SPEU Options History — October 2021

In October 2021, SPEU traded between $40.76 and $43.24. ATM implied volatility averaged 15.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.0% (HV 20d: 15.3%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2021-10-26: Highest Volume — 55 contracts
2021-10-13: Largest IV drop — 23.0% change
2021-10-04: Highest IV Rank — 45.6%
2021-10-04: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.02	$40.76	$43.24	$41.09	$42.87
Max Pain	$38.81	$38.00	$43.00	$43.00	$40.00
ATM IV	15.3%	12.1%	20.5%	18.3%	12.1%
Expected Move	4.3%	3.5%	5.4%	5.2%	3.5%
HV 20d	15.3%	9.9%	19.2%	16.7%	10.7%
HV 60d	13.4%	12.9%	14.3%	14.3%	13.1%
IV Rank	25.5%	13.3%	45.6%	36.8%	13.3%
IV Percentile	39.7%	9.9%	82.1%	68.3%	9.9%
Term Structure	0.9%	-0.5%	1.8%	-0.2%	1.8%
VWIV	13.5%	10.3%	14.4%	10.3%	13.9%
Skew 25d	5.7%	3.0%	8.4%	7.7%	3.0%
Skew 10d	13.5%	9.7%	20.6%	17.1%	10.7%
Call IV 25d	13.3%	11.4%	16.2%	15.7%	12.3%
Put IV 25d	19.0%	15.3%	24.6%	23.4%	15.3%
Bid-Ask Spread %	87.80	68.55	103.50	102.55	103.50
Gamma HHI	0.38	0.28	0.47	0.32	0.45
Net GEX	6.7K	2.3K	10.6K	3.9K	10.0K
Net DEX	-32.3K	-67.2K	3.0K	-10.5K	-57.7K
Net VEX	-282	-311	-255	-271	-273
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	1.20	0.00	1.20
Total Volume	21	0	55	4	55
Total OI	62.333	57	67	59	62

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
2021-10-01	$41.09	$43.00	18.3%	5.2%	16.7%	36.8%	0.0%	7.7%	-0.2%	3.9K	-10.5K	-271	0.00	102.55	N/A	N/A	0	4	44	15
2021-10-04	$40.84	$38.00	20.5%	5.4%	16.7%	45.6%	10.3%	8.4%	-0.5%	3.6K	-7.7K	-255	0.00	70.94	N/A	N/A	2	0	45	15
2021-10-05	$41.11	$38.00	19.3%	5.1%	17.1%	40.6%	14.0%	7.5%	0.4%	3.4K	-6.1K	-286	0.00	69.72	N/A	N/A	2	0	45	19
2021-10-06	$40.76	$38.00	18.5%	5.1%	17.0%	37.6%	0.0%	7.6%	0.3%	2.3K	3.0K	-266	0.00	68.55	N/A	N/A	0	2	43	19
2021-10-07	$41.10	$38.00	17.4%	5.0%	17.5%	33.5%	0.0%	7.0%	0.0%	3.4K	-3.4K	-266	0.00	74.86	N/A	N/A	1	0	45	19
2021-10-08	$41.09	$38.00	16.4%	4.8%	17.5%	29.9%	0.0%	6.7%	0.6%	3.0K	-1.4K	-284	0.00	75.05	N/A	N/A	0	0	45	21
2021-10-11	$40.90	$38.00	18.8%	4.8%	17.4%	38.7%	0.0%	6.5%	0.9%	2.6K	403	-287	0.00	75.17	N/A	N/A	0	0	46	21
2021-10-12	$41.07	$38.00	19.2%	4.9%	17.5%	40.5%	0.0%	6.7%	0.3%	3.2K	-3.9K	-281	0.00	74.23	N/A	N/A	0	0	46	21
2021-10-13	$41.70	$38.00	14.8%	4.2%	18.6%	23.6%	0.0%	6.6%	1.5%	4.6K	-17.3K	-294	0.00	84.54	N/A	N/A	0	0	46	21
2021-10-14	$42.20	$38.00	14.6%	4.2%	19.2%	22.9%	0.0%	5.0%	0.9%	5.7K	-32.6K	-308	0.00	84.94	N/A	N/A	0	0	46	21
2021-10-15	$42.50	$38.00	14.6%	4.2%	18.7%	22.9%	0.0%	5.1%	0.8%	8.1K	-42.7K	-311	0.00	88.83	N/A	N/A	0	0	46	21
2021-10-18	$42.34	$38.00	15.1%	4.3%	15.5%	24.6%	0.0%	5.0%	0.6%	7.7K	-41.5K	-302	0.00	87.33	N/A	N/A	0	4	44	17
2021-10-19	$42.55	$38.00	12.5%	3.6%	14.9%	14.9%	0.0%	5.1%	1.4%	8.4K	-46.8K	-302	0.00	92.24	N/A	N/A	0	0	44	17
2021-10-20	$42.73	$38.00	12.8%	3.7%	14.6%	16.0%	13.0%	4.7%	1.4%	9.6K	-56.0K	-287	1.00	91.12	N/A	N/A	25	25	44	13
2021-10-21	$42.69	$38.00	12.6%	3.6%	14.1%	15.3%	14.4%	4.9%	1.4%	9.4K	-54.0K	-281	1.08	95.46	N/A	N/A	25	27	44	13
2021-10-22	$42.92	$40.00	12.6%	3.6%	13.6%	15.0%	13.5%	4.3%	1.7%	10.0K	-58.9K	-279	1.08	99.59	N/A	N/A	25	27	44	15
2021-10-25	$42.79	$40.00	12.4%	3.5%	13.6%	14.3%	13.9%	4.3%	1.3%	10.0K	-56.2K	-269	1.08	101.31	N/A	N/A	25	27	44	15
2021-10-26	$42.99	$40.00	12.8%	3.7%	9.9%	15.8%	14.2%	4.3%	1.0%	10.3K	-61.7K	-270	1.20	100.96	N/A	N/A	25	30	44	15
2021-10-27	$42.88	$40.00	12.7%	3.6%	9.9%	15.6%	14.4%	4.3%	1.4%	9.8K	-56.4K	-275	1.20	102.93	N/A	N/A	25	30	44	18
2021-10-28	$43.24	$40.00	13.1%	3.8%	10.0%	17.2%	13.7%	4.9%	1.3%	10.6K	-67.2K	-271	1.20	99.91	N/A	N/A	25	30	44	18
2021-10-29	$42.87	$40.00	12.1%	3.5%	10.7%	13.3%	13.9%	3.0%	1.8%	10.0K	-57.7K	-273	1.20	103.50	N/A	N/A	25	30	44	18