SPEU Options History — December 2022

In December 2022, SPEU traded between $34.47 and $36.09. ATM implied volatility averaged 24.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.1% (HV 20d: 19.3%). 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 19 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2022-12-21: Highest Volume — 301 contracts
  • 2022-12-14: Largest IV drop — 38.5% change
  • 2022-12-12: Highest IV Rank — 40.9%
  • 2022-12-12: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.19$34.47$36.09$35.86$34.80
Max Pain$33.81$33.00$34.00$34.00$34.00
ATM IV24.4%20.2%37.0%24.0%20.4%
Expected Move6.3%5.8%6.9%6.9%5.9%
HV 20d19.3%14.0%26.5%26.5%16.8%
HV 60d26.9%23.4%31.0%31.0%23.5%
IV Rank19.6%12.5%40.9%18.9%13.0%
IV Percentile41.3%13.1%97.2%42.1%14.7%
Term Structure1.4%-1.8%6.6%-1.8%1.3%
VWIV27.7%21.8%39.8%29.2%21.8%
Skew 25d5.8%3.9%8.0%6.2%4.2%
Skew 10d13.8%4.2%18.8%17.4%13.4%
Call IV 25d19.3%17.5%21.1%21.1%18.8%
Put IV 25d25.2%22.8%27.6%27.3%23.0%
Bid-Ask Spread %92.2183.11108.3399.0093.63
Gamma HHI0.200.160.280.200.19
Net GEX-25.9K-46.4K-749-16.8K-23.7K
Net DEX255.5K121.2K428.9K226.1K168.4K
Net VEX-3.3K-4.9K-2.0K-3.1K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.200.500.500.20
Total Volume21.095030110
Total OI1,364.8571,0861,5081,3811,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$35.86$34.0024.0%6.9%26.5%18.9%29.2%6.2%-1.8%-16.8K226.1K-3.1K0.0099.00N/AN/A011031,278
2022-12-02$35.89$34.0021.7%6.2%25.7%15.2%39.8%6.3%-1.8%-13.8K203.7K-2.9K0.50108.33N/AN/A211031,278
2022-12-05$35.47$0.0026.7%6.5%23.9%23.4%0.0%6.7%0.8%-23.6K256.3K-2.9K0.0088.82N/AN/A001051,279
2022-12-06$35.27$0.0027.5%6.6%24.1%24.9%0.0%6.6%1.3%-30.2K307.9K-3.1K0.0087.24N/AN/A021051,279
2022-12-07$35.25$0.0027.3%6.6%24.1%24.6%0.0%6.2%0.8%-29.3K287.1K-3.0K0.0090.10N/AN/A011051,281
2022-12-08$35.31$0.0028.0%6.5%23.4%25.7%0.0%6.6%1.0%-28.1K273.9K-2.7K0.0092.61N/AN/A0301051,281
2022-12-09$35.43$0.0029.8%6.5%16.2%28.8%26.5%8.0%0.9%-23.2K210.8K-2.3K0.0093.45N/AN/A0231051,311
2022-12-12$35.48$33.0037.0%6.9%14.0%40.9%0.0%6.5%1.0%-25.0K279.6K-2.9K0.0083.11N/AN/A001051,332
2022-12-13$36.09$33.0034.3%6.2%14.8%36.3%0.0%5.8%1.8%-3.9K161.2K-2.4K0.0089.12N/AN/A0221051,332
2022-12-14$36.09$33.0021.1%6.0%14.8%14.0%26.7%7.1%1.8%-749142.8K-2.0K0.0093.19N/AN/A0491051,354
2022-12-15$35.12$34.0023.7%6.8%18.1%18.4%0.0%6.9%1.4%-46.4K373.0K-3.3K0.0088.67N/AN/A001051,403
2022-12-16$34.72$34.0022.2%6.4%18.5%15.9%25.1%5.9%2.3%-41.0K400.7K-3.5K0.0090.12N/AN/A061051,403
2022-12-19$34.47$34.0023.0%6.6%18.6%17.3%0.0%5.4%2.3%-41.3K428.9K-3.3K0.0091.10N/AN/A0041,082
2022-12-20$34.61$34.0021.3%6.1%18.5%14.5%0.0%5.7%1.6%-40.6K415.0K-3.2K0.0091.38N/AN/A0041,082
2022-12-21$35.02$34.0020.4%5.9%18.2%13.0%0.0%5.4%6.6%-34.6K304.3K-2.5K0.2088.92N/AN/A2515041,082
2022-12-22$34.63$34.0020.8%6.0%18.3%13.5%25.0%6.7%1.7%-26.7K229.5K-4.9K0.0094.30N/AN/A032551,132
2022-12-23$34.75$34.0020.6%5.9%18.1%13.2%21.8%4.0%1.8%-25.4K209.1K-4.7K0.0092.14N/AN/A022551,135
2022-12-27$34.91$34.0021.2%6.1%17.2%14.2%0.0%4.4%1.9%-22.3K147.6K-4.4K0.0094.11N/AN/A002551,135
2022-12-28$34.58$34.0020.3%5.8%17.6%12.8%0.0%3.9%1.9%-27.1K219.0K-4.5K0.0094.87N/AN/A002551,135
2022-12-29$35.14$34.0020.2%5.8%17.0%12.5%0.0%4.3%1.9%-19.9K121.2K-4.3K0.0092.22N/AN/A002551,135
2022-12-30$34.80$34.0020.4%5.9%16.8%13.0%0.0%4.2%1.3%-23.7K168.4K-4.2K0.0093.63N/AN/A002551,135