SPCE Options History — March 2021

In March 2021, SPCE traded between $530.20 and $763.40. ATM implied volatility averaged 98.5%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 28.2%. IV traded below realized volatility by 10.6% (HV 20d: 109.1%). Max pain ranged from $520.00 to $800.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.48.

Notable Days

2021-03-05: Highest Volume — 7,789 contracts
2021-03-02: Largest IV spike — 18.7% change
2021-03-05: Highest IV Rank — 31.0%
2021-03-12: Largest Expected Move — 33.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$628.70	$530.20	$763.40	$763.40	$612.00
Max Pain	$578.26	$520.00	$800.00	$800.00	$560.00
ATM IV	98.5%	73.6%	119.9%	92.9%	96.6%
Expected Move	28.2%	23.0%	33.5%	26.0%	26.7%
HV 20d	109.1%	88.7%	143.2%	143.2%	88.7%
HV 60d	119.9%	117.4%	125.9%	120.1%	117.4%
IV Rank	17.1%	0.8%	31.0%	13.4%	16.4%
IV Percentile	35.7%	0.4%	63.1%	26.2%	37.3%
Term Structure	2.3%	-15.5%	26.2%	0.6%	26.2%
VWIV	103.2%	84.4%	121.3%	96.6%	99.2%
Skew 25d	-5.9%	-17.9%	18.1%	-7.0%	-6.8%
Skew 10d	-12.3%	-30.9%	19.3%	-13.8%	-17.2%
Call IV 25d	104.6%	71.1%	140.1%	99.2%	98.6%
Put IV 25d	98.6%	72.2%	122.2%	92.3%	91.8%
Bid-Ask Spread %	5.22	3.32	8.65	5.84	3.70
Gamma HHI	0.06	0.04	0.15	0.06	0.07
Net GEX	3.1M	861.2K	6.3M	2.1M	4.4M
Net DEX	-296.5M	-476.0M	-114.9M	-437.5M	-316.8M
Net VEX	-2.4M	-2.6M	-2.1M	-2.5M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.14	0.95	0.29	0.14
Total Volume	3,136.522	1,733	7,789	3,040	3,990
Total OI	25,587.435	23,037	27,721	23,335	25,318

Daily Data (23 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
2021-03-01	$763.40	$800.00	92.9%	26.0%	143.2%	13.4%	96.6%	-7.0%	0.6%	2.1M	-437.5M	-2.5M	0.29	5.84	2,352	688	15,267	8,068
2021-03-02	$679.40	$800.00	110.3%	28.9%	127.9%	24.7%	107.1%	-10.4%	-15.5%	1.7M	-295.0M	-2.4M	0.62	8.65	2,604	1,604	16,158	8,248
2021-03-03	$643.00	$800.00	110.8%	32.4%	124.3%	25.1%	118.0%	-12.2%	-4.8%	1.4M	-237.5M	-2.4M	0.51	5.10	2,323	1,185	16,911	8,901
2021-03-04	$600.20	$520.00	111.1%	30.2%	101.9%	25.2%	109.5%	-5.3%	-6.4%	1.3M	-180.4M	-2.3M	0.67	8.52	2,530	1,697	17,558	8,844
2021-03-05	$542.80	$540.00	119.9%	33.2%	104.5%	31.0%	119.5%	-17.9%	-4.4%	861.2K	-114.9M	-2.1M	0.95	7.10	3,998	3,791	17,886	8,880
2021-03-08	$530.20	$520.00	104.1%	31.1%	104.1%	20.7%	112.8%	-12.0%	14.2%	1.2M	-137.3M	-2.1M	0.44	5.58	2,550	1,127	16,336	8,228
2021-03-09	$604.40	$520.00	107.3%	30.7%	117.7%	22.8%	112.5%	-9.5%	-1.0%	3.2M	-271.2M	-2.3M	0.37	5.84	2,829	1,056	17,199	8,544
2021-03-10	$612.60	$540.00	108.1%	30.6%	117.7%	23.3%	110.7%	-13.9%	-1.2%	3.7M	-293.6M	-2.4M	0.43	4.36	2,070	892	17,909	8,693
2021-03-11	$670.00	$540.00	108.8%	30.8%	123.3%	23.7%	110.9%	-11.4%	-1.4%	5.2M	-417.7M	-2.6M	0.40	5.25	2,812	1,137	18,111	8,833
2021-03-12	$689.20	$540.00	117.9%	33.5%	109.9%	29.7%	121.3%	-9.6%	-1.6%	6.3M	-476.0M	-2.6M	0.39	5.13	2,555	991	18,599	9,078
2021-03-15	$693.40	$540.00	113.7%	32.6%	107.7%	26.9%	116.9%	-9.5%	6.0%	4.5M	-453.2M	-2.6M	0.44	4.68	1,851	810	17,569	8,473
2021-03-16	$655.00	$540.00	97.6%	27.9%	106.8%	16.4%	101.7%	-6.2%	-5.2%	3.8M	-354.8M	-2.5M	0.44	5.11	1,303	573	18,024	8,712
2021-03-17	$673.60	$540.00	97.7%	28.0%	108.2%	16.5%	101.3%	-6.5%	2.3%	4.7M	-398.6M	-2.5M	0.59	6.99	1,354	798	18,213	8,867
2021-03-18	$637.00	$540.00	96.3%	27.4%	108.8%	15.6%	98.6%	-6.3%	3.8%	2.9M	-315.2M	-2.4M	0.56	3.86	1,111	622	18,604	9,002
2021-03-19	$659.40	$540.00	88.5%	25.1%	108.1%	10.5%	93.6%	-2.8%	1.8%	5.1M	-344.2M	-2.5M	0.62	3.32	1,352	841	18,701	9,020
2021-03-22	$645.40	$560.00	87.0%	23.7%	106.2%	9.6%	87.0%	-3.0%	3.4%	3.1M	-337.1M	-2.4M	0.46	3.80	1,590	727	15,464	7,573
2021-03-23	$612.40	$560.00	80.3%	23.0%	105.6%	5.4%	84.4%	-3.7%	2.7%	2.5M	-261.3M	-2.3M	0.68	4.47	1,349	917	16,033	7,804
2021-03-24	$575.80	$560.00	74.7%	24.4%	105.1%	1.6%	87.3%	-5.5%	-5.9%	1.8M	-194.5M	-2.2M	0.50	4.69	1,174	588	16,366	8,021
2021-03-25	$593.40	$560.00	73.6%	24.9%	104.3%	0.8%	90.8%	1.1%	-12.0%	2.4M	-233.4M	-2.2M	0.47	4.41	1,789	837	16,639	8,190
2021-03-26	$584.80	$560.00	85.1%	24.4%	97.7%	8.6%	93.6%	18.1%	21.9%	1.7M	-219.4M	-2.2M	0.47	4.13	1,293	602	16,930	8,337
2021-03-29	$582.40	$560.00	94.3%	29.0%	97.1%	14.8%	110.5%	5.5%	16.8%	2.6M	-245.7M	-2.2M	0.26	5.44	2,289	603	15,835	7,801
2021-03-30	$600.20	$560.00	88.3%	24.9%	90.1%	10.8%	88.8%	-2.2%	13.7%	3.9M	-283.4M	-2.3M	0.24	4.18	2,415	571	16,746	8,018
2021-03-31	$612.00	$560.00	96.6%	26.7%	88.7%	16.4%	99.2%	-6.8%	26.2%	4.4M	-316.8M	-2.3M	0.14	3.70	3,508	482	17,127	8,191