SPEU Options History — December 2021

In December 2021, SPEU traded between $40.71 and $42.83. ATM implied volatility averaged 18.7%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.0% (HV 20d: 15.7%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2021-12-17: Highest Volume — 88 contracts
  • 2021-12-15: Largest IV drop — 39.5% change
  • 2021-12-14: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.84$40.71$42.83$40.90$42.78
Max Pain$42.70$41.00$43.00$41.00$43.00
ATM IV18.7%14.2%26.0%22.2%14.4%
Expected Move5.2%4.1%7.1%6.4%4.1%
HV 20d15.7%12.1%18.2%12.2%15.3%
HV 60d13.9%13.1%15.1%13.9%13.1%
IV Rank52.9%32.3%100.0%52.0%33.3%
IV Percentile74.9%40.9%100.0%96.0%42.1%
Term Structure0.4%-2.2%1.9%-2.0%0.7%
VWIV18.8%15.9%25.8%23.1%18.6%
Skew 25d6.7%3.7%10.5%8.9%5.4%
Skew 10d13.8%10.3%19.7%16.0%10.9%
Call IV 25d15.7%13.1%21.6%19.4%13.1%
Put IV 25d22.4%18.0%32.0%28.3%18.5%
Bid-Ask Spread %85.6364.4498.4994.7393.79
Gamma HHI0.370.250.700.370.27
Net GEX-3.7K-18.1K2.6K-2.6K-1.8K
Net DEX22.0K3.2K59.2K31.9K4.4K
Net VEX-320-367-275-280-338
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.451.231.801.471.68
Total Volume66.13651887459
Total OI70.682411107943

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$40.90$41.0022.2%6.4%12.2%52.0%23.1%8.9%-2.0%-2.6K31.9K-2801.4794.73N/AN/A30444633
2021-12-02$41.21$41.0023.2%6.6%12.1%55.5%24.3%7.2%-2.0%-2.1K19.4K-2901.4793.63N/AN/A30444633
2021-12-03$40.71$41.0024.6%7.1%12.5%61.1%25.8%10.5%-2.2%-2.9K36.3K-2751.8092.49N/AN/A30544633
2021-12-06$41.26$0.0024.3%6.2%13.8%59.8%0.0%8.8%-0.6%-4.6K46.9K-3521.8064.44N/AN/A30544643
2021-12-07$42.05$0.0019.3%6.3%15.7%40.8%17.4%7.1%0.8%-33011.4K-3641.2770.99N/AN/A30384743
2021-12-08$42.33$43.0019.8%5.2%16.0%69.8%18.3%6.8%0.7%2.6K3.5K-3671.2773.42N/AN/A30384743
2021-12-09$41.89$43.0018.6%4.9%15.8%62.0%17.4%6.7%0.8%-2.0K25.3K-3321.2776.17N/AN/A30384743
2021-12-10$41.89$43.0017.1%4.6%15.7%53.1%16.5%6.0%1.3%-1.1K19.3K-3291.2782.79N/AN/A30384743
2021-12-13$41.67$43.0020.2%4.6%15.6%72.3%16.5%6.9%1.2%-6.2K33.1K-2991.2381.32N/AN/A31384743
2021-12-14$41.24$43.0026.0%5.3%15.9%100.0%17.1%7.0%0.9%-11.4K51.5K-2781.3177.66N/AN/A29384843
2021-12-15$41.70$43.0015.7%4.5%16.6%40.9%15.9%6.4%1.9%-7.1K27.9K-2841.7983.21N/AN/A29524843
2021-12-16$41.84$43.0015.6%4.5%16.7%40.4%16.1%6.0%1.2%-9.4K18.2K-2751.5886.29N/AN/A33524858
2021-12-17$41.38$43.0019.2%5.5%17.0%60.9%17.8%6.4%0.2%-18.1K59.2K-2971.6784.10N/AN/A33555258
2021-12-20$40.91$43.0021.2%6.1%17.0%72.6%19.5%8.0%-0.7%-1.3K29.1K-3121.3278.62N/AN/A22291922
2021-12-21$41.42$43.0019.0%5.4%17.7%59.8%17.4%6.9%0.4%-1.5K23.5K-3231.3282.75N/AN/A22291922
2021-12-22$41.95$43.0016.4%4.7%18.2%44.6%16.8%5.9%0.9%-1.5K15.4K-3341.3284.80N/AN/A22291922
2021-12-23$42.25$43.0016.1%4.6%18.2%43.2%18.4%5.7%0.9%-1.9K11.5K-3471.4192.34N/AN/A22311924
2021-12-27$42.69$43.0015.0%4.3%16.1%36.6%19.4%5.8%0.9%-1.9K6.3K-3451.4197.10N/AN/A22311924
2021-12-28$42.79$43.0014.9%4.3%15.9%36.4%19.7%5.9%0.7%-1.7K3.6K-3451.4197.68N/AN/A22311924
2021-12-29$42.83$43.0014.7%4.2%15.4%35.2%19.6%5.3%0.7%-1.8K3.2K-3431.4198.49N/AN/A22311924
2021-12-30$42.79$43.0014.2%4.1%15.5%32.3%18.9%3.7%1.4%-1.9K4.2K-3331.4197.00N/AN/A22311924
2021-12-31$42.78$43.0014.4%4.1%15.3%33.3%18.6%5.4%0.7%-1.8K4.4K-3381.6893.79N/AN/A22371924