SPEU Options History — September 2020 In September 2020, SPEU traded between $32.17 and $34.33. ATM implied volatility averaged 59.5%. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 40.0% (HV 20d: 19.5%). Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-09-08 : Highest Volume — 1 contracts2020-09-30 : Largest IV spike — 274.1% change2020-09-02 : Largest Expected Move — 41.3%Monthly Statistics Metric Avg Min Max Open Close Price $33.35 $32.17 $34.33 $33.85 $32.70 ATM IV 59.5% 21.2% 182.1% 99.7% 91.5% Expected Move 14.0% 6.1% 41.3% 28.6% 26.2% HV 20d 19.5% 15.0% 22.4% 17.1% 22.4% HV 60d 25.6% 24.4% 26.5% 24.4% 26.5% Term Structure -18.9% -123.2% 22.4% -88.2% -41.5% Skew 25d -0.4% -60.9% 48.6% 8.4% 6.8% Skew 10d 1.0% -56.4% 31.0% 18.7% 31.0% Call IV 25d 47.0% 17.4% 163.2% 18.7% 128.0% Put IV 25d 46.6% 24.9% 177.3% 27.1% 134.9% Bid-Ask Spread % 120.12 107.18 170.82 111.48 147.16 Gamma HHI 0.89 0.62 1.00 1.00 0.65 Net GEX 299 0 469 0 444 Net DEX -6.0K -8.2K 0 0 -5.8K Net VEX -20 -27 0 0 -24 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 0.095 0 1 0 0 Total OI 3.19 0 4 0 4
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-09-01 $33.85 $0.00 99.7% 28.6% 17.1% 0.0% 0.0% 8.4% -88.2% 0 0 0 0.00 111.48 N/A N/A 0 0 0 0 2020-09-02 $34.33 $0.00 144.1% 41.3% 15.0% 0.0% 0.0% 7.5% -123.2% 290 -6.5K -21 0.00 114.89 N/A N/A 0 0 3 0 2020-09-03 $33.46 $0.00 182.1% 15.9% 16.7% 0.0% 0.0% 5.7% -23.6% 265 -6.5K -20 0.00 147.96 N/A N/A 0 0 3 0 2020-09-04 $33.66 $0.00 149.8% 15.7% 16.8% 0.0% 0.0% 48.6% -34.7% 267 -6.5K -20 0.00 148.87 N/A N/A 0 0 3 0 2020-09-08 $33.28 $0.00 120.5% 34.5% 16.9% 0.0% 0.0% 14.1% -50.1% 270 -6.4K -19 0.00 170.82 N/A N/A 1 0 3 0 2020-09-09 $34.05 $0.00 58.3% 16.7% 18.8% 0.0% 0.0% 11.9% -36.9% 403 -8.2K -27 0.00 140.86 N/A N/A 0 0 4 0 2020-09-10 $33.56 $0.00 21.4% 6.1% 19.3% 0.0% 0.0% 7.0% 4.1% 291 -6.4K -19 0.00 107.32 N/A N/A 0 0 3 0 2020-09-11 $33.81 $0.00 21.2% 6.1% 19.5% 0.0% 0.0% 6.3% 3.3% 283 -6.5K -20 0.00 107.18 N/A N/A 0 0 3 0 2020-09-14 $33.92 $0.00 22.0% 6.3% 19.3% 0.0% 0.0% 5.7% 2.5% 272 -6.5K -19 0.00 107.18 N/A N/A 0 0 3 0 2020-09-15 $34.07 $0.00 21.8% 6.3% 18.2% 0.0% 0.0% 5.2% 2.9% 303 -6.2K -20 0.00 107.18 N/A N/A 0 0 3 0 2020-09-16 $34.12 $0.00 22.0% 6.3% 18.2% 0.0% 0.0% 4.9% 3.3% 290 -6.5K -19 0.00 107.18 N/A N/A 0 0 3 0 2020-09-17 $34.16 $0.00 22.2% 6.4% 17.7% 0.0% 0.0% 4.6% 22.0% 277 -6.5K -19 0.00 107.18 N/A N/A 0 0 3 0 2020-09-18 $33.94 $0.00 23.4% 6.7% 17.6% 0.0% 0.0% 6.4% 22.4% 275 -6.5K -19 0.00 107.18 N/A N/A 0 0 3 0 2020-09-21 $32.66 $0.00 27.3% 7.8% 22.2% 0.0% 0.0% 10.2% -2.6% 272 -6.4K -18 0.00 107.18 N/A N/A 0 0 3 0 2020-09-22 $32.55 $0.00 28.0% 8.0% 22.2% 0.0% 0.0% 8.0% -5.9% 343 -4.6K -19 0.00 107.18 N/A N/A 1 0 3 0 2020-09-23 $32.19 $0.00 36.0% 10.3% 22.4% 0.0% 0.0% -27.3% 2.8% 204 -6.3K -25 0.00 116.86 N/A N/A 0 0 4 0 2020-09-24 $32.17 $0.00 38.6% 11.1% 22.3% 0.0% 0.0% -34.7% -5.8% 382 -5.2K -24 0.00 116.86 N/A N/A 0 0 4 0 2020-09-25 $32.21 $0.00 36.5% 10.5% 21.3% 0.0% 0.0% -53.2% 12.4% 207 -6.3K -25 0.00 116.86 N/A N/A 0 0 4 0 2020-09-28 $32.78 $0.00 57.4% 16.5% 22.4% 0.0% 0.0% -60.9% -59.5% 468 -5.7K -24 0.00 116.86 N/A N/A 0 0 4 0 2020-09-29 $32.84 $0.00 24.5% 7.0% 22.4% 0.0% 0.0% 6.7% 0.3% 469 -5.8K -23 0.00 108.31 N/A N/A 0 0 4 0 2020-09-30 $32.70 $0.00 91.5% 26.2% 22.4% 0.0% 0.0% 6.8% -41.5% 444 -5.8K -24 0.00 147.16 N/A N/A 0 0 4 0
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