SPEU Options History — July 2023

In July 2023, SPEU traded between $37.24 and $39.64. ATM implied volatility averaged 25.5%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.0% (HV 20d: 17.4%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2023-07-24: Highest Volume — 134 contracts
2023-07-10: Largest IV spike — 156.7% change
2023-07-10: Highest IV Rank — 58.0%
2023-07-05: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.96	$37.24	$39.64	$38.45	$39.59
Max Pain	$37.10	$37.00	$38.00	$38.00	$37.00
ATM IV	25.5%	11.1%	57.8%	20.8%	11.9%
Expected Move	7.2%	3.2%	13.8%	6.0%	3.4%
HV 20d	17.4%	15.1%	20.7%	16.0%	15.1%
HV 60d	14.9%	13.8%	15.5%	13.8%	14.9%
IV Rank	15.2%	0.0%	58.0%	7.9%	1.1%
IV Percentile	42.1%	0.0%	99.2%	26.2%	0.4%
Term Structure	-0.9%	-9.3%	4.8%	1.8%	0.1%
VWIV	29.8%	24.3%	35.2%	35.2%	24.3%
Skew 25d	0.2%	-15.3%	26.2%	-1.4%	2.3%
Skew 10d	3.5%	-4.8%	23.2%	-0.2%	2.0%
Call IV 25d	18.4%	10.4%	27.6%	21.1%	11.0%
Put IV 25d	18.5%	12.3%	50.7%	19.6%	13.3%
Bid-Ask Spread %	121.92	98.33	128.07	127.72	99.59
Gamma HHI	0.56	0.38	0.81	0.42	0.81
Net GEX	39.3K	24.1K	75.1K	29.5K	74.3K
Net DEX	-369.4K	-700.1K	-180.5K	-273.4K	-700.1K
Net VEX	-1.1K	-1.4K	-870	-1.2K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	8.8	0	134	0	0
Total OI	203.2	158	272	189	272

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-07-03	$38.45	$38.00	20.8%	6.0%	16.0%	7.9%	0.0%	-1.4%	1.8%	29.5K	-273.4K	-1.2K	127.72	N/A	N/A	0	0	172	17
2023-07-05	$37.94	$38.00	48.2%	13.8%	16.6%	45.0%	35.2%	-15.3%	-9.3%	25.6K	-238.4K	-1.1K	127.80	N/A	N/A	0	3	172	17
2023-07-06	$37.24	$37.00	20.6%	4.9%	17.7%	7.6%	0.0%	3.9%	1.6%	25.3K	-180.5K	-1.1K	122.44	N/A	N/A	1	0	172	20
2023-07-07	$37.53	$37.00	22.5%	9.1%	18.0%	10.2%	0.0%	-1.3%	-1.6%	24.1K	-190.8K	-1.1K	124.02	N/A	N/A	0	0	172	20
2023-07-10	$37.71	$37.00	57.8%	9.3%	17.7%	58.0%	0.0%	-8.0%	1.0%	26.5K	-197.9K	-1.0K	128.07	N/A	N/A	0	0	172	20
2023-07-11	$38.08	$37.00	22.7%	10.0%	18.1%	10.5%	0.0%	-4.6%	-0.6%	28.4K	-238.7K	-1.1K	127.38	N/A	N/A	0	0	172	20
2023-07-12	$38.99	$37.00	14.5%	4.2%	20.0%	0.0%	0.0%	1.7%	-2.0%	34.6K	-369.4K	-1.1K	124.16	N/A	N/A	0	0	172	20
2023-07-13	$39.64	$37.00	31.7%	9.1%	20.6%	23.1%	0.0%	-2.7%	-1.1%	35.7K	-404.8K	-1.0K	126.30	N/A	N/A	0	1	172	20
2023-07-14	$39.45	$37.00	21.0%	6.0%	20.7%	8.7%	0.0%	3.8%	-3.5%	30.6K	-403.5K	-1.1K	126.00	N/A	N/A	35	0	172	21
2023-07-17	$39.38	$37.00	14.7%	4.2%	20.2%	0.2%	0.0%	6.0%	4.8%	34.4K	-288.0K	-897	125.49	N/A	N/A	0	0	144	21
2023-07-18	$39.55	$37.00	33.6%	9.6%	20.2%	25.6%	0.0%	0.9%	-5.4%	34.0K	-305.3K	-870	125.73	N/A	N/A	0	0	144	21
2023-07-19	$39.56	$37.00	34.7%	10.0%	16.4%	27.2%	0.0%	-4.5%	-2.1%	26.9K	-316.2K	-920	126.08	N/A	N/A	0	0	144	21
2023-07-20	$39.40	$37.00	16.8%	4.8%	16.5%	3.1%	0.0%	0.5%	2.7%	26.0K	-306.5K	-918	125.59	N/A	N/A	0	0	144	21
2023-07-21	$39.53	$37.00	36.3%	10.4%	16.3%	29.4%	0.0%	-6.8%	-4.2%	28.9K	-309.6K	-890	127.11	N/A	N/A	0	0	144	21
2023-07-24	$39.36	$37.00	22.3%	6.4%	15.7%	10.4%	24.3%	-2.3%	-4.2%	28.1K	-304.3K	-882	126.03	N/A	N/A	134	0	143	15
2023-07-25	$39.48	$37.00	15.8%	4.5%	15.7%	1.6%	0.0%	-0.1%	0.1%	67.6K	-573.4K	-1.4K	126.23	N/A	N/A	0	2	255	15
2023-07-26	$39.50	$37.00	39.5%	11.3%	15.5%	33.6%	0.0%	26.2%	2.3%	60.8K	-498.8K	-1.3K	125.31	N/A	N/A	0	0	255	17
2023-07-27	$39.26	$37.00	12.8%	3.7%	15.7%	0.0%	0.0%	3.0%	0.8%	75.1K	-613.5K	-1.4K	98.33	N/A	N/A	0	0	255	17
2023-07-28	$39.59	$37.00	11.1%	3.2%	15.8%	0.0%	0.0%	2.0%	-0.0%	69.5K	-675.7K	-1.3K	99.07	N/A	N/A	0	0	255	17
2023-07-31	$39.59	$37.00	11.9%	3.4%	15.1%	1.1%	0.0%	2.3%	0.1%	74.3K	-700.1K	-1.2K	99.59	N/A	N/A	0	0	255	17