SPEU Options History — June 2023 In June 2023, SPEU traded between $37.59 and $39.51. ATM implied volatility averaged 30.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 15.5% (HV 20d: 14.9%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.25.
Notable Days 2023-06-09 : Highest Volume — 50 contracts2023-06-05 : Largest IV spike — 181.9% change2023-06-05 : Highest IV Rank — 58.2%2023-06-28 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $38.39 $37.59 $39.51 $38.02 $38.52 Max Pain $37.90 $37.00 $38.00 $37.00 $38.00 ATM IV 30.4% 15.7% 57.9% 20.6% 18.1% Expected Move 7.7% 3.7% 11.8% 5.9% 5.2% HV 20d 14.9% 12.9% 17.8% 13.2% 16.5% HV 60d 14.1% 12.6% 15.9% 15.7% 13.8% IV Rank 20.9% 1.0% 58.2% 7.6% 4.3% IV Percentile 64.5% 1.6% 99.6% 24.6% 8.7% Term Structure -1.7% -11.3% 5.2% -5.7% -2.9% VWIV 11.3% 10.6% 12.0% 10.6% 12.0% Skew 25d 1.7% -16.0% 27.2% 3.5% 1.3% Skew 10d 8.4% -12.0% 33.4% 2.1% 2.0% Call IV 25d 19.4% 15.4% 24.5% 19.3% 18.2% Put IV 25d 21.2% 6.4% 48.2% 22.8% 19.5% Bid-Ask Spread % 126.23 117.42 129.04 117.42 125.30 Gamma HHI 0.62 0.40 0.85 0.71 0.42 Net GEX 82.0K 22.7K 161.3K 106.8K 27.8K Net DEX -516.6K -1.0M -208.3K -476.6K -284.7K Net VEX -1.5K -2.2K -1.1K -2.0K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.25 0.00 1.00 0.00 0.00 Total Volume 2.857 0 50 0 0 Total OI 352.619 187 484 482 189
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-06-01 $38.02 $37.00 20.6% 5.9% 13.2% 7.6% 0.0% 3.5% -5.7% 106.8K -476.6K -2.0K 0.00 117.42 N/A N/A 0 0 440 42 2023-06-02 $38.47 $37.00 20.5% 5.9% 14.0% 7.6% 0.0% 1.1% -6.7% 129.9K -625.4K -2.2K 0.00 119.08 N/A N/A 0 0 440 42 2023-06-05 $38.23 $0.00 57.9% 3.7% 12.9% 58.2% 10.6% -0.5% 2.8% 60.8K -638.7K -2.1K 0.00 126.63 N/A N/A 0 3 440 42 2023-06-06 $38.38 $38.00 23.9% 3.9% 13.0% 12.1% 0.0% 2.4% 2.5% 114.5K -669.6K -2.1K 0.00 126.66 N/A N/A 0 0 440 43 2023-06-07 $38.27 $38.00 24.0% 3.7% 12.9% 12.2% 0.0% 8.7% 3.8% 126.7K -538.0K -1.9K 0.00 126.59 N/A N/A 0 0 440 43 2023-06-08 $38.63 $38.00 23.8% 8.4% 13.4% 11.9% 0.0% 5.0% -3.1% 132.9K -743.8K -2.0K 0.00 127.85 N/A N/A 0 0 440 44 2023-06-09 $38.45 $38.00 24.4% 3.8% 13.4% 12.8% 0.0% 1.5% 0.8% 143.4K -654.3K -1.9K 0.00 128.81 N/A N/A 50 0 440 44 2023-06-12 $38.58 $38.00 31.2% 8.7% 13.5% 22.0% 0.0% 4.9% -3.0% 134.5K -665.6K -1.7K 0.00 128.47 N/A N/A 1 0 420 44 2023-06-13 $38.84 $38.00 33.6% 8.8% 13.4% 25.2% 0.0% -5.0% -1.1% 127.8K -750.6K -1.6K 0.00 127.91 N/A N/A 0 0 421 44 2023-06-14 $38.98 $38.00 30.6% 8.8% 13.1% 21.2% 12.0% -13.3% -2.9% 142.2K -808.0K -1.5K 1.00 124.16 N/A N/A 1 1 421 44 2023-06-15 $39.51 $38.00 28.9% 8.3% 14.0% 18.9% 0.0% 27.2% -4.2% 106.0K -1.0M -1.1K 0.00 126.48 N/A N/A 0 0 422 45 2023-06-16 $39.50 $38.00 30.9% 8.9% 13.9% 21.6% 0.0% -16.0% -3.5% 161.3K -1.0M -1.3K 0.00 127.22 N/A N/A 2 0 422 45 2023-06-20 $38.27 $38.00 15.7% 4.5% 17.8% 1.0% 0.0% 7.0% 5.2% 28.0K -285.3K -1.3K 0.00 126.14 N/A N/A 0 0 172 15 2023-06-21 $38.23 $38.00 36.0% 10.3% 17.8% 28.5% 0.0% -4.1% 1.2% 25.9K -262.8K -1.3K 0.00 124.57 N/A N/A 0 2 172 15 2023-06-22 $38.03 $38.00 36.8% 10.6% 17.4% 29.6% 0.0% -4.9% -1.1% 25.5K -245.8K -1.3K 0.00 127.28 N/A N/A 0 0 172 17 2023-06-23 $37.59 $38.00 37.2% 10.7% 16.9% 30.1% 0.0% 5.3% -1.3% 22.7K -208.3K -1.2K 0.00 128.31 N/A N/A 0 0 172 17 2023-06-26 $37.69 $38.00 39.2% 11.2% 16.9% 32.8% 0.0% 7.5% -10.0% 26.4K -220.8K -1.2K 0.00 128.61 N/A N/A 0 0 172 17 2023-06-27 $38.06 $38.00 22.8% 6.5% 16.9% 10.6% 0.0% 7.4% 2.2% 26.0K -221.9K -1.1K 0.00 127.22 N/A N/A 0 0 172 17 2023-06-28 $37.99 $38.00 41.3% 11.8% 16.5% 35.7% 0.0% 3.8% 3.4% 27.3K -241.8K -1.2K 0.00 129.04 N/A N/A 0 0 172 17 2023-06-29 $37.94 $38.00 40.9% 11.7% 16.1% 35.1% 0.0% -6.2% -11.3% 25.3K -240.8K -1.2K 0.00 127.08 N/A N/A 0 0 172 17 2023-06-30 $38.52 $38.00 18.1% 5.2% 16.5% 4.3% 0.0% 1.3% -2.9% 27.8K -284.7K -1.2K 0.00 125.30 N/A N/A 0 0 172 17
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