SPEU Options History — August 2020

In August 2020, SPEU traded between $33.07 and $34.19. ATM implied volatility averaged 41.4%. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 21.6% (HV 20d: 19.8%). Net GEX was positive for 1 of 18 trading days. Term structure was in contango for 1 of 18 days.

Notable Days

  • 2020-08-27: Largest IV spike — 587.2% change
  • 2020-08-27: Largest Expected Move — 45.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.70$33.07$34.19$33.07$34.05
ATM IV41.4%20.2%159.6%20.9%113.9%
Expected Move11.4%5.8%45.7%6.0%32.7%
HV 20d19.8%17.1%24.0%24.0%17.8%
HV 60d25.7%24.5%26.9%26.9%24.5%
Term Structure-34.2%-118.8%1.7%-0.6%-118.8%
Skew 25d8.7%4.8%10.3%9.3%8.2%
Skew 10d19.4%12.7%23.6%23.6%18.4%
Call IV 25d18.5%15.6%21.3%19.9%17.8%
Put IV 25d27.2%24.2%30.2%29.3%26.0%
Bid-Ask Spread %77.0356.57121.9866.49114.48
Gamma HHI1.001.001.001.001.00
Net GEX16028400
Net DEX-311-5.6K000
Net VEX-1-24000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI0.1670300

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$33.07$0.0020.9%6.0%24.0%0.0%0.0%9.3%0.0%0000.0066.49N/AN/A0000
2020-08-04$33.13$0.0021.4%6.1%22.7%0.0%0.0%10.1%0.0%0000.0066.49N/AN/A0000
2020-08-05$33.47$0.0023.1%6.6%23.0%0.0%0.0%4.8%-0.6%284-5.6K-240.00121.98N/AN/A0030
2020-08-06$33.50$0.0023.7%6.8%22.9%0.0%0.0%10.3%-0.1%0000.0066.49N/AN/A0000
2020-08-07$33.21$0.0022.1%6.3%22.3%0.0%0.0%10.3%-0.2%0000.0066.49N/AN/A0000
2020-08-10$33.30$0.0022.9%6.6%22.1%0.0%0.0%10.3%-0.5%0000.0066.49N/AN/A0000
2020-08-11$33.58$0.0022.9%6.6%21.4%0.0%0.0%10.1%-1.4%0000.0066.49N/AN/A0000
2020-08-12$34.19$0.0022.3%6.4%22.1%0.0%0.0%7.8%-1.5%0000.0066.49N/AN/A0000
2020-08-13$34.09$0.0020.8%6.0%17.1%0.0%0.0%7.8%0.0%0000.0056.57N/AN/A0000
2020-08-14$33.70$0.0021.3%6.1%17.7%0.0%0.0%8.8%0.0%0000.0056.57N/AN/A0000
2020-08-17$34.01$0.0020.2%5.8%17.7%0.0%0.0%8.5%1.7%0000.00115.99N/AN/A0000
2020-08-18$34.02$0.0026.2%6.1%17.4%0.0%0.0%8.0%0.0%0000.0056.57N/AN/A0000
2020-08-19$33.89$0.0032.0%6.1%17.5%0.0%0.0%8.4%0.0%0000.0056.57N/AN/A0000
2020-08-20$33.75$0.0038.8%6.2%17.5%0.0%0.0%8.9%0.0%0000.0056.57N/AN/A0000
2020-08-21$33.44$0.0023.2%6.7%17.7%0.0%0.0%9.7%0.0%0000.0056.57N/AN/A0000
2020-08-27$33.99$0.00159.6%45.7%18.1%0.0%0.0%7.8%-110.7%0000.00115.25N/AN/A0000
2020-08-28$34.13$0.00110.3%31.6%18.0%0.0%0.0%7.8%-109.6%0000.00114.05N/AN/A0000
2020-08-31$34.05$0.00113.9%32.7%17.8%0.0%0.0%8.2%-118.8%0000.00114.48N/AN/A0000