SPEU Options History — September 2022

In September 2022, SPEU traded between $28.36 and $33.30. ATM implied volatility averaged 29.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 4.3% (HV 20d: 33.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 8.67.

Notable Days

  • 2022-09-07: Highest Volume — 1,112 contracts
  • 2022-09-14: Largest IV drop — 24.7% change
  • 2022-09-27: Highest IV Rank — 40.7%
  • 2022-09-27: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.85$28.36$33.30$31.41$28.85
Max Pain$34.10$34.00$35.00$35.00$34.00
ATM IV29.2%22.4%35.1%29.3%33.4%
Expected Move8.3%6.4%10.1%8.4%9.6%
HV 20d33.5%25.5%38.9%26.5%35.6%
HV 60d26.7%24.4%28.5%26.4%28.3%
IV Rank31.3%20.3%40.7%31.5%37.9%
IV Percentile84.8%50.4%95.6%91.3%93.3%
Term Structure0.0%-1.4%2.7%0.2%-1.0%
VWIV27.4%20.0%31.6%20.0%31.3%
Skew 25d6.4%4.2%8.6%6.2%8.3%
Skew 10d16.3%7.1%25.4%11.9%20.5%
Call IV 25d26.0%22.1%31.4%25.3%30.5%
Put IV 25d32.4%26.6%39.9%31.6%38.8%
Bid-Ask Spread %88.5680.85102.98102.9889.99
Gamma HHI0.180.140.210.190.20
Net GEX-71.3K-106.3K-56.3K-56.3K-76.6K
Net DEX1.4M793.0K1.9M1.2M1.8M
Net VEX-7.8K-8.7K-4.8K-6.8K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.675.7426.0026.005.97
Total Volume372.71411,11254655
Total OI1,363.191,1571,4691,1571,442

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$31.41$35.0029.3%8.4%26.5%31.5%20.0%6.2%0.2%-56.3K1.2M-6.8K26.00102.98N/AN/A2521001,057
2022-09-02$31.24$35.0027.4%7.9%26.4%28.4%0.0%8.3%1.1%-57.7K1.2M-6.8K0.00102.12N/AN/A011001,065
2022-09-06$31.39$34.0032.1%8.2%26.5%35.9%26.9%8.6%-0.1%-57.9K1.1M-6.6K8.4988.36N/AN/A1179931001,065
2022-09-07$31.84$34.0027.3%7.7%27.3%28.2%27.2%6.8%0.4%-61.1K1.1M-6.8K8.5082.42N/AN/A1179951001,093
2022-09-08$31.71$34.0025.8%7.6%25.5%25.8%0.0%6.5%0.1%-62.9K1.1M-6.9K0.0085.23N/AN/A0321001,104
2022-09-09$32.66$34.0022.8%6.8%28.3%21.0%0.0%5.2%1.2%-62.3K974.3K-6.7K0.0086.93N/AN/A02111001,125
2022-09-12$33.30$34.0028.4%7.3%29.2%30.0%24.7%4.7%-0.4%-69.5K1.0M-7.9K0.0085.90N/AN/A0271001,341
2022-09-13$32.07$34.0029.7%7.7%31.7%32.1%27.7%5.4%0.5%-77.2K1.3M-8.4K7.0284.44N/AN/A1178211001,368
2022-09-14$33.18$34.0022.4%6.4%34.5%20.3%0.0%4.4%2.7%-106.3K793.0K-4.8K0.0080.85N/AN/A0211001,369
2022-09-15$31.80$34.0026.4%7.6%37.3%26.8%0.0%6.3%1.5%-75.6K1.4M-8.5K0.0083.89N/AN/A021001,350
2022-09-16$31.48$34.0027.2%7.8%37.3%28.0%27.5%4.2%0.8%-68.5K1.4M-8.4K6.9485.32N/AN/A1178121001,350
2022-09-19$31.44$34.0027.5%7.9%37.1%28.5%25.8%5.7%0.3%-68.0K1.2M-8.4K0.0085.14N/AN/A013921,292
2022-09-20$30.84$34.0027.8%8.0%36.8%28.9%27.7%5.3%-0.3%-71.8K1.4M-8.5K0.0090.40N/AN/A041921,303
2022-09-21$30.42$34.0029.0%8.3%37.0%30.9%28.0%5.8%-0.2%-76.8K1.4M-8.6K0.0090.34N/AN/A051921,327
2022-09-22$30.31$34.0029.2%8.4%36.9%31.3%0.0%6.4%-0.8%-78.0K1.5M-8.7K0.0089.25N/AN/A04921,345
2022-09-23$29.04$34.0031.4%9.0%38.9%34.9%24.9%6.3%-1.2%-75.6K1.8M-8.7K0.0093.47N/AN/A010921,349
2022-09-26$28.57$34.0033.7%9.7%38.3%38.4%31.6%7.0%-1.3%-72.9K1.9M-8.5K5.7486.39N/AN/A94540921,347
2022-09-27$28.36$34.0035.1%10.1%38.1%40.7%27.1%6.9%-1.4%-74.3K1.9M-8.4K5.7986.30N/AN/A94544921,356
2022-09-28$29.23$34.0033.3%9.5%38.3%37.8%30.6%7.1%-1.1%-76.2K1.7M-8.5K5.9987.66N/AN/A94563921,343
2022-09-29$28.76$34.0034.3%9.8%36.0%39.4%29.5%8.6%-0.6%-72.2K1.8M-8.3K6.3192.46N/AN/A94593921,308
2022-09-30$28.85$34.0033.4%9.6%35.6%37.9%31.3%8.3%-1.0%-76.6K1.8M-8.3K5.9789.99N/AN/A94561921,350