SPEU Options History — October 2020 In October 2020, SPEU traded between $30.91 and $34.12. ATM implied volatility averaged 25.2%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.4% (HV 20d: 17.8%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2020-10-30 : Highest Volume — 15 contracts2020-10-14 : Largest IV spike — 27.2% change2020-10-28 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $32.98 $30.91 $34.12 $32.82 $30.91 Max Pain $32.83 $32.00 $33.00 $33.00 $32.00 ATM IV 25.2% 17.5% 33.3% 23.8% 32.4% Expected Move 7.5% 6.4% 9.5% 6.8% 9.3% HV 20d 17.8% 13.8% 21.7% 21.7% 19.6% HV 60d 19.2% 17.9% 25.3% 25.3% 18.6% Term Structure -5.0% -23.4% 20.6% 0.5% -4.2% VWIV 27.0% 20.4% 38.1% 26.4% 38.1% Skew 25d 8.5% 6.2% 13.2% 6.2% 13.2% Skew 10d 17.5% 6.9% 28.7% 7.2% 10.9% Call IV 25d 21.0% 17.4% 27.5% 21.8% 24.0% Put IV 25d 29.4% 25.2% 39.0% 27.9% 37.2% Bid-Ask Spread % 108.06 98.50 125.62 125.58 123.11 Gamma HHI 0.50 0.30 0.69 0.64 0.30 Net GEX 1.1K 481 2.2K 481 566 Net DEX -11.4K -23.2K -1.1K -5.8K -1.1K Net VEX -46 -94 -21 -23 -86 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.00 2.50 0.20 2.50 Total Volume 2.182 0 15 0 15 Total OI 11.136 4 26 4 26
Daily Data (22 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 2020-10-01 $32.82 $0.00 23.8% 6.8% 21.7% 0.0% 0.0% 6.2% 0.5% 481 -5.8K -23 0.00 125.58 N/A N/A 0 0 4 0 2020-10-02 $32.95 $0.00 23.7% 6.8% 19.9% 0.0% 0.0% 6.9% 0.9% 484 -5.9K -23 0.00 125.62 N/A N/A 0 0 4 0 2020-10-05 $33.40 $0.00 24.6% 7.2% 20.4% 0.0% 0.0% 8.5% -4.9% 527 -6.6K -23 0.00 98.50 N/A N/A 0 0 4 0 2020-10-06 $33.12 $0.00 23.2% 7.0% 20.2% 0.0% 0.0% 7.7% -2.4% 497 -6.3K -23 0.00 101.41 N/A N/A 0 0 4 0 2020-10-07 $33.30 $0.00 22.7% 7.0% 18.5% 0.0% 0.0% 7.5% -3.7% 532 -6.5K -23 0.00 103.87 N/A N/A 0 0 4 0 2020-10-08 $33.56 $0.00 17.5% 6.4% 18.0% 0.0% 0.0% 8.8% -0.8% 567 -6.8K -22 0.00 105.03 N/A N/A 0 0 4 0 2020-10-09 $33.94 $0.00 17.8% 6.4% 18.3% 0.0% 0.0% 9.4% 0.3% 578 -7.5K -22 0.00 105.03 N/A N/A 0 0 4 0 2020-10-12 $34.12 $0.00 19.8% 6.5% 18.3% 0.0% 0.0% 8.6% -0.8% 576 -8.0K -22 0.00 105.05 N/A N/A 0 0 4 0 2020-10-13 $33.72 $0.00 18.7% 6.8% 18.8% 0.0% 0.0% 11.2% -1.6% 597 -7.7K -21 0.00 104.17 N/A N/A 0 0 4 0 2020-10-14 $33.66 $0.00 23.8% 6.8% 18.7% 0.0% 26.4% 7.3% -2.6% 558 -7.7K -21 0.20 105.42 N/A N/A 5 1 4 0 2020-10-15 $33.14 $33.00 23.8% 6.8% 19.5% 0.0% 20.4% 6.4% -11.6% 1.3K -15.8K -46 0.00 106.33 N/A N/A 1 0 9 1 2020-10-16 $33.39 $33.00 25.7% 7.4% 19.6% 0.0% 22.4% 7.5% -12.3% 1.5K -17.6K -49 0.00 106.16 N/A N/A 4 0 10 1 2020-10-19 $33.20 $33.00 25.8% 7.4% 13.9% 0.0% 0.0% 7.1% -11.9% 2.2K -22.0K -63 0.00 106.11 N/A N/A 0 0 14 1 2020-10-20 $33.48 $33.00 28.1% 8.1% 14.0% 0.0% 25.2% 8.9% -11.5% 2.2K -23.2K -62 1.00 105.88 N/A N/A 2 2 14 1 2020-10-21 $33.17 $33.00 26.3% 7.5% 13.8% 0.0% 0.0% 7.0% -11.6% 2.0K -20.4K -69 0.00 106.04 N/A N/A 0 0 14 3 2020-10-22 $33.13 $33.00 26.1% 7.5% 13.9% 0.0% 0.0% 6.9% -11.7% 2.0K -20.1K -69 0.00 106.11 N/A N/A 0 0 14 3 2020-10-23 $33.34 $33.00 27.7% 7.9% 14.0% 0.0% 0.0% 8.0% -13.6% 2.0K -20.6K -68 0.00 106.16 N/A N/A 0 0 14 3 2020-10-26 $32.62 $33.00 26.2% 7.5% 15.0% 0.0% 0.0% 10.0% -23.4% 2.1K -15.9K -62 0.00 104.78 N/A N/A 0 0 14 3 2020-10-27 $32.23 $33.00 30.8% 8.8% 15.5% 0.0% 0.0% 6.8% -0.2% 1.8K -13.9K -60 0.00 115.11 N/A N/A 0 0 14 3 2020-10-28 $31.12 $33.00 33.3% 9.5% 19.7% 0.0% 29.1% 11.8% 20.6% 1.2K -7.2K -50 1.20 104.67 N/A N/A 5 6 14 3 2020-10-29 $31.17 $32.00 33.1% 9.5% 19.6% 0.0% 27.5% 10.4% -4.5% 718 -4.0K -94 2.50 107.17 N/A N/A 2 5 19 7 2020-10-30 $30.91 $32.00 32.4% 9.3% 19.6% 0.0% 38.1% 13.2% -4.2% 566 -1.1K -86 0.00 123.11 N/A N/A 0 15 19 7
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