SPEU Options History — February 2021 In February 2021, SPEU traded between $37.65 and $39.47. ATM implied volatility averaged 17.9%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.2% (HV 20d: 16.7%). Max pain ranged from $31.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2021-02-25 : Highest Volume — 13 contracts2021-02-10 : Largest IV spike — 28.2% change2021-02-26 : Highest IV Rank — 8.6%2021-02-26 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $38.66 $37.65 $39.47 $37.65 $38.27 Max Pain $31.95 $31.00 $37.00 $37.00 $31.00 ATM IV 17.9% 14.0% 21.4% 20.7% 21.4% Expected Move 5.3% 4.7% 6.1% 5.9% 6.1% HV 20d 16.7% 14.7% 18.3% 18.3% 14.7% HV 60d 14.9% 14.2% 16.4% 16.4% 14.8% IV Rank 6.6% 4.4% 8.6% 8.2% 8.6% IV Percentile 26.5% 12.9% 55.5% 44.5% 55.5% Term Structure 1.2% -0.4% 2.8% 0.8% -0.4% VWIV 27.1% 27.1% 27.1% 27.1% 27.1% Skew 25d 7.7% 6.8% 10.2% 10.2% 6.8% Skew 10d 18.2% 14.4% 21.3% 19.4% 16.4% Call IV 25d 15.4% 13.2% 18.7% 18.3% 18.7% Put IV 25d 23.2% 20.9% 28.5% 28.5% 25.5% Bid-Ask Spread % 96.69 85.87 113.91 113.91 97.73 Gamma HHI 0.48 0.27 0.82 0.29 0.27 Net GEX 3.8K 1.4K 9.9K 1.4K 2.4K Net DEX -45.5K -65.8K -28.6K -28.6K -65.8K Net VEX -89 -180 -52 -100 -180 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 1.368 0 13 0 0 Total OI 28.526 22 38 28 35
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 2021-02-01 $37.65 $37.00 20.7% 5.9% 18.3% 8.2% 0.0% 10.2% 0.8% 1.4K -28.6K -100 0.00 113.91 N/A N/A 0 0 18 10 2021-02-02 $38.01 $37.00 19.5% 5.6% 18.0% 7.5% 0.0% 8.8% 0.9% 2.1K -34.0K -94 0.00 113.82 N/A N/A 0 0 18 10 2021-02-03 $38.09 $37.00 18.4% 5.3% 17.6% 6.9% 0.0% 7.3% 2.2% 2.3K -35.6K -89 0.00 103.22 N/A N/A 0 0 18 10 2021-02-04 $38.09 $31.00 18.2% 5.7% 17.0% 6.8% 0.0% 7.9% 0.5% 2.5K -36.9K -83 0.00 86.15 N/A N/A 0 0 18 10 2021-02-05 $38.38 $31.00 17.3% 5.4% 17.2% 6.3% 0.0% 7.1% 1.8% 3.1K -40.5K -80 0.00 85.87 N/A N/A 0 0 18 10 2021-02-08 $38.44 $31.00 17.5% 5.5% 17.2% 6.4% 0.0% 7.7% 1.2% 3.6K -41.8K -74 0.00 87.94 N/A N/A 0 0 18 10 2021-02-09 $38.73 $31.00 14.0% 4.8% 16.9% 4.4% 0.0% 7.2% 2.3% 4.3K -46.1K -70 0.00 88.98 N/A N/A 0 0 18 10 2021-02-10 $38.56 $31.00 17.9% 5.1% 17.0% 6.6% 0.0% 7.1% 1.6% 3.8K -43.5K -72 0.00 90.28 N/A N/A 0 0 18 10 2021-02-11 $38.81 $31.00 17.6% 5.1% 17.1% 6.5% 0.0% 7.8% 1.7% 4.6K -47.1K -66 0.00 90.19 N/A N/A 0 0 18 10 2021-02-12 $38.98 $31.00 16.6% 4.8% 17.0% 5.9% 0.0% 7.4% 2.8% 5.5K -50.2K -63 0.00 93.80 N/A N/A 0 0 18 10 2021-02-16 $39.47 $31.00 17.9% 5.1% 16.4% 6.6% 0.0% 6.8% 2.1% 4.2K -58.2K -52 0.00 90.71 N/A N/A 0 0 18 10 2021-02-17 $39.08 $31.00 17.6% 5.0% 16.7% 6.5% 0.0% 7.3% 2.5% 6.4K -52.9K -53 0.00 93.98 N/A N/A 10 0 18 10 2021-02-18 $38.92 $31.00 16.2% 4.7% 16.7% 5.7% 0.0% 7.3% 1.8% 8.5K -56.1K -109 0.00 99.18 N/A N/A 0 0 28 10 2021-02-19 $39.01 $31.00 17.4% 5.0% 16.7% 6.3% 0.0% 7.7% 0.7% 9.9K -57.7K -98 0.00 101.10 N/A N/A 0 0 28 10 2021-02-22 $39.07 $31.00 18.1% 5.2% 16.6% 6.7% 0.0% 8.0% 0.3% 2.0K -41.9K -96 0.00 102.55 N/A N/A 1 0 22 0 2021-02-23 $39.05 $31.00 17.7% 5.1% 16.1% 6.5% 27.1% 8.1% 0.2% 2.2K -43.3K -104 0.00 101.25 N/A N/A 0 2 23 0 2021-02-24 $39.29 $31.00 17.3% 5.0% 16.1% 6.3% 0.0% 7.7% 0.5% 2.0K -44.7K -107 0.00 100.27 N/A N/A 0 0 23 2 2021-02-25 $38.61 $31.00 19.7% 5.6% 14.7% 7.6% 0.0% 9.0% -0.4% 1.9K -39.5K -108 0.00 96.24 N/A N/A 13 0 23 2 2021-02-26 $38.27 $31.00 21.4% 6.1% 14.7% 8.6% 0.0% 6.8% -0.4% 2.4K -65.8K -180 0.00 97.73 N/A N/A 0 0 33 2
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