SPEU Options History — January 2021 In January 2021, SPEU traded between $37.18 and $39.04. ATM implied volatility averaged 18.9%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.1% (HV 20d: 14.8%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2021-01-11 : Highest Volume — 7 contracts2021-01-25 : Largest IV spike — 26.1% change2021-01-29 : Highest IV Rank — 10.4%2021-01-29 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $38.45 $37.18 $39.04 $38.04 $37.18 Max Pain $35.53 $35.00 $37.00 $35.00 $37.00 ATM IV 18.9% 15.3% 24.6% 23.7% 24.6% Expected Move 5.4% 4.4% 7.0% 6.2% 7.0% HV 20d 14.8% 13.2% 18.2% 13.8% 18.2% HV 60d 18.1% 15.9% 18.7% 18.6% 17.4% IV Rank 7.2% 5.2% 10.4% 9.9% 10.4% IV Percentile 32.0% 15.4% 69.9% 59.3% 69.9% Term Structure 0.8% -0.5% 2.3% -0.1% 0.4% VWIV 18.9% 16.2% 22.2% 21.1% 17.2% Skew 25d 9.4% 6.9% 12.4% 12.4% 9.4% Skew 10d 15.4% 9.0% 19.9% 17.8% 19.9% Call IV 25d 13.8% 10.4% 20.3% 12.5% 20.3% Put IV 25d 23.3% 20.0% 29.7% 24.8% 29.7% Bid-Ask Spread % 114.19 102.41 125.02 110.01 107.92 Gamma HHI 0.31 0.24 0.42 0.27 0.26 Net GEX 2.4K 961 5.2K 2.1K 961 Net DEX -49.7K -74.8K -23.9K -44.7K -23.9K Net VEX -101 -122 -87 -119 -107 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 1.263 0 7 0 0 Total OI 29.158 26 35 29 28
Daily Data (19 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 2021-01-04 $38.04 $35.00 23.7% 6.2% 13.8% 9.9% 0.0% 12.4% -0.1% 2.1K -44.7K -119 0.00 110.01 N/A N/A 0 0 20 9 2021-01-05 $38.43 $35.00 20.0% 6.2% 14.0% 7.8% 0.0% 8.8% 0.0% 2.1K -49.5K -114 0.00 102.41 N/A N/A 0 0 20 9 2021-01-06 $38.91 $35.00 18.0% 5.6% 14.3% 6.7% 0.0% 9.4% -0.1% 2.1K -58.1K -92 0.00 110.42 N/A N/A 0 0 20 9 2021-01-07 $38.93 $35.00 16.1% 5.1% 14.3% 5.6% 0.0% 8.8% 1.4% 1.9K -58.2K -93 0.00 104.89 N/A N/A 1 0 20 9 2021-01-08 $39.04 $35.00 15.3% 5.3% 14.2% 5.2% 0.0% 6.9% -0.5% 1.9K -63.3K -87 0.00 109.16 N/A N/A 1 0 21 9 2021-01-11 $38.57 $35.00 19.3% 5.3% 15.1% 7.4% 21.1% 7.8% 0.4% 2.5K -57.0K -98 0.00 107.61 N/A N/A 7 0 21 9 2021-01-12 $38.68 $35.00 20.8% 5.1% 14.5% 8.3% 16.2% 7.6% 1.4% 4.0K -69.0K -88 0.00 112.75 N/A N/A 5 0 24 9 2021-01-13 $38.58 $35.00 17.7% 5.1% 14.6% 6.5% 17.7% 7.3% 0.7% 3.1K -61.6K -88 0.00 115.09 N/A N/A 5 0 22 9 2021-01-14 $38.86 $35.00 17.1% 4.9% 14.4% 6.2% 0.0% 7.0% 1.2% 3.2K -74.8K -111 0.00 111.49 N/A N/A 1 0 26 9 2021-01-15 $38.24 $35.00 19.8% 5.7% 15.4% 7.7% 0.0% 10.6% 0.9% 5.2K -63.6K -122 0.00 109.89 N/A N/A 1 0 26 9 2021-01-19 $38.49 $35.00 18.5% 5.3% 15.4% 7.0% 0.0% 10.6% 1.6% 2.4K -41.6K -105 0.00 120.52 N/A N/A 0 0 18 8 2021-01-20 $38.69 $35.00 15.4% 4.4% 15.2% 5.2% 0.0% 9.2% 2.2% 2.6K -44.5K -98 0.00 124.54 N/A N/A 0 0 18 8 2021-01-21 $38.84 $35.00 15.9% 4.6% 13.2% 5.5% 0.0% 9.6% 2.3% 2.8K -46.8K -87 0.00 124.50 N/A N/A 0 0 18 8 2021-01-22 $38.66 $35.00 16.3% 4.7% 13.3% 5.7% 22.2% 10.4% 1.7% 2.6K -44.7K -96 0.00 120.75 N/A N/A 0 2 18 8 2021-01-25 $38.27 $37.00 20.5% 5.9% 13.7% 8.1% 0.0% 10.5% -0.2% 1.9K -37.0K -105 0.00 111.29 N/A N/A 0 0 18 10 2021-01-26 $38.52 $37.00 17.1% 4.9% 13.8% 6.2% 17.2% 11.7% 1.5% 2.1K -40.8K -99 0.00 120.58 N/A N/A 1 0 18 10 2021-01-27 $37.58 $37.00 20.7% 5.9% 16.3% 8.2% 0.0% 11.7% 0.1% 1.3K -30.5K -108 0.00 120.80 N/A N/A 0 0 18 10 2021-01-28 $38.00 $37.00 21.8% 6.3% 16.5% 8.8% 0.0% 9.6% 0.4% 1.6K -34.3K -103 0.00 125.02 N/A N/A 0 0 18 10 2021-01-29 $37.18 $37.00 24.6% 7.0% 18.2% 10.4% 0.0% 9.4% 0.4% 961 -23.9K -107 0.00 107.92 N/A N/A 0 0 18 10
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