SPCE Options History — October 2022

In October 2022, SPCE traded between $85.60 and $103.60. ATM implied volatility averaged 99.5%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 28.9%. IV traded above realized volatility by 50.2% (HV 20d: 49.3%). Max pain ranged from $100.00 to $140.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2022-10-04: Highest Volume — 1,307 contracts
  • 2022-10-11: Largest IV spike — 12.0% change
  • 2022-10-11: Highest IV Rank — 48.4%
  • 2022-10-31: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.19$85.60$103.60$97.80$92.80
Max Pain$105.71$100.00$140.00$140.00$100.00
ATM IV99.5%91.2%111.8%91.2%95.0%
Expected Move28.9%23.4%31.3%23.4%31.3%
HV 20d49.3%45.2%53.9%49.3%50.2%
HV 60d59.6%46.8%62.8%62.8%46.8%
IV Rank36.4%28.3%48.4%28.3%32.0%
IV Percentile69.8%51.2%97.2%51.2%53.6%
Term Structure-1.2%-10.3%10.9%0.1%3.2%
VWIV101.8%81.5%109.5%82.6%109.5%
Skew 25d7.4%-0.3%18.2%7.0%5.9%
Skew 10d13.8%-9.3%36.1%22.0%4.4%
Call IV 25d100.0%86.2%114.5%96.6%96.6%
Put IV 25d107.4%99.9%115.1%103.6%102.5%
Bid-Ask Spread %3.712.0317.532.032.93
Gamma HHI0.130.090.200.150.10
Net GEX12.7K-93.1K134.5K-63.1K63.6K
Net DEX27.0M19.9M32.0M32.0M21.0M
Net VEX-302.8K-341.4K-267.7K-322.4K-277.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.271.160.730.98
Total Volume896.6196171,3071,048960
Total OI23,798.47621,46525,04423,99021,465

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$97.80$140.0091.2%23.4%49.3%28.3%82.6%7.0%0.1%-63.1K32.0M-322.4K0.732.0360644214,6249,366
2022-10-04$103.60$140.0093.0%23.5%53.3%30.0%81.5%6.3%0.8%72.6K27.9M-340.1K0.322.5499431314,9199,456
2022-10-05$102.60$140.0096.2%24.9%50.0%33.2%86.4%5.0%2.4%125.8K26.7M-341.4K0.502.0467934015,1319,546
2022-10-06$101.80$100.0094.7%27.8%48.7%31.7%98.9%18.2%0.8%131.1K27.1M-337.3K1.162.8840847515,3169,591
2022-10-07$97.00$100.0095.9%28.9%49.7%32.9%106.6%3.5%1.9%-28.5K28.7M-334.6K0.652.2965342515,4149,630
2022-10-10$98.60$100.0099.8%29.8%50.3%36.7%107.8%17.1%10.9%-92626.9M-335.2K0.762.1748737014,8689,340
2022-10-11$94.00$100.00111.8%30.1%45.2%48.4%105.4%-0.3%-3.6%-32.0K28.9M-305.0K0.683.0248732915,0239,374
2022-10-12$95.80$100.00103.8%29.9%46.2%40.6%105.7%8.6%0.2%21.0K27.2M-320.4K1.063.0243145515,1379,378
2022-10-13$94.40$100.00103.5%29.3%46.3%40.3%108.7%8.9%-1.2%6.5K29.2M-307.7K0.863.5247540915,2259,463
2022-10-14$92.40$100.00102.9%29.2%45.5%39.7%106.2%7.3%-3.3%-49.8K26.2M-320.2K0.613.0747428915,3019,473
2022-10-17$95.00$100.00102.2%29.2%47.2%39.0%103.8%7.6%-4.4%-67.6K28.3M-310.7K0.852.3559450714,7769,202
2022-10-18$93.60$100.00100.1%28.7%45.7%36.9%105.8%6.1%-9.1%-60.7K28.4M-306.1K0.863.0133128615,1179,364
2022-10-19$89.60$100.00105.9%30.4%47.7%42.6%104.2%9.3%-8.2%-80.5K29.6M-285.7K0.573.5441223415,1829,324
2022-10-20$85.60$100.00105.6%30.7%49.6%42.4%105.8%7.6%-9.1%-93.1K30.7M-271.2K0.624.1439724515,2449,303
2022-10-21$87.80$100.00105.1%31.1%50.8%41.8%104.9%12.5%-10.3%-24.4K31.0M-274.8K0.463.9559727615,3349,287
2022-10-24$89.40$100.0097.5%29.5%51.3%34.4%100.8%4.0%2.8%-23.0K26.4M-270.6K0.523.0765934413,5028,154
2022-10-25$93.20$100.0098.3%29.9%53.9%35.2%100.4%5.0%-1.0%70.3K24.4M-280.2K0.273.5086223313,8248,311
2022-10-26$90.00$100.0096.8%30.0%52.3%33.7%104.2%4.6%-2.3%108.7K23.8M-271.5K0.624.1852332314,1528,362
2022-10-27$90.20$100.0095.9%30.1%50.6%32.8%103.5%5.4%0.5%134.5K22.1M-267.7K0.723.1443431214,0008,098
2022-10-28$92.80$100.0095.2%29.9%51.3%32.1%104.4%6.3%3.0%55.9K19.9M-277.5K0.4217.5353422514,0598,133
2022-10-31$92.80$100.0095.0%31.3%50.2%32.0%109.5%5.9%3.2%63.6K21.0M-277.3K0.982.9348547513,6227,843