SPCE Options History — November 2021

In November 2021, SPCE traded between $320.20 and $417.60. ATM implied volatility averaged 71.7%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 14.3% (HV 20d: 57.5%). Max pain ranged from $380.00 to $440.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-11-09: Highest Volume — 16,058 contracts
  • 2021-11-23: Largest IV spike — 14.4% change
  • 2021-11-23: Highest IV Rank — 11.6%
  • 2021-11-03: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$368.92$320.20$417.60$390.60$320.20
Max Pain$404.76$380.00$440.00$440.00$380.00
ATM IV71.7%62.2%80.5%75.6%77.3%
Expected Move20.9%17.8%26.0%23.8%23.6%
HV 20d57.5%37.0%78.1%74.2%37.0%
HV 60d67.2%61.7%76.4%76.4%61.7%
IV Rank4.7%0.0%11.6%5.3%9.6%
IV Percentile9.9%0.0%26.6%9.9%20.6%
Term Structure-0.1%-3.7%6.2%-1.4%3.6%
VWIV79.4%67.8%95.5%86.7%86.1%
Skew 25d-8.3%-15.3%-1.1%-3.8%-3.4%
Skew 10d-18.0%-39.0%-5.1%-6.1%-13.7%
Call IV 25d80.0%69.0%88.3%79.9%84.5%
Put IV 25d71.7%60.4%81.1%76.1%81.1%
Bid-Ask Spread %3.532.625.562.803.12
Gamma HHI0.070.050.110.060.06
Net GEX1.5M-291.2K4.0M2.0M522.3K
Net DEX74.2M-39.5M138.1M63.2M121.9M
Net VEX-2.0M-2.4M-1.6M-2.0M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.220.750.220.47
Total Volume4,133.6191,93416,0584,9812,062
Total OI39,919.33336,67143,51538,34937,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$390.60$440.0075.6%23.8%74.2%5.3%86.7%-3.8%-1.4%2.0M63.2M-2.0M0.222.804,09089123,99414,355
2021-11-02$389.00$440.0075.7%22.9%74.2%5.3%87.7%-1.4%-3.2%2.7M55.8M-2.1M0.332.682,10069024,97714,515
2021-11-03$397.20$440.0079.1%26.0%74.5%7.5%95.5%-8.0%-2.4%3.5M13.2M-2.2M0.272.624,6571,23925,00214,649
2021-11-04$392.20$400.0078.1%21.7%74.0%6.9%82.0%-10.8%-1.2%3.3M33.3M-2.2M0.313.922,63280425,96814,939
2021-11-05$390.00$400.0075.0%21.3%74.0%4.9%80.1%-8.1%-2.7%3.0M42.8M-2.2M0.444.402,5031,10926,46515,039
2021-11-08$396.40$400.0078.9%22.2%74.2%7.4%80.7%-8.7%-1.5%2.1M25.9M-2.2M0.722.973,8372,76324,30614,497
2021-11-09$417.60$400.0070.4%20.1%77.1%1.8%75.9%-12.3%0.7%4.0M-39.5M-2.4M0.233.3413,0702,98825,45515,882
2021-11-10$405.40$400.0068.0%19.3%77.1%0.2%74.5%-15.3%-0.4%2.6M11.0M-2.3M0.353.544,1651,43826,69516,024
2021-11-11$387.00$400.0065.0%18.9%78.1%0.0%74.8%-8.1%0.8%990.4K69.0M-2.1M0.384.263,3461,28226,72115,971
2021-11-12$385.00$400.0062.3%18.0%45.5%0.0%68.9%-8.6%1.3%411.2K68.4M-2.1M0.513.152,0371,04327,37916,136
2021-11-15$380.60$400.0062.2%17.8%45.4%0.0%67.8%-12.6%0.4%1.2M71.0M-2.0M0.354.162,40183124,85814,581
2021-11-16$369.00$400.0063.9%18.3%46.5%1.0%75.0%-12.0%-0.1%548.1K97.6M-2.0M0.373.112,27784325,46614,764
2021-11-17$358.40$400.0064.8%18.6%46.3%1.6%73.7%-9.8%-0.1%130.8K126.7M-1.8M0.473.111,59174225,79514,843
2021-11-18$346.40$400.0064.2%18.3%47.4%1.3%75.1%-10.1%2.2%-291.2K138.1M-1.8M0.543.812,0391,10425,97014,929
2021-11-19$345.40$400.0065.6%18.7%47.1%2.1%75.8%-10.4%-0.5%170.1K132.1M-1.8M0.663.311,5751,03626,26115,112
2021-11-22$342.20$400.0070.3%20.1%46.0%5.1%77.6%-6.7%-0.5%755.7K98.1M-1.8M0.283.382,34966123,01713,654
2021-11-23$335.20$400.0080.5%22.4%46.0%11.6%81.9%-6.7%-3.7%766.0K108.8M-1.7M0.405.562,39296623,58113,764
2021-11-24$341.20$400.0072.8%20.9%40.6%6.7%78.8%-7.0%6.2%1.1M94.7M-1.8M0.364.312,17579124,18914,239
2021-11-26$335.00$400.0079.9%22.9%40.4%11.2%83.3%-10.5%0.4%1.4M101.0M-1.8M0.753.601,10682824,75414,353
2021-11-29$323.40$400.0077.2%22.5%41.4%9.5%85.6%-1.1%-0.7%410.2K125.1M-1.6M0.402.921,67567823,30113,938
2021-11-30$320.20$380.0077.3%23.6%37.0%9.6%86.1%-3.4%3.6%522.3K121.9M-1.6M0.473.121,40365923,86014,108