SPCE Options History — September 2021

In September 2021, SPCE traded between $452.20 and $537.40. ATM implied volatility averaged 74.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 6.5% (HV 20d: 67.6%). Max pain ranged from $580.00 to $600.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2021-09-02: Highest Volume — 22,259 contracts
  • 2021-09-28: Largest IV spike — 12.8% change
  • 2021-09-30: Highest IV Rank — 7.1%
  • 2021-09-30: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$498.67$452.20$537.40$537.40$506.00
Max Pain$599.05$580.00$600.00$600.00$580.00
ATM IV74.1%67.6%80.8%75.0%78.4%
Expected Move21.3%19.0%23.3%20.1%23.3%
HV 20d67.6%54.8%89.0%89.0%69.7%
HV 60d108.3%89.1%119.7%119.6%92.7%
IV Rank2.6%0.0%7.1%1.8%7.1%
IV Percentile3.1%0.0%10.3%1.6%10.3%
Term Structure1.5%-1.4%6.9%2.0%2.6%
VWIV77.3%69.7%88.3%74.1%85.8%
Skew 25d1.2%-4.2%5.1%-4.2%-0.9%
Skew 10d4.8%-18.8%20.6%-9.9%7.1%
Call IV 25d76.0%67.8%84.7%80.7%79.7%
Put IV 25d77.2%71.5%83.1%76.4%78.9%
Bid-Ask Spread %3.101.929.393.352.25
Gamma HHI0.080.040.360.050.06
Net GEX1.7M-4.2M5.4M4.1M2.8M
Net DEX14.6M-100.0M134.4M-100.0M-22.4M
Net VEX-2.5M-2.8M-2.0M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.341.020.460.34
Total Volume5,4511,80422,2593,40016,633
Total OI38,246.38135,40341,29136,61738,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$537.40$600.0075.0%20.1%89.0%1.8%74.1%-4.2%2.0%4.1M-100.0M-2.8M0.463.352,3271,07322,58414,033
2021-09-02$519.00$600.0080.8%23.3%88.8%5.7%88.3%-1.6%2.6%2.4M-36.7M-2.7M0.674.5713,2938,96623,85014,611
2021-09-03$484.60$600.0079.3%23.1%86.8%4.7%83.8%-3.1%-0.5%147.8K48.2M-2.5M0.913.466,1415,61224,37614,661
2021-09-07$492.40$600.0079.0%22.8%84.3%4.5%83.5%-0.4%-0.1%836.1K31.5M-2.5M0.562.533,2201,80423,00914,374
2021-09-08$510.80$600.0078.6%22.6%76.7%4.2%81.7%-1.3%0.2%3.4M-35.8M-2.7M0.462.643,3161,52024,48815,242
2021-09-09$514.80$600.0076.8%22.2%60.4%3.0%79.2%1.2%0.6%5.4M-42.1M-2.7M0.812.711,5921,29125,09815,756
2021-09-10$503.20$600.0076.0%22.2%58.7%2.5%79.6%0.5%1.9%2.5M5.6M-2.6M0.479.392,5321,19825,23916,052
2021-09-13$484.40$600.0076.4%22.2%59.8%2.7%79.6%2.1%-0.3%408.4K61.9M-2.4M1.024.992,5762,62222,93314,720
2021-09-14$479.60$600.0073.6%21.2%59.9%0.8%75.8%2.0%0.1%295.6K84.5M-2.3M0.611.921,8761,13923,38714,958
2021-09-15$477.80$600.0071.0%20.3%59.8%0.0%73.1%1.4%-0.6%51.6K98.3M-2.3M0.552.282,1511,17723,92215,436
2021-09-16$493.80$600.0070.0%20.1%61.1%0.0%71.5%2.8%-1.2%1.6M59.9M-2.4M0.472.812,8971,37124,26915,631
2021-09-17$523.00$600.0070.9%20.4%62.2%0.6%73.1%1.8%-1.4%4.4M-49.1M-2.6M0.482.184,6322,23324,62215,773
2021-09-20$494.00$600.0077.2%22.0%65.7%4.8%78.8%2.4%1.0%1.4M2.5M-2.4M0.692.532,2881,57321,67413,729
2021-09-21$506.00$600.0071.4%20.7%65.0%1.0%74.2%3.6%2.3%2.1M-10.0M-2.5M0.482.461,22158322,58914,189
2021-09-22$512.40$600.0067.6%19.3%63.6%0.0%69.7%3.8%1.9%2.6M-20.0M-2.5M0.532.591,21964523,07414,461
2021-09-23$514.00$600.0068.0%19.4%63.6%0.3%73.6%3.9%2.1%3.0M-26.6M-2.5M0.572.921,39979123,39114,568
2021-09-24$500.80$600.0068.2%19.2%62.9%0.4%70.6%3.3%1.2%-4.2M16.7M-2.4M0.552.031,75895823,67614,691
2021-09-27$499.00$600.0068.0%19.0%62.1%0.3%70.2%2.5%6.5%1.3M21.0M-2.3M0.532.331,74591922,04813,687
2021-09-28$466.80$600.0076.8%21.7%64.6%6.0%78.7%1.2%4.7%347.4K84.9M-2.2M0.552.852,4271,33722,41613,862
2021-09-29$452.20$600.0074.0%21.6%54.8%4.2%79.0%5.1%6.9%-153.3K134.4M-2.0M0.522.211,58882823,15914,268
2021-09-30$506.00$580.0078.4%23.3%69.7%7.1%85.8%-0.9%2.6%2.8M-22.4M-2.5M0.342.2512,4544,17923,78214,886