SPEU Options History — March 2020

Name: SPEU Options Analytics - March 2020
Creator: Options Analysis Suite

In March 2020, SPEU traded between $32.38 and $33.08. ATM implied volatility averaged 35.4%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.1% (HV 20d: 33.2%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 0 of 4 trading days. Term structure was in contango for 0 of 4 days.

Notable Days

2020-03-06: Largest IV spike — 27.6% change
2020-03-02: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.84	$32.38	$33.08	$32.97	$32.38
Max Pain	$34.00	$34.00	$34.00	$34.00	$34.00
ATM IV	35.4%	32.5%	41.9%	34.3%	41.9%
Expected Move	9.1%	7.6%	9.8%	9.8%	9.7%
HV 20d	33.2%	33.1%	33.4%	33.1%	33.4%
Term Structure	-6.1%	-7.4%	-3.2%	-7.0%	-6.9%
Skew 25d	14.3%	12.2%	15.7%	14.6%	15.7%
Skew 10d	24.9%	4.8%	34.9%	31.8%	34.9%
Call IV 25d	25.2%	21.7%	27.3%	27.3%	25.6%
Put IV 25d	39.5%	33.9%	41.8%	41.8%	41.3%
Bid-Ask Spread %	104.57	94.31	110.30	106.71	94.31
Gamma HHI	0.62	0.59	0.68	0.60	0.59
Net GEX	-127	-160	-98	-120	-98
Net DEX	2.2K	2.0K	2.4K	2.0K	2.4K
Net VEX	-3	-4	-3	-3	-3
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0	0	0	0	0
Total OI	2	2	2	2	2

Daily Data (4 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call OI	Put OI
2020-03-02	$32.97	$34.00	34.3%	9.8%	33.1%	0.0%	0.0%	14.6%	-7.0%	-120	2.0K	-3	106.71	N/A	N/A	1	1
2020-03-03	$33.08	$34.00	32.5%	9.3%	33.3%	0.0%	0.0%	14.7%	-7.4%	-129	2.0K	-4	110.30	N/A	N/A	1	1
2020-03-05	$32.92	$0.00	32.8%	7.6%	33.2%	0.0%	0.0%	12.2%	-3.2%	-160	2.3K	-3	106.98	N/A	N/A	1	1
2020-03-06	$32.38	$0.00	41.9%	9.7%	33.4%	0.0%	0.0%	15.7%	-6.9%	-98	2.4K	-3	94.31	N/A	N/A	1	1