SPEU Options History — July 2020

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

In July 2020, SPEU traded between $31.86 and $33.66. ATM implied volatility averaged 23.5%. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 12.3% (HV 20d: 35.8%). Net GEX was positive for 3 of 12 trading days. Term structure was in contango for 1 of 12 days. Put/call ratio averaged 0.00.

Notable Days

2020-07-27: Highest Volume — 2 contracts
2020-07-17: Largest IV drop — 69.5% change
2020-07-16: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.88	$31.86	$33.66	$31.86	$32.40
ATM IV	23.5%	13.0%	42.7%	27.0%	25.3%
Expected Move	6.6%	3.7%	12.2%	7.2%	7.3%
HV 20d	35.8%	34.7%	36.8%	34.7%	35.1%
Term Structure	-1.5%	-3.6%	0.0%	-0.8%	-2.6%
Skew 25d	21.3%	8.1%	104.9%	8.1%	11.3%
Skew 10d	30.3%	20.3%	104.9%	23.1%	21.7%
Call IV 25d	18.0%	12.4%	21.7%	21.7%	17.8%
Put IV 25d	39.3%	27.8%	120.3%	29.8%	29.1%
Bid-Ask Spread %	124.69	66.49	200.00	103.11	66.49
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	23	0	95	0	0
Net DEX	-437	-1.8K	0	0	0
Net VEX	-2	-8	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.167	0	2	0	0
Total OI	0.25	0	1	0	0

Daily Data (12 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 Vol	Call OI
2020-07-09	$31.86	$0.00	27.0%	7.2%	34.7%	0.0%	0.0%	8.1%	-0.8%	0	0	0	103.11	N/A	N/A	0	0
2020-07-10	$32.18	$0.00	24.5%	7.0%	35.2%	0.0%	0.0%	8.3%	0.0%	0	0	0	101.64	N/A	N/A	0	0
2020-07-14	$32.49	$0.00	30.5%	7.3%	35.6%	0.0%	0.0%	9.3%	0.0%	0	0	0	85.40	N/A	N/A	0	0
2020-07-16	$32.82	$0.00	42.7%	12.2%	35.7%	0.0%	0.0%	0.0%	0.0%	0	0	0	140.17	N/A	N/A	0	0
2020-07-17	$33.00	$0.00	13.0%	3.7%	35.7%	0.0%	0.0%	21.4%	-0.6%	89	-1.7K	-8	200.00	N/A	N/A	0	1
2020-07-23	$33.21	$0.00	17.5%	5.0%	35.9%	0.0%	0.0%	0.0%	0.0%	0	0	0	200.00	N/A	N/A	0	0
2020-07-24	$33.01	$0.00	18.6%	5.3%	35.9%	0.0%	0.0%	20.8%	-3.6%	94	-1.7K	-8	200.00	N/A	N/A	0	1
2020-07-27	$33.43	$0.00	17.9%	5.1%	36.4%	0.0%	0.0%	104.9%	-2.6%	95	-1.8K	-8	200.00	N/A	N/A	2	1
2020-07-28	$33.35	$0.00	22.1%	6.3%	36.2%	0.0%	0.0%	10.0%	0.0%	0	0	0	66.49	N/A	N/A	0	0
2020-07-29	$33.66	$0.00	21.7%	6.2%	36.6%	0.0%	0.0%	9.4%	0.0%	0	0	0	66.49	N/A	N/A	0	0
2020-07-30	$33.17	$0.00	21.2%	6.1%	36.8%	0.0%	0.0%	9.5%	0.0%	0	0	0	66.49	N/A	N/A	0	0
2020-07-31	$32.40	$0.00	25.3%	7.3%	35.1%	0.0%	0.0%	11.3%	0.0%	0	0	0	66.49	N/A	N/A	0	0