SPCE Options History — October 2021

In October 2021, SPCE traded between $366.20 and $479.00. ATM implied volatility averaged 75.1%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 1.5% (HV 20d: 76.6%). Max pain ranged from $460.00 to $580.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2021-10-15: Highest Volume — 19,305 contracts
  • 2021-10-13: Largest IV spike — 9.2% change
  • 2021-10-13: Highest IV Rank — 10.0%
  • 2021-10-06: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$426.22$366.20$479.00$477.60$374.40
Max Pain$490.48$460.00$580.00$580.00$460.00
ATM IV75.1%69.8%82.9%76.2%71.3%
Expected Move21.6%20.4%22.9%21.2%21.4%
HV 20d76.6%66.2%88.3%71.6%73.3%
HV 60d76.8%70.8%87.6%87.5%77.1%
IV Rank4.9%1.4%10.0%5.7%2.4%
IV Percentile7.7%1.6%19.4%7.1%4.4%
Term Structure-0.9%-5.5%5.5%2.9%1.2%
VWIV77.9%72.5%83.7%77.7%79.8%
Skew 25d-2.4%-6.3%2.6%-0.9%-3.4%
Skew 10d-5.0%-10.8%7.6%-2.3%-10.3%
Call IV 25d78.7%73.0%86.0%78.6%75.3%
Put IV 25d76.4%69.3%85.1%77.8%71.9%
Bid-Ask Spread %2.781.784.631.782.36
Gamma HHI0.100.050.580.050.06
Net GEX942.2K-5.3M3.2M1.3M1.1M
Net DEX104.3M57.8M238.1M72.5M121.0M
Net VEX-2.0M-2.3M-1.6M-2.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.280.710.550.39
Total Volume4,616.191,53219,3056,4363,861
Total OI38,864.04829,61041,33239,37640,907

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$477.60$580.0076.2%21.2%71.6%5.7%77.7%-0.9%2.9%1.3M72.5M-2.3M0.551.784,1422,29424,18515,191
2021-10-04$453.60$520.0081.2%22.9%69.8%8.9%82.3%0.9%-0.2%556.8K111.3M-2.1M0.442.772,25298223,71514,646
2021-10-05$450.80$500.0078.5%22.5%69.4%7.2%81.1%-2.3%-0.6%485.6K114.1M-2.1M0.442.601,59369924,13014,833
2021-10-06$457.20$500.0081.1%22.9%68.1%8.9%81.8%-1.4%-0.4%1.0M99.2M-2.2M0.283.451,97355024,73815,111
2021-10-07$464.60$500.0078.1%22.2%68.3%6.9%79.0%0.2%5.5%2.1M75.7M-2.2M0.572.911,9091,08425,20615,227
2021-10-08$461.80$500.0077.6%22.3%68.0%6.6%79.7%-0.7%-0.4%987.4K90.1M-2.1M0.614.591,40085625,52115,354
2021-10-11$467.20$500.0075.7%21.8%67.0%5.3%78.6%0.5%0.1%883.7K91.5M-2.1M0.424.631,86477824,17314,970
2021-10-12$471.80$500.0075.9%21.7%67.1%5.4%76.9%2.6%0.3%1.3M76.7M-2.2M0.503.231,01951324,49515,201
2021-10-13$479.00$500.0082.9%22.4%67.3%10.0%79.5%1.2%-5.5%2.2M57.8M-2.2M0.592.861,61195524,99015,403
2021-10-14$479.00$500.0077.0%21.2%66.2%6.2%75.0%-0.7%-3.2%2.4M64.3M-2.2M0.713.492,0551,45725,22515,475
2021-10-15$399.80$500.0078.2%21.9%88.3%7.0%78.8%-5.7%-3.0%-5.3M238.1M-1.7M0.592.8812,1407,16525,60115,731
2021-10-18$393.80$520.0073.2%20.7%86.8%3.7%74.6%-5.3%-2.2%-322.9K129.7M-1.6M0.462.526,0232,78018,00511,605
2021-10-19$394.20$480.0072.5%20.7%86.0%3.2%74.8%-5.1%-2.7%1.2M107.9M-1.9M0.542.793,5271,91521,63313,527
2021-10-20$403.40$480.0072.2%20.7%86.5%3.0%74.1%-4.2%-3.5%3.2M70.2M-2.1M0.492.183,1881,54923,66014,975
2021-10-21$400.40$460.0070.6%20.4%86.3%2.0%72.5%-4.1%-3.9%2.5M85.5M-2.0M0.492.742,4801,21724,05315,245
2021-10-22$392.00$460.0069.8%20.4%86.2%1.4%73.3%-1.9%-4.2%923.9K125.6M-1.9M0.612.082,5371,54624,42415,638
2021-10-25$400.40$460.0070.0%21.0%87.0%1.6%76.4%-3.5%0.8%1.3M86.2M-2.0M0.311.923,7051,15322,07014,450
2021-10-26$392.60$460.0070.3%21.0%84.6%1.8%76.6%-5.1%-0.5%1.4M97.9M-2.0M0.492.101,91393923,42214,583
2021-10-27$366.20$460.0072.9%22.3%87.0%3.5%83.7%-6.3%0.3%-122.5K148.5M-1.8M0.412.394,2351,74123,71314,748
2021-10-28$370.80$460.0071.3%21.6%74.6%2.5%79.4%-4.8%1.2%561.6K125.6M-1.9M0.322.132,52881225,22215,144
2021-10-29$374.40$460.0071.3%21.4%73.3%2.4%79.8%-3.4%1.2%1.1M121.0M-1.9M0.392.362,7831,07825,75715,150