SPEU Options History — November 2020 In November 2020, SPEU traded between $31.41 and $36.65. ATM implied volatility averaged 20.8%. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.3% (HV 20d: 24.1%). Max pain ranged from $28.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.29.
Notable Days 2020-11-11 : Highest Volume — 7 contracts2020-11-30 : Largest IV spike — 36.8% change2020-11-02 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $35.08 $31.41 $36.65 $31.41 $36.20 Max Pain $31.75 $28.00 $33.00 $28.00 $32.00 ATM IV 20.8% 14.0% 33.4% 33.4% 21.2% Expected Move 5.9% 4.0% 9.6% 9.6% 6.1% HV 20d 24.1% 17.7% 26.7% 19.9% 18.3% HV 60d 20.9% 19.0% 21.5% 19.0% 20.4% Term Structure 0.0% -4.3% 9.1% -4.3% -1.3% VWIV 26.8% 19.0% 36.1% 36.1% 19.0% Skew 25d 7.9% 3.0% 12.3% 7.9% 3.0% Skew 10d 11.4% 3.9% 21.2% 21.2% 12.5% Call IV 25d 16.9% 12.0% 28.2% 27.5% 23.0% Put IV 25d 24.9% 21.0% 35.4% 35.4% 26.0% Bid-Ask Spread % 124.22 98.94 154.14 112.17 124.97 Gamma HHI 0.36 0.25 0.54 0.25 0.46 Net GEX 2.1K 806 3.4K 806 1.6K Net DEX -54.6K -79.0K -8.7K -8.7K -58.1K Net VEX -91 -126 -61 -98 -97 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.29 0.00 1.00 1.00 0.00 Total Volume 1.15 0 7 2 0 Total OI 35.85 15 46 36 22
Daily Data (20 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 2020-11-02 $31.41 $28.00 33.4% 9.6% 19.9% 0.0% 36.1% 7.9% -4.3% 806 -8.7K -98 0.00 112.17 N/A N/A 0 2 19 17 2020-11-03 $32.45 $33.00 31.7% 9.1% 23.4% 0.0% 0.0% 6.3% -4.3% 1.5K -18.4K -76 1.00 98.94 N/A N/A 2 2 13 2 2020-11-04 $32.91 $30.00 23.5% 6.7% 23.9% 0.0% 0.0% 12.3% -1.3% 2.8K -23.7K -99 0.00 154.14 N/A N/A 3 0 19 21 2020-11-05 $33.58 $32.00 19.5% 6.0% 24.9% 0.0% 0.0% 9.9% 0.8% 3.4K -33.3K -94 0.00 142.73 N/A N/A 0 0 19 21 2020-11-06 $33.88 $32.00 24.2% 6.1% 24.8% 0.0% 25.3% 7.7% 0.0% 3.3K -36.5K -88 0.00 136.16 N/A N/A 1 0 19 21 2020-11-09 $34.84 $32.00 24.1% 6.0% 26.7% 0.0% 0.0% 9.8% -2.2% 2.8K -51.7K -74 0.00 138.70 N/A N/A 0 0 20 21 2020-11-10 $35.32 $32.00 24.0% 6.1% 26.6% 0.0% 19.0% 5.9% -2.0% 2.5K -57.6K -61 1.00 129.11 N/A N/A 2 2 20 21 2020-11-11 $35.45 $32.00 19.7% 5.6% 26.5% 0.0% 0.0% 5.8% -1.0% 2.7K -72.8K -88 0.00 115.99 N/A N/A 7 0 25 21 2020-11-12 $35.03 $32.00 20.8% 6.0% 26.2% 0.0% 0.0% 10.3% -0.8% 2.4K -60.6K -126 0.00 111.28 N/A N/A 0 0 24 21 2020-11-13 $35.58 $32.00 18.7% 5.4% 26.6% 0.0% 0.0% 4.4% 1.3% 1.8K -68.8K -99 0.00 104.39 N/A N/A 0 0 24 21 2020-11-16 $35.86 $32.00 18.9% 5.4% 26.4% 0.0% 0.0% 6.6% -0.4% 2.0K -70.2K -91 0.00 121.47 N/A N/A 0 0 24 19 2020-11-17 $35.89 $32.00 18.5% 5.3% 26.4% 0.0% 0.0% 5.3% 0.2% 2.0K -71.3K -87 0.00 114.14 N/A N/A 0 0 24 19 2020-11-18 $35.82 $32.00 19.1% 5.5% 26.0% 0.0% 0.0% 4.9% -1.2% 2.0K -71.3K -86 0.00 123.81 N/A N/A 1 0 24 19 2020-11-19 $35.93 $32.00 17.4% 5.0% 25.9% 0.0% 0.0% 10.2% 0.8% 2.3K -75.3K -85 0.00 126.20 N/A N/A 1 0 25 19 2020-11-20 $35.95 $32.00 17.7% 5.1% 26.0% 0.0% 0.0% 10.2% -0.1% 2.0K -79.0K -92 0.00 126.02 N/A N/A 0 0 26 19 2020-11-23 $35.98 $32.00 18.7% 5.4% 24.2% 0.0% 0.0% 10.6% -0.6% 2.2K -56.7K -102 0.00 126.17 N/A N/A 0 0 20 2 2020-11-24 $36.42 $32.00 15.8% 4.5% 23.5% 0.0% 0.0% 8.0% 4.6% 1.7K -59.7K -93 0.00 126.07 N/A N/A 0 0 20 2 2020-11-25 $36.53 $32.00 14.0% 4.0% 17.8% 0.0% 0.0% 8.1% 9.1% 1.6K -57.7K -96 0.00 126.06 N/A N/A 0 0 20 2 2020-11-27 $36.65 $32.00 15.5% 4.4% 17.7% 0.0% 0.0% 11.6% 3.2% 1.6K -60.9K -88 0.00 125.95 N/A N/A 0 0 20 2 2020-11-30 $36.20 $32.00 21.2% 6.1% 18.3% 0.0% 0.0% 3.0% -1.3% 1.6K -58.1K -97 0.00 124.97 N/A N/A 0 0 20 2
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