SPCE Options History — September 2024

In September 2024, SPCE traded between $5.84 and $7.09. ATM implied volatility averaged 102.2%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 28.6%. IV traded above realized volatility by 24.1% (HV 20d: 78.1%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2024-09-17: Highest Volume — 9,713 contracts
  • 2024-09-30: Largest IV drop — 9.1% change
  • 2024-09-05: Highest IV Rank — 8.6%
  • 2024-09-05: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.28$5.84$7.09$6.14$6.03
Max Pain$5.20$5.00$7.00$7.00$5.00
ATM IV102.2%87.0%110.9%105.3%91.1%
Expected Move28.6%25.7%31.2%29.6%26.4%
HV 20d78.1%65.1%94.8%94.8%65.7%
HV 60d97.2%90.0%110.6%110.4%90.2%
IV Rank5.6%1.4%8.6%7.5%2.5%
IV Percentile29.5%2.0%52.8%36.1%9.1%
Term Structure2.1%-15.5%22.9%20.6%22.9%
VWIV104.6%91.7%123.0%110.7%95.5%
Skew 25d-0.8%-17.9%41.9%-17.9%-3.3%
Skew 10d-2.4%-23.0%31.2%3.9%16.6%
Call IV 25d108.3%77.2%130.8%130.8%106.1%
Put IV 25d107.4%93.0%139.4%112.9%102.9%
Bid-Ask Spread %37.4324.7151.1543.0233.62
Gamma HHI0.130.090.190.150.14
Net GEX29.3K-16.3K81.5K13.0K76.3K
Net DEX-2.2M-6.3M1.4M-1.8M-2.4M
Net VEX-77.0K-81.3K-71.8K-72.8K-79.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.313.441.831.54
Total Volume5,135.651,4309,7137,0343,426
Total OI89,495.7577,489101,14084,83182,799

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$6.14$7.00105.3%29.6%94.8%7.5%110.7%-17.9%20.6%13.0K-1.8M-72.8K1.8343.022,4844,55043,80841,023
2024-09-04$6.29$7.00108.5%29.5%94.1%8.0%115.1%-7.3%-15.5%1.8K-1.8M-77.2K0.5239.361,63185544,46443,138
2024-09-05$6.04$5.00110.9%31.2%93.2%8.6%123.0%-7.9%0.3%-16.3K-566.3K-72.8K0.9634.462,1092,03345,15743,549
2024-09-06$5.84$5.00106.9%30.9%86.8%7.2%116.1%-7.2%3.4%9.0K1.4M-71.8K3.4425.391,9656,75246,09545,190
2024-09-09$6.04$5.00105.9%29.9%86.5%6.5%110.0%-7.2%-1.1%1.4K-523.3K-72.4K1.4736.633,2744,80343,41243,069
2024-09-10$5.94$5.00105.9%29.8%84.0%6.5%109.8%13.0%-2.0%-8.3K543.9K-72.0K1.4340.998501,21846,00245,477
2024-09-11$6.17$5.00106.3%28.3%83.0%6.6%103.4%41.9%16.1%4.5K-699.1K-73.7K0.3138.601,09233846,14445,835
2024-09-12$6.33$5.00107.9%29.2%83.5%7.0%104.1%-9.0%-0.7%22.3K-1.7M-75.2K2.2838.621,9454,44446,47645,955
2024-09-13$6.96$5.00103.3%29.5%81.4%5.8%108.0%-6.6%-0.1%-16.0K-5.9M-81.0K0.7938.715,0323,99247,08348,392
2024-09-16$7.09$5.00107.1%30.7%78.4%6.6%108.1%-6.2%-7.4%66.5K-6.3M-81.2K0.8630.492,9192,51346,06243,915
2024-09-17$6.94$5.00104.8%30.1%76.9%6.1%104.7%-5.3%10.9%39.7K-4.9M-79.1K0.6436.945,9333,78046,82845,563
2024-09-18$6.66$5.00104.7%30.0%76.9%6.0%107.1%-4.2%-7.0%73.2K-4.8M-78.4K1.7551.152,8885,06350,87246,068
2024-09-19$6.49$5.00100.1%27.7%71.4%4.8%104.2%-5.3%5.3%41.3K-3.2M-80.8K0.4041.852,19687352,45647,337
2024-09-20$6.28$5.0097.8%27.9%69.8%4.2%98.9%-2.8%-3.6%41.4K-1.3M-79.1K1.5845.701,9363,06253,25247,888
2024-09-23$6.11$5.00102.2%26.2%67.7%5.4%92.3%-10.3%-6.5%23.3K-1.7M-77.0K0.5240.014,3492,25037,13040,359
2024-09-24$6.13$5.0095.5%25.9%67.8%3.6%91.7%20.9%-9.6%55.9K-2.1M-79.6K0.7148.141,14781440,55242,320
2024-09-25$5.84$5.0087.0%25.7%69.3%1.4%93.3%-9.4%16.5%32.7K-687.9K-76.6K0.3229.171,95863541,13142,671
2024-09-26$6.04$5.0092.6%26.5%65.6%2.9%94.4%12.4%13.5%42.6K-1.8M-78.6K0.3331.112,27275942,36142,919
2024-09-27$6.22$5.00100.2%26.4%65.1%4.8%102.0%4.9%-13.8%81.5K-3.5M-81.3K0.5024.713,0441,52943,82643,337
2024-09-30$6.03$5.0091.1%26.4%65.7%2.5%95.5%-3.3%22.9%76.3K-2.4M-79.8K1.5433.621,3492,07741,36241,437