SPCE Options History — August 2021

In August 2021, SPCE traded between $484.40 and $703.00. ATM implied volatility averaged 84.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 7.4% (HV 20d: 91.4%). Max pain ranged from $600.00 to $740.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2021-08-06: Highest Volume — 20,155 contracts
  • 2021-08-06: Largest IV drop — 18.7% change
  • 2021-08-05: Highest IV Rank — 17.8%
  • 2021-08-04: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$554.20$484.40$703.00$632.40$546.00
Max Pain$655.45$600.00$740.00$740.00$600.00
ATM IV84.0%75.7%98.7%96.6%78.5%
Expected Move23.7%20.1%28.9%28.3%21.0%
HV 20d91.4%81.3%117.5%117.5%89.1%
HV 60d130.8%120.8%140.6%138.0%121.1%
IV Rank7.9%2.3%17.8%16.4%4.2%
IV Percentile12.9%1.6%47.6%41.7%4.4%
Term Structure-0.6%-10.7%3.0%-2.6%2.3%
VWIV85.7%74.5%104.8%102.5%76.2%
Skew 25d-3.5%-8.0%0.9%-7.6%-5.7%
Skew 10d-4.5%-16.7%3.5%-2.5%-9.8%
Call IV 25d88.3%79.2%104.8%102.3%84.7%
Put IV 25d84.8%75.4%98.3%94.7%78.9%
Bid-Ask Spread %4.662.4321.692.622.84
Gamma HHI0.080.040.200.040.05
Net GEX1.6M-3.1M9.6M1.8M3.6M
Net DEX-45.9M-416.2M176.5M-211.6M-107.3M
Net VEX-2.9M-3.4M-2.6M-3.3M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.321.050.320.34
Total Volume6,672.9553,00620,1557,81910,458
Total OI39,071.533,39845,49134,88135,491

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$632.40$740.0096.6%28.3%117.5%16.4%102.5%-7.6%-2.6%1.8M-211.6M-3.3M0.322.625,9241,89521,11113,770
2021-08-03$627.40$740.0096.6%28.4%116.3%16.4%102.0%-3.4%-1.1%2.0M-192.7M-3.2M0.612.702,0701,27021,53814,139
2021-08-04$614.00$700.0097.6%28.9%116.2%17.0%104.8%-5.9%-10.7%3.5M-191.0M-3.3M0.533.352,2011,15824,37114,643
2021-08-05$629.00$680.0098.7%26.4%100.9%17.8%93.9%-6.5%-4.0%4.8M-242.1M-3.4M0.705.543,0642,15424,58114,830
2021-08-06$669.60$680.0080.3%22.2%105.1%5.3%78.9%-3.7%-0.2%9.6M-352.5M-3.3M0.373.3414,7245,43124,83715,047
2021-08-09$703.00$660.0083.2%23.6%82.5%7.3%83.6%-5.0%-1.0%6.1M-416.2M-3.4M0.392.495,5712,19522,42713,941
2021-08-10$622.00$700.0084.7%23.7%89.8%8.4%85.6%-2.2%-1.7%2.9M-172.3M-3.2M0.482.805,1332,46123,91614,279
2021-08-11$542.40$680.0088.8%25.4%90.7%11.1%91.1%-3.4%-0.2%-340.8K41.8M-2.8M0.672.698,9256,01124,81214,787
2021-08-12$518.00$680.0083.4%24.2%91.0%7.4%86.6%-2.2%2.2%-1.2M115.1M-2.6M0.619.105,9763,66425,86315,303
2021-08-13$507.40$660.0081.0%23.3%90.1%5.8%83.7%-2.6%0.6%-2.0M147.0M-2.7M0.882.974,5974,04828,04517,098
2021-08-16$505.80$660.0081.2%23.4%86.0%6.0%83.6%-1.1%1.5%-1.4M106.3M-2.7M0.513.143,9982,03725,67316,084
2021-08-17$502.80$660.0081.1%23.3%85.9%5.9%83.9%-1.3%1.4%-1.6M125.5M-2.7M0.593.412,2941,36226,34116,840
2021-08-18$506.40$640.0081.0%23.2%84.8%5.8%82.2%-1.0%-0.1%-1.4M113.9M-2.7M0.622.822,7861,72127,27117,342
2021-08-19$484.40$640.0083.4%23.9%83.0%7.4%85.3%0.9%-1.6%-3.1M175.7M-2.6M0.782.791,9701,54227,51117,393
2021-08-20$490.80$620.0077.3%21.9%82.6%3.3%79.2%0.3%3.0%595.8K176.5M-2.6M1.052.432,1752,27728,00317,488
2021-08-23$508.60$620.0076.8%21.5%82.7%3.0%77.2%-2.5%0.4%915.8K5.7M-2.6M0.422.443,3271,40420,00313,395
2021-08-24$528.60$640.0086.1%23.7%84.3%9.3%88.3%-8.0%0.5%1.7M-57.9M-2.8M0.3221.695,3671,72520,37813,836
2021-08-25$527.00$620.0079.8%22.0%82.7%5.0%79.6%-4.9%-1.0%3.2M-49.2M-2.8M0.3613.103,0571,10021,62814,359
2021-08-26$507.40$600.0078.5%21.5%83.4%4.1%84.3%-3.9%-0.4%1.5M1.1M-2.6M0.433.552,09691023,28814,777
2021-08-27$520.80$600.0075.7%20.1%83.9%2.3%74.5%-4.1%-1.7%2.0M-37.0M-2.7M0.593.491,9441,14823,46314,900
2021-08-30$498.60$600.0077.5%21.1%81.3%3.5%78.9%-3.4%1.1%1.2M11.3M-2.6M0.373.112,65498121,35413,417
2021-08-31$546.00$600.0078.5%21.0%89.1%4.2%76.2%-5.7%2.3%3.6M-107.3M-2.8M0.342.847,8082,65021,85513,636