SPEU Options History — August 2021 In August 2021, SPEU traded between $42.60 and $43.70. ATM implied volatility averaged 12.6%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.8% (HV 20d: 11.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.33.
Notable Days 2021-08-17 : Highest Volume — 21 contracts2021-08-31 : Largest IV spike — 33.4% change2021-08-19 : Highest IV Rank — 3.8%2021-08-19 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $43.21 $42.60 $43.70 $42.83 $43.42 Max Pain $44.09 $40.00 $45.00 $40.00 $44.00 ATM IV 12.6% 10.0% 15.2% 14.0% 13.4% Expected Move 3.7% 2.9% 4.4% 4.0% 3.8% HV 20d 11.8% 8.3% 16.0% 15.9% 9.6% HV 60d 12.4% 11.7% 13.7% 13.7% 12.3% IV Rank 2.3% 0.8% 3.8% 3.1% 2.7% IV Percentile 13.1% 1.2% 35.3% 20.2% 18.7% Term Structure 2.3% 0.7% 7.4% 0.9% 1.1% VWIV 14.8% 10.9% 18.1% 13.7% 16.7% Skew 25d 5.7% 3.6% 9.6% 9.6% 4.7% Skew 10d 11.7% 5.7% 15.9% 11.6% 11.4% Call IV 25d 11.1% 8.9% 13.6% 8.9% 11.3% Put IV 25d 16.8% 14.8% 21.2% 18.5% 16.0% Bid-Ask Spread % 101.47 91.91 111.25 106.39 107.87 Gamma HHI 0.43 0.24 0.64 0.54 0.37 Net GEX 8.1K -8.6K 28.0K 23.8K -7.3K Net DEX -133.9K -291.6K 36.3K -182.9K 8.3K Net VEX -550 -774 -433 -774 -433 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.33 0.00 2.00 0.00 0.00 Total Volume 1.545 0 21 0 1 Total OI 128.818 86 159 158 89
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 2021-08-02 $42.83 $40.00 14.0% 4.0% 15.9% 3.1% 0.0% 9.6% 0.9% 23.8K -182.9K -774 0.00 106.39 N/A N/A 0 0 111 47 2021-08-03 $43.17 $40.00 13.3% 3.8% 16.0% 2.7% 0.0% 4.6% 1.2% 20.4K -223.7K -738 0.00 105.58 N/A N/A 1 0 111 47 2021-08-04 $43.18 $40.00 10.7% 3.1% 15.9% 1.2% 0.0% 5.8% 7.4% 20.2K -223.5K -722 0.00 111.25 N/A N/A 0 0 111 47 2021-08-05 $43.36 $45.00 12.2% 4.1% 15.0% 2.1% 0.0% 6.1% 2.1% 18.7K -257.2K -699 0.00 94.39 N/A N/A 0 0 112 47 2021-08-06 $43.08 $45.00 11.1% 3.9% 14.3% 1.4% 0.0% 6.2% 2.3% 24.7K -232.8K -672 0.00 94.41 N/A N/A 0 0 112 47 2021-08-09 $43.09 $45.00 11.3% 3.8% 14.2% 1.5% 0.0% 5.7% 2.6% 25.4K -206.5K -632 0.00 100.63 N/A N/A 0 0 105 47 2021-08-10 $43.12 $45.00 10.8% 3.7% 13.9% 1.3% 0.0% 5.4% 2.7% 27.6K -215.5K -604 0.00 99.08 N/A N/A 0 0 105 47 2021-08-11 $43.41 $45.00 13.1% 3.8% 14.1% 2.6% 0.0% 4.9% 2.7% 15.3K -269.0K -537 0.00 98.05 N/A N/A 0 0 105 47 2021-08-12 $43.42 $45.00 12.3% 3.5% 13.3% 2.1% 0.0% 3.6% 3.6% -2.1K -277.5K -512 0.00 99.72 N/A N/A 0 0 105 47 2021-08-13 $43.70 $45.00 10.8% 3.1% 12.9% 1.2% 0.0% 4.2% 4.2% 859 -291.6K -511 0.00 102.03 N/A N/A 2 0 105 47 2021-08-16 $43.53 $45.00 11.4% 3.3% 9.2% 1.6% 0.0% 4.0% 3.6% 267 -196.8K -473 2.00 97.19 N/A N/A 1 2 85 47 2021-08-17 $43.09 $45.00 13.5% 3.9% 10.0% 2.8% 13.7% 6.7% 2.5% 11.7K -155.1K -499 0.00 98.16 N/A N/A 21 0 85 47 2021-08-18 $43.12 $45.00 13.7% 3.9% 8.3% 2.9% 0.0% 5.4% 3.1% 9.5K -160.0K -506 0.00 97.78 N/A N/A 0 0 86 48 2021-08-19 $42.60 $45.00 15.2% 4.4% 9.6% 3.8% 18.1% 7.6% 0.9% 28.0K -81.2K -506 0.00 91.91 N/A N/A 0 1 84 48 2021-08-20 $42.78 $45.00 13.0% 3.7% 9.2% 2.5% 0.0% 5.4% 1.6% 789 -105.1K -487 0.00 96.71 N/A N/A 0 0 84 48 2021-08-23 $43.22 $45.00 13.2% 3.8% 9.8% 2.6% 10.9% 5.4% 1.6% -8.6K 27.4K -483 0.00 101.98 N/A N/A 4 0 39 47 2021-08-24 $43.25 $45.00 13.7% 3.9% 9.7% 2.9% 16.7% 5.6% 1.8% -8.5K 27.5K -475 0.00 105.48 N/A N/A 0 1 39 47 2021-08-25 $43.30 $44.00 13.0% 3.7% 9.4% 2.5% 0.0% 5.7% 1.2% -6.8K 19.4K -480 0.00 104.52 N/A N/A 0 0 43 47 2021-08-26 $43.03 $44.00 13.9% 4.0% 9.5% 3.1% 0.0% 6.2% 1.1% -5.7K 36.3K -464 0.00 101.96 N/A N/A 0 0 43 47 2021-08-27 $43.48 $44.00 13.4% 3.9% 9.9% 2.8% 0.0% 6.4% 0.7% -4.5K 10.9K -457 0.00 107.51 N/A N/A 0 0 43 47 2021-08-30 $43.54 $44.00 10.0% 2.9% 9.9% 0.8% 0.0% 5.7% 2.1% -6.1K 2.6K -440 0.00 109.80 N/A N/A 0 0 43 46 2021-08-31 $43.42 $44.00 13.4% 3.8% 9.6% 2.7% 0.0% 4.7% 1.1% -7.3K 8.3K -433 0.00 107.87 N/A N/A 1 0 43 46
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