SPCE Options History — September 2023

In September 2023, SPCE traded between $32.60 and $51.60. ATM implied volatility averaged 91.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 27.5% (HV 20d: 63.6%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2023-09-12: Highest Volume — 3,778 contracts
  • 2023-09-18: Largest IV spike — 13.1% change
  • 2023-09-26: Highest IV Rank — 36.8%
  • 2023-09-27: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.11$32.60$51.60$51.60$35.80
Max Pain$62.00$60.00$70.00$60.00$60.00
ATM IV91.1%77.0%110.2%78.4%106.8%
Expected Move25.8%21.1%32.4%21.1%28.3%
HV 20d63.6%49.6%76.9%51.0%76.9%
HV 60d81.2%64.1%99.9%98.8%64.3%
IV Rank18.0%4.1%36.8%5.5%33.5%
IV Percentile36.6%1.2%89.3%2.0%78.6%
Term Structure-0.2%-8.0%12.3%-0.6%-2.7%
VWIV91.0%51.9%113.3%76.5%100.6%
Skew 25d-4.4%-21.8%2.4%-1.1%-2.1%
Skew 10d-13.1%-63.5%17.0%-5.1%14.5%
Call IV 25d98.9%80.3%122.1%82.7%106.1%
Put IV 25d94.4%81.1%115.9%81.5%103.9%
Bid-Ask Spread %4.782.5514.794.595.34
Gamma HHI0.260.180.420.270.22
Net GEX-92.1K-141.7K-39.5K-105.1K-77.8K
Net DEX18.3M16.3M21.8M17.6M17.2M
Net VEX-183.5K-236.1K-148.4K-236.1K-169.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.166.340.290.24
Total Volume978.352883,778465464
Total OI27,175.7525,42228,37726,32628,078

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$51.60$60.0078.4%21.1%51.0%5.5%76.5%-1.1%-0.6%-105.1K17.6M-236.1K0.294.5935910614,35711,969
2023-09-05$51.00$70.0077.0%22.2%49.6%4.1%83.5%-5.5%0.5%-105.8K17.8M-228.9K0.184.3057710513,62411,798
2023-09-06$50.00$70.0079.0%22.2%49.6%6.0%84.8%-1.8%1.1%-99.1K18.0M-225.9K0.4914.791939513,96411,829
2023-09-07$47.60$70.0081.9%22.5%50.9%8.9%85.2%0.6%-3.5%-101.1K19.0M-217.4K0.465.3467130914,05911,847
2023-09-08$45.80$70.0082.3%21.6%50.3%9.4%81.8%-1.4%0.4%-105.1K20.5M-203.0K0.304.2972421614,43011,916
2023-09-11$41.20$60.0080.6%22.6%58.6%7.7%80.1%2.4%-2.2%-120.6K21.8M-173.1K0.253.481,28032313,91611,888
2023-09-12$41.00$60.0084.2%22.4%58.6%11.2%51.9%-2.9%-8.0%-111.1K20.3M-171.5K6.343.095153,26314,43211,556
2023-09-13$38.40$60.0080.6%22.9%56.4%7.6%87.2%-0.3%-0.7%-141.7K21.6M-173.5K0.633.4674246614,65913,085
2023-09-14$39.60$60.0082.4%23.0%59.1%9.4%80.8%-0.7%-2.4%-111.2K18.8M-183.0K0.403.4073129515,08112,941
2023-09-15$40.80$60.0082.8%23.2%61.4%9.8%86.5%-3.3%-2.2%-89.8K16.7M-195.3K0.253.4569517415,42312,954
2023-09-18$37.00$60.0093.6%26.6%64.5%20.5%93.6%-7.7%-3.7%-93.1K18.7M-169.7K0.453.9589940114,29712,681
2023-09-19$40.00$60.0088.5%25.3%73.5%15.5%90.9%-4.3%1.9%-41.3K16.6M-186.2K0.163.121,02616114,79912,622
2023-09-20$38.40$60.0089.7%25.7%74.0%16.7%94.4%-12.5%0.2%-39.5K16.3M-179.4K0.454.8346020715,18912,683
2023-09-21$36.20$60.0098.9%28.7%74.1%25.7%103.0%-21.8%-5.3%-79.8K16.7M-174.0K0.315.1335410915,34612,698
2023-09-22$34.20$60.00103.3%29.8%73.4%30.0%113.3%-14.6%-2.6%-83.4K17.5M-161.3K0.894.7134030415,45412,713
2023-09-25$33.40$60.00103.2%31.5%73.3%29.9%106.4%-3.7%12.3%-88.7K17.7M-155.9K1.022.5564065314,67912,715
2023-09-26$32.60$60.00110.2%31.8%72.1%36.8%110.7%-3.1%1.4%-86.3K18.1M-148.4K0.456.0532614614,99612,899
2023-09-27$33.00$60.00108.5%32.4%70.1%35.1%96.1%1.9%4.5%-83.3K18.0M-150.7K2.324.5326661615,08312,857
2023-09-28$34.60$60.00109.3%31.9%74.6%35.9%111.6%-6.9%7.8%-78.7K16.9M-167.3K0.475.2324311315,16512,833
2023-09-29$35.80$60.00106.8%28.3%76.9%33.5%100.6%-2.1%-2.7%-77.8K17.2M-169.2K0.245.343758915,24812,830