SPEU Options History — May 2021 In May 2021, SPEU traded between $40.91 and $43.08. ATM implied volatility averaged 15.3%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.8% (HV 20d: 17.1%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2021-05-04 : Highest Volume — 51 contracts2021-05-04 : Largest IV spike — 23.2% change2021-05-12 : Highest IV Rank — 7.4%2021-05-12 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $42.22 $40.91 $43.08 $41.69 $43.08 Max Pain $36.60 $36.00 $40.00 $40.00 $36.00 ATM IV 15.3% 12.6% 19.3% 12.6% 13.3% Expected Move 4.4% 3.6% 5.5% 3.6% 3.8% HV 20d 17.1% 13.2% 18.5% 13.2% 17.3% HV 60d 14.5% 13.1% 15.4% 13.1% 14.1% IV Rank 5.1% 3.6% 7.4% 3.6% 4.0% IV Percentile 25.2% 10.1% 52.3% 10.1% 13.8% Term Structure 0.4% -1.0% 1.4% 1.0% -0.3% VWIV 19.3% 13.4% 29.1% 17.3% 29.1% Skew 25d 6.5% 2.3% 8.7% 5.9% 5.3% Skew 10d 15.4% 12.7% 19.3% 14.3% 12.7% Call IV 25d 13.4% 11.5% 16.3% 11.6% 11.5% Put IV 25d 19.9% 15.9% 25.0% 17.5% 16.8% Bid-Ask Spread % 96.28 87.13 108.15 106.83 103.00 Gamma HHI 0.27 0.14 0.53 0.53 0.35 Net GEX 6.8K 3.6K 11.5K 11.5K 7.5K Net DEX -33.5K -91.4K 35.8K 2.9K -91.4K Net VEX -618 -681 -535 -626 -618 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 4.1 0 51 1 0 Total OI 109.55 97 121 120 110
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 2021-05-03 $41.69 $40.00 12.6% 3.6% 13.2% 3.6% 0.0% 5.9% 1.0% 11.5K 2.9K -626 0.00 106.83 N/A N/A 1 0 72 48 2021-05-04 $40.91 $40.00 15.5% 4.5% 14.5% 5.3% 0.0% 5.9% 0.6% 6.4K 35.8K -542 0.00 105.84 N/A N/A 51 0 73 48 2021-05-05 $41.55 $40.00 13.5% 3.9% 15.4% 4.1% 0.0% 6.2% 0.9% 3.6K 20.4K -535 0.00 108.15 N/A N/A 0 0 49 48 2021-05-06 $41.81 $36.00 13.8% 4.3% 15.3% 4.3% 17.3% 6.5% 1.4% 3.8K 2.6K -572 0.00 90.38 N/A N/A 3 0 49 48 2021-05-07 $42.50 $36.00 14.6% 4.5% 16.1% 4.8% 13.4% 6.1% 1.0% 4.4K -34.4K -606 0.00 90.10 N/A N/A 1 0 52 48 2021-05-10 $42.27 $36.00 15.3% 4.5% 16.2% 5.2% 0.0% 6.0% 1.0% 4.5K -22.1K -577 0.00 90.22 N/A N/A 1 0 51 48 2021-05-11 $41.74 $36.00 18.1% 4.7% 16.9% 6.7% 21.0% 7.1% 0.6% 4.6K 3.7K -543 0.00 91.63 N/A N/A 12 0 52 48 2021-05-12 $41.24 $36.00 19.3% 5.5% 17.5% 7.4% 21.3% 7.6% -1.0% 4.8K 10.7K -597 0.00 87.13 N/A N/A 2 0 63 48 2021-05-13 $41.67 $36.00 16.9% 4.8% 17.7% 6.0% 0.0% 7.2% 0.7% 6.6K -7.7K -619 0.00 90.07 N/A N/A 0 0 65 48 2021-05-14 $42.36 $36.00 15.8% 4.5% 18.1% 5.4% 16.9% 6.5% 1.1% 8.1K -45.4K -661 0.00 93.40 N/A N/A 2 0 65 48 2021-05-17 $42.36 $36.00 16.8% 4.8% 18.1% 6.0% 0.0% 2.3% 0.2% 8.6K -49.2K -645 0.00 96.27 N/A N/A 0 0 67 48 2021-05-18 $42.52 $36.00 15.9% 4.5% 17.1% 5.5% 0.0% 7.6% 0.4% 8.4K -59.1K -669 0.00 91.55 N/A N/A 0 0 67 48 2021-05-19 $41.94 $36.00 19.2% 5.5% 17.8% 7.4% 24.8% 8.7% -1.0% 7.6K -29.5K -638 0.00 90.01 N/A N/A 0 1 67 48 2021-05-20 $42.60 $36.00 14.9% 4.3% 18.5% 4.9% 0.0% 7.8% 1.1% 9.1K -63.1K -667 0.00 92.57 N/A N/A 0 2 67 49 2021-05-21 $42.65 $36.00 14.1% 4.1% 18.3% 4.5% 0.0% 6.9% 0.3% 6.8K -61.7K -681 0.00 98.02 N/A N/A 0 0 67 51 2021-05-24 $42.92 $36.00 14.2% 4.1% 18.4% 4.5% 15.8% 6.7% 0.1% 6.1K -70.2K -646 0.00 99.38 N/A N/A 3 0 64 43 2021-05-25 $42.89 $36.00 14.2% 4.1% 18.4% 4.5% 0.0% 6.8% 0.3% 7.2K -72.5K -649 0.00 98.51 N/A N/A 0 0 65 43 2021-05-26 $42.83 $36.00 13.9% 4.0% 18.4% 4.3% 14.0% 6.3% 0.1% 8.2K -68.4K -640 0.00 100.33 N/A N/A 1 0 65 43 2021-05-27 $42.93 $36.00 13.6% 3.9% 18.4% 4.2% 29.1% 5.9% -0.4% 7.4K -71.8K -628 0.00 102.15 N/A N/A 2 0 65 43 2021-05-28 $43.08 $36.00 13.3% 3.8% 17.3% 4.0% 0.0% 5.3% -0.3% 7.5K -91.4K -618 0.00 103.00 N/A N/A 0 0 67 43
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