SPEU Options History — January 2022

In January 2022, SPEU traded between $40.21 and $43.13. ATM implied volatility averaged 20.0%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.0% (HV 20d: 14.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 10.44.

Notable Days

2022-01-06: Highest Volume — 358 contracts
2022-01-11: Largest IV spike — 210.2% change
2022-01-11: Highest IV Rank — 100.0%
2022-01-11: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.86	$40.21	$43.13	$43.00	$40.91
Max Pain	$42.85	$41.00	$43.00	$43.00	$43.00
ATM IV	20.0%	12.7%	52.6%	13.8%	20.3%
Expected Move	5.5%	3.7%	9.5%	4.0%	5.8%
HV 20d	14.1%	12.2%	16.6%	14.4%	16.6%
HV 60d	13.8%	12.8%	14.9%	13.0%	14.9%
IV Rank	31.6%	13.4%	100.0%	29.7%	26.5%
IV Percentile	70.2%	17.5%	100.0%	33.3%	90.9%
Term Structure	-1.1%	-11.2%	1.9%	1.2%	-0.9%
VWIV	20.9%	16.6%	30.1%	18.7%	27.3%
Skew 25d	6.4%	-11.9%	10.6%	5.1%	7.3%
Skew 10d	15.9%	5.0%	25.0%	11.0%	23.4%
Call IV 25d	16.3%	11.1%	31.5%	12.2%	17.9%
Put IV 25d	22.7%	16.7%	29.8%	17.3%	25.2%
Bid-Ask Spread %	91.81	74.83	144.00	93.50	89.98
Gamma HHI	0.42	0.19	0.88	0.24	0.20
Net GEX	-18.8K	-96.9K	-1.1K	-3.1K	-4.7K
Net DEX	60.8K	-10.2K	315.4K	6.0K	37.5K
Net VEX	-387	-981	-235	-358	-279
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.44	1.68	15.27	1.68	2.05
Total Volume	251.65	59	358	59	67
Total OI	228.95	42	344	49	67

Daily Data (20 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
2022-01-03	$43.00	$43.00	13.8%	4.0%	14.4%	29.7%	18.7%	5.1%	1.2%	-3.1K	6.0K	-358	1.68	93.50	N/A	N/A	22	37	19	30
2022-01-04	$43.13	$43.00	13.7%	3.9%	13.9%	29.5%	30.1%	4.7%	0.9%	-1.1K	-10.2K	-299	15.23	104.46	N/A	N/A	22	335	19	23
2022-01-05	$42.79	$43.00	13.1%	3.7%	12.8%	25.6%	16.6%	2.9%	1.9%	-23.0K	25.9K	-451	15.23	105.51	N/A	N/A	22	335	19	321
2022-01-06	$42.60	$41.00	12.7%	4.0%	12.8%	23.7%	18.3%	6.3%	1.0%	-52.9K	106.4K	-699	15.27	86.19	N/A	N/A	22	336	19	321
2022-01-07	$42.78	$42.00	13.5%	4.2%	12.2%	28.2%	16.7%	6.7%	0.9%	-26.3K	31.7K	-471	15.09	82.39	N/A	N/A	22	332	19	322
2022-01-10	$42.13	$43.00	17.0%	4.8%	13.5%	48.0%	16.7%	7.4%	0.4%	-54.7K	132.0K	-680	15.09	82.38	N/A	N/A	22	332	19	324
2022-01-11	$42.67	$43.00	52.6%	9.5%	14.0%	100.0%	19.0%	-11.9%	-11.2%	-41.2K	315.4K	-981	15.09	144.00	N/A	N/A	22	332	19	324
2022-01-12	$43.04	$43.00	17.8%	5.1%	13.5%	20.9%	16.7%	7.3%	-5.5%	-5.4K	-3.8K	-309	15.09	101.19	N/A	N/A	22	332	19	324
2022-01-13	$42.84	$43.00	15.0%	4.3%	13.3%	14.5%	17.0%	6.1%	0.6%	-2.3K	-4.1K	-294	15.09	86.20	N/A	N/A	22	332	19	324
2022-01-14	$42.62	$43.00	14.5%	4.2%	13.5%	13.4%	17.0%	7.4%	1.0%	-15.3K	8.8K	-321	15.09	85.64	N/A	N/A	22	332	19	324
2022-01-18	$41.96	$43.00	17.7%	5.1%	14.1%	20.6%	17.8%	8.1%	-0.1%	-23.0K	16.0K	-277	14.68	88.38	N/A	N/A	22	323	19	324
2022-01-19	$42.19	$43.00	18.1%	5.2%	13.4%	21.6%	18.2%	7.0%	0.0%	-2.7K	11.0K	-281	14.68	87.97	N/A	N/A	22	323	19	325
2022-01-20	$42.11	$43.00	17.2%	4.9%	12.9%	19.4%	17.1%	6.4%	-0.4%	-2.7K	15.1K	-270	14.68	85.66	N/A	N/A	22	323	19	325
2022-01-21	$41.24	$43.00	21.1%	6.0%	14.2%	28.3%	17.6%	8.9%	-0.9%	-96.9K	277.0K	-298	14.68	89.03	N/A	N/A	22	323	19	325
2022-01-24	$40.31	$43.00	24.9%	7.1%	15.8%	37.0%	20.7%	9.8%	-1.7%	-2.5K	37.3K	-235	1.86	74.83	N/A	N/A	22	41	19	23
2022-01-25	$40.25	$43.00	24.8%	7.1%	15.1%	36.8%	28.2%	10.6%	-2.7%	-4.2K	49.8K	-320	2.05	83.03	N/A	N/A	22	45	20	47
2022-01-26	$40.27	$43.00	24.7%	7.1%	15.1%	36.7%	29.4%	8.9%	-2.2%	-4.4K	55.0K	-313	2.05	96.83	N/A	N/A	22	45	20	47
2022-01-27	$40.24	$43.00	24.2%	6.9%	15.0%	35.4%	27.6%	9.7%	-1.9%	-4.4K	51.9K	-306	2.05	81.51	N/A	N/A	22	45	20	47
2022-01-28	$40.21	$43.00	24.3%	7.0%	15.0%	35.8%	27.7%	9.7%	-2.0%	-4.7K	56.3K	-294	2.05	87.55	N/A	N/A	22	45	20	47
2022-01-31	$40.91	$43.00	20.3%	5.8%	16.6%	26.5%	27.3%	7.3%	-0.9%	-4.7K	37.5K	-279	2.05	89.98	N/A	N/A	22	45	20	47