SPEU Options History — February 2020

In February 2020, SPEU traded between $32.26 and $36.63. ATM implied volatility averaged 14.1%. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.2% (HV 20d: 16.3%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 12 of 15 trading days. Term structure was in contango for 7 of 15 days.

Notable Days

  • 2020-02-24: Highest Volume — 1 contracts
  • 2020-02-28: Largest IV spike — 127.4% change
  • 2020-02-28: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.95$32.26$36.63$35.99$32.26
Max Pain$36.25$34.00$37.00$36.00$34.00
ATM IV14.1%6.3%43.3%11.7%43.3%
Expected Move4.0%1.8%12.4%3.3%12.4%
HV 20d16.3%12.6%31.6%14.2%31.6%
Term Structure-0.2%-10.5%6.0%0.5%-10.5%
VWIV25.9%21.9%29.8%21.9%29.8%
Skew 25d-2.3%-65.7%30.0%3.0%30.0%
Skew 10d-41.1%-101.7%18.0%-78.1%-39.5%
Call IV 25d21.9%7.0%82.2%11.8%22.9%
Put IV 25d19.6%11.3%52.9%14.8%52.9%
Bid-Ask Spread %123.0955.88144.05136.92105.57
Gamma HHI0.960.521.001.000.52
Net GEX317-43649339-43
Net DEX-875-2.3K1.7K-1.9K1.7K
Net VEX-2-50-5-4
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.1330101
Total OI10212

Daily Data (15 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-04$35.99$0.0011.7%3.3%0.0%0.0%0.0%3.0%0.5%339-1.9K-50.00136.92N/AN/A0010
2020-02-05$36.38$0.0012.0%3.4%0.0%0.0%0.0%0.3%-4.3%287-2.2K-50.00135.08N/AN/A0010
2020-02-06$36.41$36.0011.7%2.1%0.0%0.0%0.0%15.4%3.7%294-2.3K-50.00132.40N/AN/A0010
2020-02-07$36.10$36.0011.9%3.3%0.0%0.0%0.0%12.3%-0.4%369-2.0K-50.00132.40N/AN/A0010
2020-02-10$36.15$0.0011.7%3.4%0.0%0.0%0.0%0.9%0.7%0000.00138.22N/AN/A0000
2020-02-11$36.41$37.0012.6%3.6%0.0%0.0%0.0%6.2%-0.4%530-740-20.00139.89N/AN/A0010
2020-02-12$36.63$37.006.3%1.8%0.0%0.0%0.0%-40.5%6.0%532-1.3K-20.00141.37N/AN/A0010
2020-02-13$36.42$37.0011.9%3.4%14.2%0.0%0.0%5.9%2.1%518-689-10.00143.01N/AN/A0010
2020-02-14$36.43$37.009.6%2.8%13.7%0.0%0.0%-65.7%4.0%342-1.3K-20.00144.05N/AN/A0010
2020-02-18$36.32$0.0013.2%3.8%13.3%0.0%0.0%0.0%5.2%453-827-10.0096.21N/AN/A0010
2020-02-19$36.52$0.0011.6%3.3%13.1%0.0%0.0%0.0%-2.4%649-813-10.00117.02N/AN/A0010
2020-02-20$36.32$0.0011.9%3.4%12.9%0.0%0.0%0.0%-2.1%238-10000.00109.65N/AN/A0010
2020-02-21$36.18$0.0013.2%3.8%12.6%0.0%0.0%0.0%-2.3%0000.0055.88N/AN/A0010
2020-02-24$34.76$36.0019.1%5.5%18.7%0.0%21.9%7.5%-2.9%247-710-30.00118.74N/AN/A0110
2020-02-28$32.26$34.0043.3%12.4%31.6%0.0%29.8%30.0%-10.5%-431.7K-40.00105.57N/AN/A0111