SPEU Options History — December 2020

In December 2020, SPEU traded between $36.90 and $38.07. ATM implied volatility averaged 22.1%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.6% (HV 20d: 13.5%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2020-12-23: Highest Volume — 8 contracts
  • 2020-12-08: Largest IV drop — 45.3% change
  • 2020-12-07: Highest IV Rank — 16.2%
  • 2020-12-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.38$36.90$38.07$36.90$37.55
Max Pain$36.55$32.00$37.00$32.00$37.00
ATM IV22.1%18.1%34.8%27.1%18.3%
Expected Move5.9%5.2%8.1%7.8%5.2%
HV 20d13.5%11.0%18.5%18.5%13.1%
HV 60d19.1%18.0%20.7%20.7%18.5%
IV Rank8.5%6.7%16.2%14.0%6.9%
IV Percentile38.7%22.2%85.0%77.8%22.2%
Term Structure1.7%-2.9%8.3%8.1%1.3%
VWIV19.4%19.4%19.4%19.4%19.4%
Skew 25d11.3%6.2%24.6%23.6%12.3%
Skew 10d7.1%-80.6%18.8%-78.9%15.8%
Call IV 25d14.2%9.1%17.3%15.7%14.5%
Put IV 25d25.5%19.4%41.3%39.4%26.8%
Bid-Ask Spread %117.03109.91126.75126.02126.75
Gamma HHI0.380.270.490.410.28
Net GEX2.6K1.8K4.1K2.0K2.2K
Net DEX-57.9K-91.8K-33.4K-60.2K-39.4K
Net VEX-103-142-77-82-131
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.001.670.001.67
Total Volume1.2270850
Total OI26.09116352229

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$36.90$32.0027.1%7.8%18.5%0.0%0.0%23.6%8.1%2.0K-60.2K-820.00126.02N/AN/A50202
2020-12-02$36.98$32.0028.2%8.1%16.1%0.0%0.0%24.6%8.3%3.3K-70.4K-980.00125.97N/AN/A00252
2020-12-03$37.03$37.0028.9%5.4%16.0%0.0%0.0%9.5%-1.6%3.2K-71.1K-980.00109.91N/AN/A10252
2020-12-04$37.34$37.0030.9%5.5%15.1%14.0%19.4%9.8%-1.9%3.3K-75.6K-971.00119.83N/AN/A11262
2020-12-07$37.19$37.0034.8%5.7%15.4%16.2%0.0%9.4%-2.9%3.4K-77.3K-1020.00119.76N/AN/A00273
2020-12-08$37.29$37.0019.0%5.5%12.7%7.3%0.0%8.3%-1.5%3.4K-83.1K-770.00118.48N/AN/A40273
2020-12-09$37.15$37.0018.1%5.2%12.3%6.7%0.0%6.3%0.1%4.1K-91.8K-1150.00118.70N/AN/A10313
2020-12-10$37.29$37.0018.6%5.3%12.3%7.0%0.0%8.3%5.3%3.8K-90.6K-1360.00113.20N/AN/A00323
2020-12-11$36.93$37.0020.6%5.9%12.0%8.1%0.0%7.5%7.1%2.2K-55.4K-890.00114.41N/AN/A10213
2020-12-14$37.02$37.0020.9%6.0%11.0%8.4%0.0%7.4%5.3%2.3K-58.5K-940.00113.70N/AN/A00223
2020-12-15$37.39$37.0019.6%5.6%11.2%7.6%0.0%10.9%3.0%2.3K-61.2K-850.00113.41N/AN/A00223
2020-12-16$37.77$37.0018.4%5.3%11.5%6.9%0.0%12.7%1.0%2.4K-64.5K-790.00114.32N/AN/A00223
2020-12-17$38.03$37.0018.7%5.4%11.5%7.1%0.0%10.4%5.3%2.4K-54.7K-840.00113.56N/AN/A00193
2020-12-18$37.79$37.0019.0%5.4%12.0%7.2%0.0%11.9%3.9%2.3K-52.8K-870.00113.82N/AN/A00193
2020-12-21$37.07$37.0022.2%6.4%14.2%9.1%0.0%11.8%-0.5%1.8K-33.7K-870.00114.43N/AN/A00151
2020-12-22$36.97$37.0023.3%6.7%14.3%9.7%0.0%12.0%-1.0%1.8K-33.4K-861.50114.15N/AN/A23151
2020-12-23$37.34$37.0020.4%5.9%14.1%8.1%0.0%11.0%0.5%2.1K-36.3K-1071.67114.46N/AN/A35174
2020-12-24$37.41$37.0019.6%5.6%14.1%7.6%0.0%10.8%0.3%2.2K-36.1K-1420.00114.52N/AN/A00209
2020-12-28$37.74$37.0020.0%5.7%14.3%7.8%0.0%7.1%-2.4%2.6K-40.1K-1320.00114.52N/AN/A00209
2020-12-29$38.07$37.0019.4%5.6%13.6%7.5%0.0%6.2%-1.2%2.5K-42.9K-1270.00114.52N/AN/A00209
2020-12-30$38.04$37.0019.9%5.7%12.1%7.7%0.0%16.5%0.1%2.2K-45.2K-1250.00126.21N/AN/A00209
2020-12-31$37.55$37.0018.3%5.2%13.1%6.9%0.0%12.3%1.3%2.2K-39.4K-1310.00126.75N/AN/A00209