SPEU Options History — November 2022

In November 2022, SPEU traded between $30.63 and $35.49. ATM implied volatility averaged 25.3%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.2% (HV 20d: 26.5%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2022-11-17: Highest Volume — 337 contracts
  • 2022-11-22: Largest IV drop — 13.6% change
  • 2022-11-02: Highest IV Rank — 30.0%
  • 2022-11-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.60$30.63$35.49$31.41$35.49
Max Pain$33.90$33.00$34.00$33.00$34.00
ATM IV25.3%21.3%28.4%27.9%23.9%
Expected Move7.2%6.1%8.1%8.0%6.9%
HV 20d26.5%23.3%29.0%24.4%27.5%
HV 60d32.1%30.4%33.7%30.6%31.1%
IV Rank22.2%14.5%30.0%29.1%18.8%
IV Percentile53.6%23.8%76.2%73.4%40.5%
Term Structure-0.1%-1.7%1.2%0.1%-1.7%
VWIV25.4%20.1%41.3%26.8%41.3%
Skew 25d5.3%3.3%6.3%5.0%3.8%
Skew 10d12.6%3.1%19.6%3.1%11.7%
Call IV 25d23.0%19.9%26.9%25.0%21.6%
Put IV 25d28.3%25.2%30.7%30.0%25.4%
Bid-Ask Spread %97.4586.37107.24100.44101.23
Gamma HHI0.150.130.180.160.17
Net GEX-57.2K-93.6K-24.4K-86.4K-24.4K
Net DEX691.4K266.0K1.4M1.2M266.0K
Net VEX-5.0K-6.9K-3.3K-6.8K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.252.422.380.25
Total Volume248.33303373215
Total OI1,450.1431,3761,5031,4881,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$31.41$33.0027.9%8.0%24.4%29.1%26.8%5.0%0.1%-86.4K1.2M-6.8K2.38100.44N/AN/A95226931,395
2022-11-02$30.99$33.0028.4%8.1%24.8%30.0%24.8%3.3%-0.0%-88.7K1.3M-6.9K2.38101.42N/AN/A95226931,395
2022-11-03$30.63$34.0027.0%7.6%23.3%27.7%26.5%6.0%-0.2%-93.6K1.4M-6.8K2.2995.41N/AN/A95218931,395
2022-11-04$31.83$34.0025.9%7.4%25.3%25.2%23.6%6.3%0.0%-82.1K1.1M-6.3K2.2986.37N/AN/A95218931,375
2022-11-07$32.19$34.0027.2%7.5%25.2%27.4%24.1%5.6%0.3%-80.2K1.0M-6.1K2.2994.58N/AN/A95218931,385
2022-11-08$32.50$34.0028.1%7.8%24.6%28.0%23.9%4.9%-0.4%-73.7K911.6K-5.9K2.2991.22N/AN/A95218931,385
2022-11-09$32.11$34.0028.1%8.1%25.3%27.4%25.7%5.4%-1.3%-78.2K1.0M-6.0K2.3490.76N/AN/A95222931,385
2022-11-10$33.75$34.0024.6%7.1%29.0%20.0%25.0%5.9%0.8%-59.7K655.2K-5.2K2.4293.36N/AN/A95230931,389
2022-11-11$34.58$34.0024.5%7.0%28.7%19.8%24.5%6.0%0.8%-46.8K515.2K-4.8K2.4289.25N/AN/A95230931,387
2022-11-14$34.37$34.0025.4%7.3%27.8%21.4%25.1%4.6%-0.0%-49.3K532.5K-4.6K2.3896.32N/AN/A95226931,387
2022-11-15$34.43$34.0026.5%7.6%27.9%23.2%25.8%4.5%-0.7%-49.3K487.9K-4.3K2.0792.25N/AN/A109226931,394
2022-11-16$34.33$34.0025.9%7.4%26.9%22.1%25.2%5.4%0.1%-48.4K531.0K-4.7K2.0794.62N/AN/A1092261071,394
2022-11-17$34.15$34.0025.2%7.2%27.1%21.0%25.2%5.4%-0.9%-50.0K532.0K-4.6K2.0997.65N/AN/A1092281071,394
2022-11-18$34.36$34.0024.2%6.9%26.9%19.3%24.7%6.3%0.2%-46.8K525.4K-4.6K2.0999.04N/AN/A1092281071,396
2022-11-21$34.12$34.0024.7%7.1%27.3%20.2%21.9%5.8%0.4%-51.1K554.2K-4.5K1.07100.22N/AN/A1091171021,274
2022-11-22$34.61$34.0021.4%6.1%26.9%14.6%20.1%5.5%1.2%-44.3K477.2K-4.3K1.08101.44N/AN/A1101191021,275
2022-11-23$34.98$34.0021.3%6.1%26.8%14.5%22.7%4.9%1.1%-35.4K352.9K-3.6K1.08105.67N/AN/A1101191031,277
2022-11-25$35.27$34.0022.6%6.5%26.4%16.7%0.0%6.0%0.6%-31.0K336.7K-3.6K0.00107.24N/AN/A001031,277
2022-11-28$34.71$34.0024.8%7.1%27.6%20.4%0.0%5.3%-1.3%-41.5K413.6K-3.7K0.00104.25N/AN/A001031,277
2022-11-29$34.78$34.0023.9%6.9%27.0%18.9%0.0%6.2%-1.1%-39.4K383.5K-3.6K0.00103.67N/AN/A001031,277
2022-11-30$35.49$34.0023.9%6.9%27.5%18.8%41.3%3.8%-1.7%-24.4K266.0K-3.3K0.25101.23N/AN/A411031,277