SPEU Options History — March 2022

In March 2022, SPEU traded between $34.68 and $39.67. ATM implied volatility averaged 30.5%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.1% (HV 20d: 35.6%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 6.95.

Notable Days

  • 2022-03-15: Highest Volume — 557 contracts
  • 2022-03-08: Largest IV drop — 29.3% change
  • 2022-03-07: Highest IV Rank — 100.0%
  • 2022-03-07: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.83$34.68$39.67$37.77$38.91
Max Pain$39.52$35.00$43.00$43.00$40.00
ATM IV30.5%19.5%53.6%36.7%22.9%
Expected Move9.0%5.5%15.4%10.5%6.2%
HV 20d35.6%23.5%40.2%23.5%35.8%
HV 60d24.9%18.9%27.3%18.9%27.3%
IV Rank48.9%24.2%100.0%63.9%31.8%
IV Percentile92.4%77.4%100.0%99.6%87.3%
Term Structure-3.2%-8.1%0.2%-5.0%-1.5%
VWIV34.4%19.8%53.2%45.6%20.2%
Skew 25d10.9%6.6%16.5%15.0%7.4%
Skew 10d22.3%12.5%31.3%25.9%12.5%
Call IV 25d24.7%18.5%33.7%30.9%21.2%
Put IV 25d35.6%25.4%50.2%45.9%28.6%
Bid-Ask Spread %72.6749.1998.1187.3767.55
Gamma HHI0.350.170.590.440.17
Net GEX-26.1K-52.3K1.5K-35.1K-2.4K
Net DEX255.8K-41.5K663.7K345.4K107.7K
Net VEX-981-1.3K-687-1.1K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.951.0114.6014.601.44
Total Volume281.304101557312173
Total OI367.913246441349418

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$37.77$43.0036.7%10.5%23.5%63.9%45.6%15.0%-5.0%-35.1K345.4K-1.1K14.6087.37N/AN/A2029219330
2022-03-02$38.48$43.0037.5%10.8%24.1%65.8%45.2%11.7%-3.8%-33.2K281.8K-96913.9085.18N/AN/A2129219332
2022-03-03$37.34$43.0038.0%10.9%25.3%66.8%42.8%11.8%-3.7%-38.0K371.4K-1.1K9.7485.05N/AN/A3130220332
2022-03-04$35.60$43.0046.5%13.3%29.3%86.3%48.6%14.9%-6.1%-40.7K537.4K-1.2K9.5480.37N/AN/A3533430323
2022-03-07$34.68$42.0053.6%15.4%29.9%100.0%53.2%16.5%-8.1%-41.6K663.7K-1.1K9.1380.08N/AN/A3834734339
2022-03-08$35.46$42.0038.0%14.3%31.8%65.2%49.8%14.4%-6.0%-50.0K591.3K-1.3K9.5485.39N/AN/A3735337362
2022-03-09$37.31$41.0033.3%12.8%37.9%54.8%48.1%13.3%-5.8%-39.9K381.1K-1.3K10.2390.84N/AN/A3535839365
2022-03-10$36.43$41.0036.0%13.3%37.6%60.9%46.8%11.9%-6.4%-48.0K472.3K-1.3K9.1592.61N/AN/A3935739369
2022-03-11$36.32$43.0035.7%13.4%37.6%60.2%47.4%11.0%-6.5%-52.3K486.7K-1.2K9.1598.11N/AN/A3935735371
2022-03-14$36.90$35.0034.5%8.2%37.9%57.4%31.4%11.3%-5.9%-23.1K290.1K-9068.6957.63N/AN/A3933935211
2022-03-15$37.13$35.0033.3%8.0%38.1%54.9%30.8%11.6%-5.2%-23.4K267.4K-88913.2856.91N/AN/A3951835213
2022-03-16$38.35$35.0029.0%7.4%39.4%45.3%28.7%10.2%-3.4%-32.2K228.3K-9758.4657.43N/AN/A3933031410
2022-03-17$38.83$0.0025.7%6.8%39.7%37.9%0.0%9.1%-1.7%-33.3K169.4K-8298.3364.53N/AN/A3932531403
2022-03-18$39.18$0.0022.8%6.5%39.6%31.6%24.5%8.7%-0.2%-43.3K128.5K-7188.3349.19N/AN/A3932531406
2022-03-21$38.59$38.0022.6%6.5%39.8%31.0%24.2%9.6%0.0%-12.3K101.6K-8662.7564.34N/AN/A287727312
2022-03-22$39.12$38.0021.3%6.1%40.0%28.2%26.0%8.1%0.2%-8.0K66.1K-7232.4866.06N/AN/A297228312
2022-03-23$38.50$38.0025.8%7.1%40.2%38.2%27.7%9.9%-0.7%-12.5K106.1K-8412.4864.82N/AN/A297228315
2022-03-24$38.60$38.0022.8%6.3%39.6%31.4%27.0%9.9%-0.7%-12.1K97.6K-8192.4863.44N/AN/A297228315
2022-03-25$38.62$38.0022.4%6.2%38.6%30.6%27.0%10.6%-0.9%-10.8K93.3K-7872.4867.92N/AN/A297228313
2022-03-28$38.72$38.0021.7%6.1%38.2%29.2%20.4%10.0%-0.7%-8.6K74.1K-6871.0169.63N/AN/A717228313
2022-03-29$39.67$38.0019.5%5.5%37.5%24.2%19.8%6.7%-0.6%1.5K-41.5K-8961.4469.20N/AN/A7110270313
2022-03-30$39.53$38.0021.3%5.7%37.0%28.2%20.9%6.6%-1.2%-1.1K64.2K-1.1K1.1567.80N/AN/A718270343
2022-03-31$38.91$40.0022.9%6.2%35.8%31.8%20.2%7.4%-1.5%-2.4K107.7K-1.0K1.4467.55N/AN/A7110270348