SPCE Options History — December 2021

In December 2021, SPCE traded between $260.20 and $323.00. ATM implied volatility averaged 76.6%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 27.4% (HV 20d: 49.2%). Max pain ranged from $360.00 to $500.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2021-12-02: Highest Volume — 5,139 contracts
  • 2021-12-07: Largest IV drop — 17.1% change
  • 2021-12-03: Highest IV Rank — 17.8%
  • 2021-12-03: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$291.21$260.20$323.00$301.00$268.40
Max Pain$475.45$360.00$500.00$380.00$460.00
ATM IV76.6%69.5%90.3%84.2%77.1%
Expected Move21.9%19.8%27.2%24.6%22.5%
HV 20d49.2%40.0%58.6%41.2%58.6%
HV 60d61.6%56.1%64.8%62.5%58.6%
IV Rank9.1%4.6%17.8%13.9%9.4%
IV Percentile19.6%4.8%43.3%32.9%25.4%
Term Structure1.4%-2.3%6.4%6.4%1.5%
VWIV84.7%73.5%105.0%94.3%85.5%
Skew 25d-3.8%-10.6%1.3%-7.9%-6.7%
Skew 10d-11.2%-26.8%-0.0%-19.1%-12.6%
Call IV 25d82.5%72.9%99.1%90.3%86.2%
Put IV 25d78.7%71.3%91.9%82.4%79.5%
Bid-Ask Spread %2.921.594.933.471.81
Gamma HHI0.080.050.180.070.07
Net GEX681.0K-87.6K2.0M225.0K370.1K
Net DEX134.2M72.1M167.4M131.0M147.7M
Net VEX-1.4M-1.7M-1.1M-1.6M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.300.590.320.35
Total Volume2,772.9551,6515,1392,6413,012
Total OI39,395.59136,99841,12538,34240,127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$301.00$380.0084.2%24.6%41.2%13.9%94.3%-7.9%6.4%225.0K131.0M-1.6M0.323.472,00863324,13614,206
2021-12-02$303.20$380.0084.7%23.8%40.0%14.2%88.1%-7.6%6.1%415.7K126.1M-1.6M0.304.333,9621,17724,51414,288
2021-12-03$286.40$360.0090.3%27.2%42.9%17.8%99.9%-8.6%0.5%563.0K130.6M-1.5M0.443.882,3081,02225,56914,547
2021-12-06$293.20$500.0089.2%25.2%45.0%17.1%105.0%-2.0%0.9%673.8K115.5M-1.5M0.324.932,15167824,64214,086
2021-12-07$311.00$500.0073.9%21.4%51.0%7.4%86.1%-10.6%2.9%1.3M101.6M-1.6M0.363.372,65796025,31114,261
2021-12-08$323.00$500.0073.0%21.2%48.8%6.8%83.7%-6.9%1.1%2.0M72.1M-1.7M0.324.152,43377225,77714,400
2021-12-09$314.80$500.0072.6%20.8%48.6%6.6%82.5%-4.8%1.3%1.6M105.4M-1.6M0.413.571,65467326,17214,516
2021-12-10$304.40$500.0072.7%20.8%47.7%6.6%86.6%-3.8%2.5%851.2K129.3M-1.5M0.573.311,69196126,45514,670
2021-12-13$297.20$500.0076.1%21.4%47.8%8.8%87.2%-4.6%-1.5%604.3K122.7M-1.5M0.412.691,34754725,30914,375
2021-12-14$293.40$500.0074.9%21.9%47.8%8.0%85.3%-2.2%1.4%399.5K149.6M-1.4M0.372.411,20744425,55314,434
2021-12-15$294.60$500.0078.0%21.8%47.6%10.0%80.1%-1.7%-2.3%459.3K151.4M-1.4M0.583.571,72499425,81914,536
2021-12-16$285.60$500.0076.0%21.7%47.7%8.7%84.7%-2.0%-0.1%343.9K155.2M-1.4M0.592.551,31878126,04814,699
2021-12-17$285.60$500.0075.5%21.5%47.1%8.4%89.9%1.3%-2.2%463.0K153.1M-1.4M0.412.222,15389226,20414,910
2021-12-20$276.60$500.0079.6%22.7%47.7%11.0%84.3%-2.4%2.5%280.4K147.1M-1.3M0.322.161,84860023,35413,644
2021-12-21$290.60$500.0071.9%20.6%52.3%6.1%75.4%-2.4%3.5%811.7K137.0M-1.4M0.342.032,27277123,87513,976
2021-12-22$291.80$500.0069.5%19.9%52.3%4.6%73.5%-1.7%3.0%1.2M134.9M-1.4M0.481.981,31763724,36114,110
2021-12-23$290.40$480.0069.7%19.8%51.5%4.7%76.7%-1.6%2.2%526.0K138.0M-1.4M0.351.811,56154424,64114,324
2021-12-27$280.00$480.0073.0%20.4%52.3%6.8%78.5%-4.5%-0.2%541.2K149.2M-1.3M0.401.821,53761624,00714,009
2021-12-28$277.60$480.0073.7%20.0%51.4%7.3%76.7%-0.5%0.8%522.1K148.6M-1.3M0.401.591,28751624,37414,220
2021-12-29$260.20$480.0074.9%21.3%55.3%8.1%79.3%-1.3%0.7%-87.6K167.4M-1.1M0.464.851,92588724,56114,313
2021-12-30$277.60$460.0075.0%21.8%57.8%8.1%81.0%-1.8%-0.4%948.2K138.5M-1.3M0.441.833,1431,38524,96614,404
2021-12-31$268.40$460.0077.1%22.5%58.6%9.4%85.5%-6.7%1.5%370.1K147.7M-1.2M0.351.812,23677625,50214,625