SPEU Options History — January 2020

In January 2020, SPEU traded between $35.34 and $36.77. ATM implied volatility averaged 9.6%. The 30-day expected move averaged 2.8%. Max pain ranged from $37.00 to $37.00. Net GEX was positive for 8 of 8 trading days. Term structure was in contango for 6 of 8 days.

Notable Days

  • 2020-01-31: Largest IV spike — 32.4% change
  • 2020-01-31: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.28$35.34$36.77$36.63$35.34
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV9.6%8.4%11.8%9.8%11.8%
Expected Move2.8%2.4%3.4%2.8%3.4%
Term Structure1.9%-1.3%6.3%-0.3%3.0%
Skew 25d3.6%1.7%5.0%2.9%4.9%
Skew 10d24.0%7.3%76.0%34.5%10.6%
Call IV 25d9.2%8.0%9.7%9.3%9.7%
Put IV 25d12.8%11.3%14.6%12.2%14.6%
Bid-Ask Spread %132.1040.00200.00132.27200.00
Gamma HHI0.650.511.000.541.00
Net GEX598192791739192
Net DEX-2.9K-4.0K-678-3.7K-678
Net VEX-8-10-2-10-2
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1.751221

Daily Data (8 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-16$36.63$37.009.8%2.8%0.0%0.0%0.0%2.9%-0.3%739-3.7K-100.00132.27N/AN/A0020
2020-01-17$36.77$37.0010.4%3.0%0.0%0.0%0.0%1.7%-1.3%719-4.0K-100.00132.13N/AN/A0020
2020-01-21$36.60$37.009.4%2.7%0.0%0.0%0.0%3.8%0.7%776-3.8K-90.0040.00N/AN/A0020
2020-01-22$36.57$37.009.2%2.6%0.0%0.0%0.0%3.2%0.3%791-3.7K-90.0066.67N/AN/A0020
2020-01-23$36.44$37.009.1%2.6%0.0%0.0%0.0%5.0%2.6%774-3.4K-90.0085.71N/AN/A0020
2020-01-29$36.00$37.008.4%2.4%0.0%0.0%0.0%4.9%3.5%553-3.1K-90.00200.00N/AN/A0020
2020-01-30$35.93$37.008.9%2.6%0.0%0.0%0.0%0.0%6.3%238-1.1K-30.00200.00N/AN/A0010
2020-01-31$35.34$37.0011.8%3.4%0.0%0.0%0.0%0.0%3.0%192-678-20.00200.00N/AN/A0010