SPCE Options History — February 2021

In February 2021, SPCE traded between $749.40 and $1196.60. ATM implied volatility averaged 149.9%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 42.5%. IV traded above realized volatility by 10.8% (HV 20d: 139.1%). Max pain ranged from $580.00 to $800.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-02-11: Highest Volume — 12,660 contracts
  • 2021-02-26: Largest IV drop — 26.9% change
  • 2021-02-01: Highest IV Rank — 80.9%
  • 2021-02-01: Largest Expected Move — 57.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1014.80$749.40$1196.60$1080.60$749.40
Max Pain$734.74$580.00$800.00$580.00$800.00
ATM IV149.9%99.9%196.5%196.5%99.9%
Expected Move42.5%28.1%57.8%57.8%28.1%
HV 20d139.1%111.8%151.6%111.8%143.9%
HV 60d113.4%102.6%120.8%102.6%120.8%
IV Rank50.5%17.9%80.9%80.9%17.9%
IV Percentile77.1%38.1%94.4%94.4%38.1%
Term Structure-2.8%-6.6%0.5%-5.7%-2.3%
VWIV152.0%104.4%206.2%206.2%104.4%
Skew 25d-19.0%-38.7%6.1%-36.6%-2.8%
Skew 10d-31.3%-49.7%-16.7%-44.9%-16.7%
Call IV 25d165.2%103.2%220.4%220.4%103.2%
Put IV 25d146.1%100.4%183.8%183.8%100.4%
Bid-Ask Spread %7.964.7914.5210.327.66
Gamma HHI0.080.050.110.090.07
Net GEX6.4M681.4K11.2M7.6M681.4K
Net DEX-1.28B-1.92B-350.7M-1.63B-350.7M
Net VEX-3.0M-3.3M-2.5M-3.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.290.740.340.63
Total Volume6,944.1052,34312,66011,8057,347
Total OI31,523.52624,40836,95628,65427,088

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$1080.60$580.00196.5%57.8%111.8%80.9%206.2%-36.6%-5.7%7.6M-1.63B-3.1M0.3410.328,8422,96319,8328,822
2021-02-02$967.80$580.00177.3%50.7%122.3%68.4%184.4%-38.7%-3.6%7.9M-1.32B-3.1M0.5610.365,5623,09321,0689,850
2021-02-03$1151.40$600.00178.3%51.7%131.6%69.1%179.9%-25.1%-3.3%10.8M-1.89B-3.2M0.409.338,7923,51721,84610,729
2021-02-04$1091.60$700.00171.4%47.3%135.0%64.6%166.5%-37.8%-5.3%10.1M-1.64B-3.2M0.446.556,2652,74022,29711,968
2021-02-05$1082.60$700.00169.5%46.3%136.1%63.3%162.5%-29.0%-6.1%7.3M-1.60B-3.2M0.518.354,4182,27223,05812,464
2021-02-08$1117.20$700.00158.0%44.5%135.3%55.8%158.5%-28.5%-3.6%7.7M-1.60B-3.2M0.645.983,8442,45820,08110,578
2021-02-09$1133.60$720.00157.1%44.0%134.6%55.3%156.0%-25.0%-4.0%9.3M-1.70B-3.3M0.459.132,4211,07821,47911,726
2021-02-10$1042.80$720.00158.3%44.0%141.1%56.0%156.6%-22.9%-1.9%6.3M-1.40B-3.3M0.486.073,5971,72621,85112,044
2021-02-11$1196.60$720.00168.5%46.9%145.9%62.7%166.1%-24.1%-3.6%11.2M-1.92B-3.3M0.298.109,8362,82422,37312,542
2021-02-12$1090.20$740.00153.7%44.0%143.5%53.0%154.6%-13.9%0.5%9.8M-1.53B-3.2M0.638.166,5454,13723,41913,537
2021-02-16$1013.20$800.00145.0%41.5%143.7%47.3%148.4%-15.4%-5.7%4.9M-1.24B-3.0M0.544.793,6992,00621,24411,970
2021-02-17$981.40$800.00132.1%37.9%145.1%39.0%136.2%-11.7%-6.6%3.9M-1.15B-3.0M0.405.103,2841,30121,88312,535
2021-02-18$977.20$800.00136.9%39.2%145.3%42.1%141.1%-12.6%0.4%4.8M-1.15B-3.0M0.3314.526,6722,20122,52412,564
2021-02-19$1020.80$800.00126.0%36.1%145.5%35.0%130.4%-10.8%0.5%7.7M-1.37B-3.0M0.635.623,9182,48423,22712,816
2021-02-22$945.40$800.00126.0%35.9%149.5%35.0%130.3%6.1%-1.1%3.5M-806.7M-2.9M0.606.451,6571,00016,1718,237
2021-02-23$886.40$800.00128.4%36.2%151.6%36.5%130.9%-10.6%0.1%2.2M-671.2M-2.8M0.7410.002,3931,76116,4668,595
2021-02-24$912.40$800.00128.6%35.6%140.8%36.6%130.3%-11.2%-0.8%3.5M-740.7M-2.8M0.407.031,66867516,9098,722
2021-02-25$840.60$800.00136.5%39.7%140.3%41.8%144.8%-11.3%-0.6%2.5M-596.2M-2.8M0.727.681,7111,23117,4558,977
2021-02-26$749.40$800.0099.9%28.1%143.9%17.9%104.4%-2.8%-2.3%681.4K-350.7M-2.5M0.637.664,5012,84617,7099,379