SPEU Options History — November 2021

In November 2021, SPEU traded between $40.89 and $43.67. ATM implied volatility averaged 14.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.7% (HV 20d: 10.0%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.21.

Notable Days

2021-11-15: Highest Volume — 79 contracts
2021-11-26: Largest IV spike — 62.7% change
2021-11-26: Highest IV Rank — 59.1%
2021-11-26: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.84	$40.89	$43.67	$43.24	$40.89
Max Pain	$40.90	$40.00	$42.00	$40.00	$41.00
ATM IV	14.7%	9.7%	24.1%	13.1%	21.9%
Expected Move	4.3%	2.8%	6.9%	3.8%	6.3%
HV 20d	10.0%	8.8%	12.7%	10.5%	12.2%
HV 60d	13.2%	12.9%	13.9%	13.1%	13.9%
IV Rank	23.3%	4.1%	59.1%	17.3%	50.8%
IV Percentile	40.1%	0.8%	97.6%	20.6%	95.6%
Term Structure	1.2%	-2.3%	3.2%	1.2%	-1.3%
VWIV	17.1%	11.2%	26.7%	13.7%	23.5%
Skew 25d	5.3%	3.6%	10.2%	4.5%	9.7%
Skew 10d	12.2%	7.6%	22.8%	10.4%	18.3%
Call IV 25d	13.5%	9.8%	21.0%	11.6%	19.4%
Put IV 25d	18.8%	13.5%	31.2%	16.2%	29.1%
Bid-Ask Spread %	98.73	87.44	111.87	107.30	87.44
Gamma HHI	0.45	0.36	0.55	0.45	0.38
Net GEX	8.2K	-3.0K	14.1K	10.4K	-3.0K
Net DEX	-42.6K	-84.5K	30.4K	-66.5K	30.4K
Net VEX	-271	-362	-221	-254	-292
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.87	1.58	1.20	1.47
Total Volume	65.714	55	79	55	74
Total OI	68.476	59	85	60	79

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
2021-11-01	$43.24	$40.00	13.1%	3.8%	10.5%	17.3%	13.7%	4.5%	1.2%	10.4K	-66.5K	-254	1.20	107.30	N/A	N/A	25	30	43	17
2021-11-02	$43.26	$40.00	13.1%	3.8%	10.4%	17.3%	13.8%	3.8%	1.0%	10.6K	-68.0K	-254	1.15	110.17	N/A	N/A	26	30	43	17
2021-11-03	$43.65	$40.00	9.7%	2.8%	9.8%	4.1%	11.2%	3.7%	1.7%	11.8K	-83.3K	-253	1.15	111.87	N/A	N/A	26	30	44	17
2021-11-04	$43.50	$41.00	12.2%	3.8%	9.9%	13.8%	14.3%	4.1%	2.8%	12.4K	-80.9K	-249	1.15	98.13	N/A	N/A	26	30	44	17
2021-11-05	$43.53	$41.00	10.3%	3.3%	9.8%	6.3%	14.7%	4.5%	3.2%	11.8K	-80.7K	-245	1.15	99.08	N/A	N/A	26	30	44	17
2021-11-08	$43.67	$41.00	11.0%	3.6%	9.4%	9.0%	15.8%	4.9%	2.6%	12.1K	-84.5K	-232	1.54	97.16	N/A	N/A	26	40	44	17
2021-11-09	$43.67	$41.00	11.6%	3.7%	9.5%	11.2%	16.7%	5.7%	2.8%	2.7K	-53.9K	-261	1.58	94.56	N/A	N/A	26	41	44	27
2021-11-10	$43.11	$41.00	15.0%	4.3%	10.0%	24.5%	17.4%	5.5%	1.7%	6.0K	-23.7K	-249	1.58	90.90	N/A	N/A	26	41	44	28
2021-11-11	$43.28	$41.00	14.0%	4.0%	9.2%	20.4%	15.5%	4.3%	2.3%	5.8K	-33.1K	-245	1.58	96.62	N/A	N/A	26	41	44	28
2021-11-12	$43.41	$41.00	13.8%	3.9%	9.0%	19.6%	15.8%	4.7%	2.6%	5.0K	-35.2K	-233	1.58	97.60	N/A	N/A	26	41	44	28
2021-11-15	$43.29	$41.00	14.3%	4.1%	9.0%	21.6%	15.9%	4.1%	1.8%	7.6K	-31.1K	-221	1.08	96.69	N/A	N/A	38	41	44	28
2021-11-16	$43.20	$42.00	14.1%	4.1%	8.9%	21.1%	16.1%	4.3%	1.9%	10.8K	-41.6K	-362	1.08	99.31	N/A	N/A	38	41	56	29
2021-11-17	$43.24	$41.00	13.6%	3.9%	8.8%	18.8%	14.8%	4.0%	2.6%	12.8K	-45.3K	-348	1.08	101.30	N/A	N/A	38	41	56	28
2021-11-18	$43.22	$41.00	13.8%	4.0%	8.8%	19.8%	15.8%	3.6%	0.7%	14.1K	-44.4K	-349	1.08	99.16	N/A	N/A	38	41	56	28
2021-11-19	$42.71	$41.00	14.5%	4.2%	9.7%	22.7%	17.9%	5.9%	0.7%	9.1K	-26.5K	-331	1.08	100.17	N/A	N/A	38	41	56	28
2021-11-22	$42.48	$41.00	16.1%	4.6%	9.8%	28.6%	18.2%	4.4%	0.2%	8.9K	-45.3K	-305	0.87	98.05	N/A	N/A	30	26	46	14
2021-11-23	$42.15	$41.00	16.5%	4.7%	9.9%	30.1%	19.3%	5.2%	-0.3%	7.7K	-35.4K	-287	0.87	95.90	N/A	N/A	30	26	46	14
2021-11-24	$41.94	$41.00	14.8%	4.2%	10.0%	23.6%	19.3%	5.6%	0.4%	7.5K	-19.6K	-251	0.87	106.59	N/A	N/A	30	26	46	14
2021-11-26	$40.94	$41.00	24.1%	6.9%	12.3%	59.1%	26.7%	10.2%	-2.3%	3.9K	-7.3K	-240	0.87	93.29	N/A	N/A	30	26	46	14
2021-11-29	$41.26	$41.00	21.8%	6.2%	12.7%	50.2%	22.8%	9.2%	-1.9%	4.9K	-18.1K	-236	1.47	92.08	N/A	N/A	30	44	46	13
2021-11-30	$40.89	$41.00	21.9%	6.3%	12.2%	50.8%	23.5%	9.7%	-1.3%	-3.0K	30.4K	-292	1.47	87.44	N/A	N/A	30	44	46	33