0.56	0.46	0.24
Total Volume	9,623.368	2,368	28,035	3,242	10,371
Total OI	35,096.263	26,601	44,231	36,330	35,275

Daily Data (19 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
2021-01-04	$463.60	$500.00	88.1%	26.4%	108.3%	14.3%	93.8%	-14.2%	0.2%	4.0M	-262.1M	-1.9M	0.46	2.57	2,217	1,025	25,565	10,765
2021-01-05	$483.20	$500.00	87.1%	25.8%	109.3%	13.7%	92.0%	-14.2%	1.4%	5.9M	-337.4M	-2.0M	0.30	2.68	1,894	559	26,194	11,177
2021-01-06	$480.20	$500.00	72.4%	25.1%	92.0%	4.5%	90.0%	-9.1%	2.1%	6.1M	-315.8M	-2.0M	0.56	4.38	2,375	1,336	26,437	11,301
2021-01-07	$502.00	$500.00	86.2%	25.4%	94.3%	11.8%	89.2%	-14.8%	1.6%	8.2M	-412.5M	-2.1M	0.31	3.22	4,020	1,263	27,077	11,935
2021-01-08	$501.00	$500.00	86.1%	25.4%	93.9%	9.9%	89.6%	-15.8%	1.6%	13.5M	-421.9M	-2.1M	0.42	2.75	2,751	1,154	27,838	12,069
2021-01-11	$497.80	$500.00	88.4%	25.7%	93.7%	10.5%	89.5%	-17.8%	0.1%	7.6M	-379.1M	-2.0M	0.41	2.31	1,680	688	26,421	11,224
2021-01-12	$533.20	$500.00	100.5%	28.3%	98.0%	18.3%	101.5%	-26.2%	-1.4%	9.0M	-555.8M	-2.1M	0.16	2.50	6,011	945	26,825	11,485
2021-01-13	$550.80	$500.00	104.0%	29.4%	71.4%	20.7%	101.8%	-21.7%	-2.2%	12.2M	-677.9M	-2.3M	0.22	3.20	5,746	1,248	28,784	11,724
2021-01-14	$657.00	$520.00	111.5%	31.0%	87.5%	25.5%	108.1%	-10.0%	-4.1%	14.9M	-1.23B	-2.4M	0.17	3.11	24,003	4,032	29,947	12,184
2021-01-15	$611.80	$520.00	94.0%	26.8%	90.8%	14.1%	94.7%	-17.7%	-0.2%	9.4M	-907.3M	-2.4M	0.37	2.45	6,466	2,386	31,042	13,189
2021-01-19	$632.80	$540.00	100.1%	28.6%	91.0%	18.1%	107.2%	-18.1%	7.0%	8.4M	-627.0M	-2.4M	0.26	2.52	5,882	1,545	18,903	7,698
2021-01-20	$640.40	$540.00	94.6%	27.1%	85.4%	14.5%	96.7%	-15.6%	9.5%	10.8M	-674.2M	-2.5M	0.29	2.52	3,275	965	20,687	8,216
2021-01-21	$660.60	$540.00	104.6%	29.6%	85.2%	21.0%	104.2%	-14.9%	7.4%	11.3M	-749.3M	-2.6M	0.18	2.82	6,962	1,249	20,768	8,463
2021-01-22	$685.00	$540.00	101.6%	28.1%	85.4%	19.0%	100.2%	-16.8%	10.1%	15.2M	-860.3M	-2.6M	0.19	3.24	6,881	1,333	21,721	8,826
2021-01-25	$719.80	$540.00	116.7%	31.5%	85.5%	28.9%	114.2%	-22.2%	-2.1%	9.4M	-884.5M	-2.6M	0.18	3.22	14,194	2,567	19,352	7,671
2021-01-26	$847.20	$560.00	135.5%	37.7%	98.2%	41.1%	134.8%	-23.9%	-0.7%	11.0M	-1.32B	-2.7M	0.18	7.54	21,383	3,750	21,460	8,312
2021-01-27	$923.80	$560.00	220.3%	57.8%	92.6%	96.4%	208.1%	-35.5%	-10.8%	9.7M	-1.55B	-3.0M	0.22	17.31	16,271	3,538	23,149	9,437
2021-01-28	$861.00	$580.00	180.1%	51.6%	98.8%	70.2%	190.1%	-57.9%	-9.7%	9.1M	-1.25B	-3.0M	0.32	10.22	8,257	2,622	23,373	10,335
2021-01-29	$895.00	$580.00	187.3%	51.0%	98.5%	74.9%	183.8%	-59.8%	-7.5%	12.1M	-1.37B	-3.1M	0.24	10.88	8,340	2,031	24,383	10,892