SPEU Options History — January 2023

In January 2023, SPEU traded between $35.11 and $38.01. ATM implied volatility averaged 22.0%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.7% (HV 20d: 16.3%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2023-01-23: Highest Volume — 121 contracts
  • 2023-01-26: Largest IV spike — 55.4% change
  • 2023-01-26: Highest IV Rank — 46.0%
  • 2023-01-26: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.19$35.11$38.01$35.11$37.84
Max Pain$35.05$34.00$36.00$34.00$36.00
ATM IV22.0%17.2%41.9%21.7%23.8%
Expected Move6.4%4.9%12.0%6.2%6.8%
HV 20d16.3%11.9%19.9%17.1%11.9%
HV 60d21.3%19.9%22.8%22.8%19.9%
IV Rank12.7%3.2%46.0%15.2%13.7%
IV Percentile22.1%1.6%98.8%22.2%38.5%
Term Structure-0.5%-5.8%1.3%0.7%-4.2%
VWIV30.1%21.5%38.6%21.5%38.6%
Skew 25d6.5%-0.4%38.1%5.9%14.2%
Skew 10d13.9%-2.2%53.7%9.5%-2.2%
Call IV 25d18.7%15.6%27.9%17.9%18.8%
Put IV 25d25.3%20.6%66.0%23.8%33.0%
Bid-Ask Spread %95.8775.83118.44100.49115.87
Gamma HHI0.430.190.740.190.58
Net GEX11.5K-21.3K31.8K-21.3K27.1K
Net DEX-272.2K-523.9K136.8K136.8K-434.5K
Net VEX-3.5K-4.5K-2.8K-4.1K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.002.000.002.00
Total Volume6.55012106
Total OI1,411.351,3771,4631,3901,463

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$35.11$34.0021.7%6.2%17.1%15.2%0.0%5.9%0.7%-21.3K136.8K-4.1K0.00100.49N/AN/A002551,135
2023-01-04$35.66$34.0019.6%5.6%17.6%11.6%0.0%3.6%1.0%-12.4K-1.3K-3.8K0.0098.55N/AN/A002551,135
2023-01-05$35.47$35.0020.7%6.4%17.6%13.3%0.0%5.1%0.5%-14.3K42.0K-3.7K0.0075.83N/AN/A002551,135
2023-01-06$36.36$35.0018.7%5.8%19.6%10.1%0.0%4.5%1.3%-2.9K-86.6K-3.7K0.0078.05N/AN/A002551,135
2023-01-09$36.62$35.0018.7%5.6%19.7%10.1%0.0%5.1%0.7%526-157.5K-3.5K0.0079.14N/AN/A102551,135
2023-01-10$36.69$35.0018.9%5.7%19.7%9.2%0.0%4.5%1.2%726-165.0K-3.5K0.0079.20N/AN/A002561,135
2023-01-11$37.02$35.0020.1%5.7%19.9%9.6%0.0%5.1%0.5%5.4K-214.7K-3.3K0.0078.02N/AN/A002561,135
2023-01-12$37.44$35.0019.8%5.7%19.4%9.2%0.0%4.5%0.2%13.6K-306.0K-3.1K0.0092.71N/AN/A002561,135
2023-01-13$37.69$35.0017.2%4.9%19.5%4.7%0.0%4.3%0.7%16.0K-332.6K-3.1K0.0092.04N/AN/A002561,135
2023-01-17$37.75$35.0018.0%5.2%16.1%6.0%0.0%4.3%0.7%17.0K-341.9K-3.0K0.0092.75N/AN/A002561,135
2023-01-18$37.69$35.0018.0%5.2%15.2%6.0%0.0%4.5%0.7%16.1K-329.6K-3.0K0.0092.27N/AN/A002561,135
2023-01-19$37.50$35.0020.6%5.9%15.0%8.0%0.0%6.3%0.5%13.9K-291.1K-3.1K0.0093.99N/AN/A012561,135
2023-01-20$37.69$35.0018.0%5.2%15.0%3.3%0.0%5.3%0.4%17.9K-320.1K-2.9K0.0094.77N/AN/A002561,136
2023-01-23$37.88$35.0018.5%5.3%14.8%4.3%0.0%6.1%-1.3%20.2K-358.7K-2.8K0.2096.86N/AN/A101202551,122
2023-01-24$37.83$35.0017.9%5.1%13.8%3.2%0.0%5.1%0.4%31.8K-523.9K-4.0K0.0097.47N/AN/A003561,102
2023-01-25$37.98$35.0027.0%7.7%13.8%19.3%0.0%0.9%-1.8%26.4K-420.3K-3.8K0.00118.44N/AN/A003581,104
2023-01-26$38.01$35.0041.9%12.0%13.9%46.0%21.5%-0.4%-3.0%31.8K-505.9K-3.6K1.00113.72N/AN/A113581,104
2023-01-27$37.92$36.0039.3%11.3%13.1%41.4%0.0%38.1%-5.8%15.8K-389.2K-4.5K0.00117.21N/AN/A003581,105
2023-01-30$37.70$36.0022.1%6.3%12.9%10.6%0.0%4.0%-3.0%26.2K-443.2K-3.7K0.00110.10N/AN/A003581,105
2023-01-31$37.84$36.0023.8%6.8%11.9%13.7%38.6%14.2%-4.2%27.1K-434.5K-3.5K2.00115.87N/AN/A243581,105