SPCE Options History — November 2022

In November 2022, SPCE traded between $92.00 and $111.00. ATM implied volatility averaged 88.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded above realized volatility by 24.2% (HV 20d: 64.0%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2022-11-07: Highest Volume — 1,862 contracts
  • 2022-11-02: Largest IV spike — 18.1% change
  • 2022-11-02: Highest IV Rank — 45.6%
  • 2022-11-02: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.64$92.00$111.00$96.00$101.60
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV88.2%77.2%109.0%92.3%77.2%
Expected Move26.1%22.9%35.3%31.2%23.4%
HV 20d64.0%47.0%73.6%47.0%73.6%
HV 60d54.0%46.1%58.4%47.5%58.4%
IV Rank23.2%8.0%45.6%29.3%8.0%
IV Percentile35.2%7.9%92.1%47.2%7.9%
Term Structure-0.2%-5.9%7.4%1.6%-0.3%
VWIV92.2%80.6%122.3%111.8%83.5%
Skew 25d7.4%1.9%24.4%3.1%6.5%
Skew 10d15.3%-4.3%32.4%1.9%32.4%
Call IV 25d88.3%79.9%106.6%96.7%80.1%
Put IV 25d95.7%86.7%120.1%99.9%86.7%
Bid-Ask Spread %4.252.987.952.984.18
Gamma HHI0.140.090.480.100.13
Net GEX111.0K-29.8K804.2K81.2K111.3K
Net DEX18.2M10.9M21.8M19.7M18.1M
Net VEX-290.2K-322.7K-254.2K-290.6K-292.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.311.700.790.31
Total Volume1,036.0482391,8621,008597
Total OI22,250.33321,36323,06621,87622,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$96.00$100.0092.3%31.2%47.0%29.3%111.8%3.1%1.6%81.2K19.7M-290.6K0.792.9856444413,7898,087
2022-11-02$92.20$100.00109.0%35.3%48.7%45.6%122.3%24.4%-4.5%43.6K20.7M-276.9K0.625.5358136313,9258,273
2022-11-03$92.00$100.00105.2%28.6%48.7%42.0%102.6%5.7%-5.4%51.4K19.3M-288.6K0.837.9568456714,0968,409
2022-11-04$97.60$100.0092.8%26.7%51.0%29.8%97.6%6.2%0.4%47221.0M-290.6K0.525.961,11557714,1828,602
2022-11-07$104.80$100.0085.0%24.9%56.6%22.3%85.5%5.5%0.5%113.7K18.6M-299.8K0.444.901,29556713,7368,181
2022-11-08$100.00$100.0087.4%25.5%56.5%24.6%91.8%2.8%0.9%86.1K19.6M-287.2K1.003.7656856714,2228,325
2022-11-09$95.00$100.0091.8%27.0%59.4%28.9%95.8%1.9%3.0%30.5K21.6M-267.0K0.913.5849945314,2868,328
2022-11-10$105.60$100.0087.9%26.5%70.0%25.1%90.7%7.5%5.3%79.0K13.8M-312.9K0.534.3991348014,2808,389
2022-11-11$111.00$100.0084.7%24.5%70.9%21.9%88.0%9.8%0.7%804.2K10.9M-314.7K0.563.0099755614,5718,495
2022-11-14$109.80$100.0090.4%26.6%70.9%27.5%91.1%8.4%-5.9%239.6K13.6M-322.7K0.733.7266748614,1368,156
2022-11-15$110.20$100.0086.6%25.0%70.4%23.8%89.0%9.6%0.4%275.8K13.2M-318.7K1.603.9749579314,3508,275
2022-11-16$107.40$100.0091.9%26.3%68.9%27.8%90.5%9.2%-4.4%140.5K16.8M-308.0K1.703.7133757314,4178,424
2022-11-17$106.40$100.0091.7%26.4%66.3%27.3%90.5%9.5%-2.5%166.0K17.2M-301.1K0.964.0235834414,4498,371
2022-11-18$106.40$100.0087.5%25.6%66.1%23.2%88.1%8.0%-5.4%45.1K18.1M-295.0K0.513.1858629714,4268,436
2022-11-21$100.80$100.0086.3%25.4%69.8%20.9%89.7%9.3%1.7%10.9K21.8M-281.0K0.923.1751647413,5907,790
2022-11-22$100.40$100.0082.7%24.3%68.5%13.8%85.6%3.7%0.9%-15.9K20.6M-273.9K0.674.9344429613,7077,791
2022-11-23$102.80$100.0082.3%24.1%67.3%13.4%84.2%1.9%1.6%33.5K17.4M-285.0K0.733.3638828313,8417,724
2022-11-25$102.00$100.0081.2%23.3%67.5%12.3%90.8%4.3%-1.3%48.2K18.2M-273.2K0.874.6112811114,0017,809
2022-11-28$94.80$100.0079.5%23.7%72.5%10.4%86.5%9.2%7.4%-29.8K21.4M-254.2K0.654.4342327513,6947,669
2022-11-29$97.60$100.0079.3%22.9%73.2%10.2%80.6%8.5%1.6%15.1K20.9M-261.4K1.133.9251458213,8787,801
2022-11-30$101.60$100.0077.2%23.4%73.6%8.0%83.5%6.5%-0.3%111.3K18.1M-292.0K0.314.1845414314,2438,103