SPCE Options History — September 2022

In September 2022, SPCE traded between $95.20 and $124.80. ATM implied volatility averaged 86.6%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 39.1% (HV 20d: 47.5%). Max pain ranged from $140.00 to $160.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2022-09-09: Highest Volume — 2,701 contracts
  • 2022-09-15: Largest IV drop — 19.6% change
  • 2022-09-14: Highest IV Rank — 39.3%
  • 2022-09-23: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.21$95.20$124.80$116.00$95.20
Max Pain$152.38$140.00$160.00$140.00$140.00
ATM IV86.6%81.6%102.5%83.5%88.8%
Expected Move24.6%22.0%26.2%22.3%24.5%
HV 20d47.5%42.3%74.8%74.8%47.7%
HV 60d70.0%62.5%78.4%78.4%62.5%
IV Rank23.8%18.9%39.3%20.7%25.9%
IV Percentile45.0%34.9%79.4%40.5%47.2%
Term Structure1.6%-6.5%8.4%4.8%8.4%
VWIV90.7%81.3%97.4%81.3%90.8%
Skew 25d1.3%-12.0%7.5%-0.8%-0.9%
Skew 10d2.7%-28.4%21.3%-7.1%-7.3%
Call IV 25d89.9%83.2%106.0%90.8%93.0%
Put IV 25d91.3%85.3%97.3%90.0%92.1%
Bid-Ask Spread %3.051.907.443.212.07
Gamma HHI0.140.080.200.100.16
Net GEX-45.6K-98.5K116.0K-79.0K-75.1K
Net DEX35.4M29.0M41.5M40.6M33.2M
Net VEX-386.3K-485.6K-325.0K-434.1K-325.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.251.350.700.62
Total Volume1,117.9525442,701746815
Total OI24,798.90523,84325,50925,23324,885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$116.00$140.0083.5%22.3%74.8%20.7%81.3%-0.8%4.8%-79.0K40.6M-434.1K0.703.2144030614,96510,268
2022-09-02$114.00$140.0082.0%22.0%42.3%19.3%81.8%-0.5%7.9%-78.6K41.5M-418.0K1.353.7247964515,06110,264
2022-09-06$117.00$160.0083.6%24.9%44.1%20.9%93.5%2.4%2.1%-98.3K41.3M-422.5K0.592.7770341514,47210,102
2022-09-07$122.20$160.0081.6%24.2%47.4%18.9%97.4%3.9%1.9%75.9K33.2M-485.6K0.392.5487333614,81310,217
2022-09-08$124.80$160.0084.2%24.3%42.5%21.4%91.9%7.5%-0.2%116.0K33.0M-459.5K0.463.141,34862014,96010,251
2022-09-09$120.20$160.0085.6%25.0%43.9%22.8%92.1%3.6%1.0%37.2K35.5M-448.1K0.602.991,6901,01115,20110,308
2022-09-12$120.80$160.0082.0%24.6%43.0%19.3%90.9%1.4%3.2%69.9K34.1M-431.8K0.462.2798445314,8099,970
2022-09-13$111.40$160.0086.1%25.3%49.9%23.3%92.5%0.3%0.8%-53.0K36.9M-410.6K0.422.8284735414,96610,107
2022-09-14$111.00$160.00102.5%24.9%50.0%39.3%94.3%2.2%-6.5%-85.5K34.8M-409.3K0.447.4442818714,9999,992
2022-09-15$110.80$160.0082.4%23.6%49.0%19.7%86.0%0.7%-3.0%-86.7K36.8M-380.1K1.134.1959266915,1289,894
2022-09-16$107.00$160.0084.2%25.2%49.6%21.5%90.5%2.0%7.9%-58.6K29.0M-426.5K0.892.4760854315,27010,003
2022-09-19$106.40$160.0082.5%23.9%48.2%19.8%86.8%1.7%1.5%-88.4K35.1M-361.8K0.662.5055436714,2569,587
2022-09-20$102.40$160.0086.4%24.8%47.4%23.6%90.5%1.1%-4.5%-89.1K35.7M-346.4K0.582.5434519914,5519,755
2022-09-21$101.20$160.0090.1%25.8%47.4%27.2%93.8%1.5%-3.3%-90.4K35.6M-340.9K0.294.5049714414,6899,786
2022-09-22$99.20$160.0086.9%24.9%45.7%24.1%88.9%4.3%-0.3%-79.7K36.5M-335.0K1.012.5553754314,8609,796
2022-09-23$97.60$140.0092.2%26.2%44.3%29.3%94.0%5.8%2.7%-96.9K36.4M-336.1K0.963.0539638114,9449,965
2022-09-26$98.20$140.0089.3%25.5%42.9%26.4%92.2%0.4%-0.2%-98.5K33.4M-340.5K0.882.5360653214,3329,627
2022-09-27$97.60$140.0088.9%25.8%42.4%26.1%94.2%-12.0%2.3%-93.4K34.4M-331.0K0.681.9050934514,6159,779
2022-09-28$101.80$140.0085.5%24.1%46.3%22.8%91.5%2.9%7.5%-34.6K33.7M-335.7K0.252.2094924014,6499,763
2022-09-29$97.60$140.0089.3%25.1%47.8%26.4%90.7%0.6%0.2%29.5K32.3M-334.7K0.572.6762736015,1139,805
2022-09-30$95.20$140.0088.8%24.5%47.7%25.9%90.8%-0.9%8.4%-75.1K33.2M-325.0K0.622.0750331215,1629,723