SPEU Options History — September 2021 In September 2021, SPEU traded between $40.87 and $43.89. ATM implied volatility averaged 16.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.8% (HV 20d: 12.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.81.
Notable Days 2021-09-23 : Highest Volume — 22 contracts2021-09-28 : Largest IV spike — 32.4% change2021-09-20 : Highest IV Rank — 16.5%2021-09-20 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $42.57 $40.87 $43.89 $43.72 $40.87 Max Pain $43.10 $43.00 $44.00 $44.00 $43.00 ATM IV 16.0% 11.5% 22.3% 11.5% 19.6% Expected Move 4.7% 3.3% 6.4% 3.3% 5.6% HV 20d 12.2% 9.2% 17.0% 9.9% 16.6% HV 60d 12.9% 11.7% 14.6% 12.3% 14.5% IV Rank 8.5% 1.7% 16.5% 1.7% 13.2% IV Percentile 46.7% 7.1% 83.7% 7.1% 76.6% Term Structure 0.5% -1.8% 1.8% 1.2% -1.0% VWIV 17.9% 15.0% 24.2% 15.0% 24.2% Skew 25d 7.1% 4.9% 10.2% 5.4% 9.3% Skew 10d 15.5% 7.9% 23.5% 7.9% 20.2% Call IV 25d 14.0% 10.7% 18.3% 10.7% 17.1% Put IV 25d 21.1% 16.1% 28.5% 16.1% 26.5% Bid-Ask Spread % 87.76 74.17 110.03 110.03 97.03 Gamma HHI 0.44 0.28 0.87 0.31 0.30 Net GEX -5.5K -38.4K 5.7K -4.5K 2.9K Net DEX 10.0K -31.2K 128.6K -9.1K 2.6K Net VEX -341 -428 -241 -428 -253 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 0.00 10.00 0.00 0.00 Total Volume 2.667 0 22 0 1 Total OI 74.476 39 91 89 61
Daily Data (21 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 2021-09-01 $43.72 $44.00 11.5% 3.3% 9.9% 1.7% 0.0% 5.4% 1.2% -4.5K -9.1K -428 0.00 110.03 N/A N/A 0 0 43 46 2021-09-02 $43.89 $0.00 11.5% 3.7% 9.8% 1.7% 0.0% 5.9% 1.7% -4.5K -22.7K -428 0.00 84.43 N/A N/A 0 0 44 46 2021-09-03 $43.80 $0.00 11.8% 3.8% 9.5% 1.8% 0.0% 4.9% 1.8% -4.7K -19.1K -423 0.00 81.90 N/A N/A 0 0 44 46 2021-09-07 $43.61 $0.00 12.1% 3.8% 9.7% 2.5% 0.0% 5.9% 1.7% -5.5K -5.4K -399 0.00 84.85 N/A N/A 0 0 44 46 2021-09-08 $43.20 $0.00 15.1% 4.3% 10.4% 5.8% 0.0% 6.3% 1.2% -9.5K 25.3K -382 0.00 80.53 N/A N/A 0 0 44 46 2021-09-09 $43.08 $0.00 14.8% 4.3% 10.1% 7.5% 0.0% 5.8% 1.3% -11.2K 35.4K -371 0.00 80.96 N/A N/A 0 0 44 46 2021-09-10 $42.93 $0.00 15.8% 4.5% 10.2% 8.6% 0.0% 6.0% 0.6% -13.0K 47.3K -363 0.00 76.97 N/A N/A 1 0 44 46 2021-09-13 $43.10 $0.00 15.3% 4.4% 10.0% 8.0% 0.0% 5.9% 1.3% -15.5K 32.5K -339 0.00 80.58 N/A N/A 0 0 44 46 2021-09-14 $43.05 $0.00 15.4% 4.4% 9.9% 8.2% 0.0% 5.8% 1.1% -19.4K 39.1K -322 0.00 83.97 N/A N/A 5 0 44 46 2021-09-15 $43.02 $0.00 14.7% 4.2% 9.2% 7.4% 0.0% 6.0% 1.8% -26.5K 43.7K -309 0.00 85.65 N/A N/A 0 0 44 46 2021-09-16 $43.03 $0.00 15.0% 4.3% 9.2% 7.7% 15.0% 6.4% 0.8% -38.4K 43.5K -287 0.00 87.44 N/A N/A 0 3 45 46 2021-09-17 $42.41 $0.00 18.1% 5.2% 9.7% 11.4% 0.0% 7.0% 0.2% 4.7K 128.6K -241 0.00 79.52 N/A N/A 1 0 45 46 2021-09-20 $41.23 $43.00 22.3% 6.4% 13.7% 16.5% 0.0% 10.2% -1.7% 3.0K -16.8K -245 10.00 74.17 N/A N/A 1 10 30 9 2021-09-21 $41.80 $43.00 18.6% 5.3% 14.2% 12.0% 15.0% 9.5% -0.2% 3.5K -21.1K -247 0.00 91.16 N/A N/A 6 0 30 9 2021-09-22 $42.19 $43.00 17.7% 5.1% 14.7% 11.0% 17.5% 8.4% -0.1% 2.6K -8.9K -379 3.00 90.92 N/A N/A 1 3 31 19 2021-09-23 $42.67 $43.00 14.6% 4.2% 15.3% 7.2% 0.0% 5.9% 0.8% 5.1K -28.4K -420 1.44 92.51 N/A N/A 9 13 37 19 2021-09-24 $42.22 $43.00 16.9% 4.9% 15.6% 10.0% 0.0% 8.0% 0.1% 3.4K -10.0K -414 0.00 91.98 N/A N/A 0 0 37 22 2021-09-27 $42.10 $43.00 15.7% 4.5% 15.0% 8.5% 24.2% 7.6% 0.3% 5.7K -31.2K -337 0.00 100.89 N/A N/A 0 2 44 15 2021-09-28 $41.09 $43.00 20.8% 6.0% 17.0% 14.7% 0.0% 9.4% -1.8% 3.6K -11.2K -298 0.00 91.69 N/A N/A 0 0 44 15 2021-09-29 $40.97 $43.00 19.7% 5.6% 17.0% 13.4% 0.0% 9.6% -1.2% 3.0K -3.5K -283 0.00 95.88 N/A N/A 0 0 44 17 2021-09-30 $40.87 $43.00 19.6% 5.6% 16.6% 13.2% 0.0% 9.3% -1.0% 2.9K 2.6K -253 0.00 97.03 N/A N/A 1 0 44 17
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