SPEU Options History — June 2021 In June 2021, SPEU traded between $41.85 and $43.84. ATM implied volatility averaged 12.5%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.2% (HV 20d: 11.3%). Max pain ranged from $36.00 to $44.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.38.
Notable Days 2021-06-29 : Highest Volume — 133 contracts2021-06-28 : Largest IV spike — 32.9% change2021-06-01 : Highest IV Rank — 5.4%2021-06-01 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $43.01 $41.85 $43.84 $43.35 $41.85 Max Pain $42.27 $36.00 $44.00 $36.00 $42.00 ATM IV 12.5% 9.5% 15.7% 15.7% 13.0% Expected Move 3.6% 2.7% 4.5% 4.5% 3.7% HV 20d 11.3% 8.9% 16.6% 16.6% 10.6% HV 60d 13.9% 13.5% 14.3% 14.1% 13.5% IV Rank 3.4% 1.9% 5.4% 5.4% 2.5% IV Percentile 11.2% 2.0% 29.6% 29.6% 8.7% Term Structure 1.6% -1.1% 2.8% -1.1% 0.7% VWIV 13.1% 11.9% 15.0% 15.0% 13.0% Skew 25d 5.1% 3.5% 6.9% 6.2% 6.9% Skew 10d 10.4% 3.4% 13.9% 10.5% 9.8% Call IV 25d 10.7% 9.0% 12.4% 12.4% 11.3% Put IV 25d 15.8% 13.3% 18.6% 18.6% 18.1% Bid-Ask Spread % 106.13 98.42 120.14 104.98 108.48 Gamma HHI 0.48 0.27 0.83 0.34 0.73 Net GEX -8.7K -50.9K 53.2K 6.4K -50.9K Net DEX -26.9K -177.1K 258.9K -109.3K 258.9K Net VEX -663 -926 -429 -601 -880 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.00 1.50 1.00 0.00 Total Volume 25.045 0 133 6 12 Total OI 147.091 74 216 110 177
Daily Data (22 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 2021-06-01 $43.35 $36.00 15.7% 4.5% 16.6% 5.4% 15.0% 6.2% -1.1% 6.4K -109.3K -601 1.00 104.98 N/A N/A 3 3 67 43 2021-06-02 $43.41 $39.00 14.5% 4.2% 14.7% 4.7% 0.0% 5.1% -0.9% 8.1K -118.0K -602 0.00 106.68 N/A N/A 3 0 70 46 2021-06-03 $43.12 $44.00 13.9% 3.7% 14.3% 4.3% 0.0% 4.7% 1.9% 11.8K -103.0K -607 0.00 98.42 N/A N/A 1 0 73 46 2021-06-04 $43.47 $44.00 13.3% 3.7% 14.4% 4.0% 0.0% 5.0% 2.2% 11.5K -130.0K -597 0.00 99.83 N/A N/A 0 40 74 46 2021-06-07 $43.62 $44.00 11.1% 3.2% 13.4% 2.8% 0.0% 3.5% 2.4% -12.3K -87.9K -686 0.00 99.33 N/A N/A 3 0 73 86 2021-06-08 $43.64 $44.00 11.0% 3.3% 13.1% 2.7% 12.9% 4.7% 2.7% -12.0K -88.4K -673 1.50 101.08 N/A N/A 26 39 71 86 2021-06-09 $43.58 $43.00 11.7% 3.4% 12.1% 3.1% 0.0% 5.0% 1.8% -28.4K -64.2K -828 0.00 101.54 N/A N/A 5 0 86 125 2021-06-10 $43.66 $43.00 10.7% 3.1% 10.9% 2.5% 0.0% 5.1% 2.8% -26.4K -120.1K -789 0.00 104.68 N/A N/A 0 0 91 125 2021-06-11 $43.69 $43.00 9.5% 2.7% 10.5% 1.9% 0.0% 4.0% 2.8% -25.5K -141.6K -726 0.00 109.94 N/A N/A 0 0 91 125 2021-06-14 $43.81 $43.00 10.0% 2.9% 9.1% 2.1% 0.0% 5.1% 2.7% -23.1K -159.0K -653 0.00 106.80 N/A N/A 0 0 88 125 2021-06-15 $43.84 $43.00 10.6% 3.0% 9.1% 2.5% 0.0% 5.4% 2.7% -20.2K -176.6K -617 0.00 107.94 N/A N/A 0 79 88 125 2021-06-16 $43.50 $43.00 13.6% 3.9% 9.7% 4.2% 11.9% 4.3% 1.6% 25.2K -177.1K -582 0.00 103.88 N/A N/A 1 0 88 50 2021-06-17 $43.09 $43.00 10.7% 3.1% 8.9% 2.5% 12.7% 4.4% 2.0% 53.2K -125.2K -534 0.00 108.35 N/A N/A 26 0 89 50 2021-06-18 $42.30 $42.00 13.0% 3.7% 9.8% 3.9% 12.4% 4.0% 2.3% -2.0K 7.2K -429 0.00 103.70 N/A N/A 3 0 80 50 2021-06-21 $42.32 $42.00 14.5% 4.2% 9.8% 4.7% 0.0% 6.4% 0.8% -1.7K 76.8K -478 0.00 120.14 N/A N/A 0 0 29 45 2021-06-22 $42.43 $42.00 13.7% 3.9% 9.6% 4.2% 0.0% 5.5% 1.9% -1.0K 71.7K -480 0.00 105.72 N/A N/A 0 0 29 45 2021-06-23 $42.08 $42.00 14.2% 4.1% 10.0% 4.5% 13.8% 6.8% 0.8% -1.3K 81.0K -464 1.48 105.91 N/A N/A 52 77 29 45 2021-06-24 $42.49 $42.00 14.0% 4.0% 10.6% 4.4% 0.0% 5.5% 0.3% -17.1K 108.2K -817 0.00 107.44 N/A N/A 3 0 44 88 2021-06-25 $42.56 $42.00 10.1% 2.9% 10.6% 2.2% 0.0% 5.2% 2.3% -18.4K 93.1K -826 0.00 110.77 N/A N/A 1 0 47 88 2021-06-28 $42.26 $42.00 13.5% 3.9% 10.8% 4.1% 13.5% 5.3% 0.5% -20.7K 120.6K -796 0.00 107.06 N/A N/A 0 41 48 88 2021-06-29 $42.19 $42.00 13.2% 3.8% 10.4% 2.6% 12.9% 4.2% 0.9% -45.9K 191.6K -926 1.38 112.30 N/A N/A 56 77 48 129 2021-06-30 $41.85 $42.00 13.0% 3.7% 10.6% 2.5% 13.0% 6.9% 0.7% -50.9K 258.9K -880 0.00 108.48 N/A N/A 12 0 48 129
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