SPEU Options History — August 2023

In August 2023, SPEU traded between $37.13 and $39.17. ATM implied volatility averaged 14.5%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.9% (HV 20d: 12.6%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2023-08-30: Highest Volume — 10 contracts
  • 2023-08-02: Largest IV spike — 23.6% change
  • 2023-08-17: Highest IV Rank — 7.0%
  • 2023-08-17: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.05$37.13$39.17$39.17$37.94
Max Pain$37.91$37.00$38.00$37.00$38.00
ATM IV14.5%12.6%16.6%13.3%12.6%
Expected Move4.1%3.6%4.7%3.8%3.6%
HV 20d12.6%10.0%16.3%15.6%12.9%
HV 60d15.1%14.9%15.5%15.0%15.1%
IV Rank4.4%1.9%7.0%2.9%1.9%
IV Percentile3.7%0.8%9.5%1.2%0.8%
Term Structure0.5%-0.9%1.7%0.3%0.0%
VWIV15.4%15.4%15.4%15.4%15.4%
Skew 25d4.2%-2.2%13.9%2.5%4.2%
Skew 10d8.2%-1.9%24.9%3.0%3.9%
Call IV 25d13.0%10.7%17.1%13.2%11.0%
Put IV 25d17.2%11.0%27.9%15.7%15.2%
Bid-Ask Spread %79.0961.17100.6697.8376.31
Gamma HHI0.700.520.830.810.59
Net GEX74.3K42.1K105.0K79.4K74.7K
Net DEX-268.9K-587.7K-58.7K-587.7K-130.0K
Net VEX-871-1.3K-413-1.3K-508
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.001.001.001.001.00
Total Volume0.60901000
Total OI258.609233277272243

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$39.17$37.0013.3%3.8%15.6%2.9%0.0%2.5%0.3%79.4K-587.7K-1.3K0.0097.83N/AN/A0025517
2023-08-02$38.45$37.0016.5%4.7%16.3%7.0%0.0%13.9%-0.9%77.7K-430.0K-1.3K0.00100.66N/AN/A0025517
2023-08-03$38.33$38.0016.2%4.5%14.8%6.6%0.0%5.0%-0.1%80.0K-396.4K-1.3K0.0091.14N/AN/A0025517
2023-08-04$38.40$38.0015.6%4.3%14.6%5.8%0.0%4.3%0.3%83.4K-411.0K-1.3K0.0089.37N/AN/A0025517
2023-08-07$38.74$38.0013.9%3.9%14.8%3.6%15.4%4.7%1.2%94.0K-479.8K-1.2K1.0090.56N/AN/A1125517
2023-08-08$38.58$38.0014.0%4.1%14.5%3.7%0.0%4.4%0.3%90.1K-429.5K-1.2K0.0091.97N/AN/A0025518
2023-08-09$38.67$38.0014.2%4.1%11.8%4.0%0.0%5.0%0.3%90.5K-468.2K-1.2K0.0089.63N/AN/A0025718
2023-08-10$38.73$38.0013.6%3.9%10.0%3.3%0.0%4.2%0.9%100.7K-485.9K-1.2K1.0069.02N/AN/A1125718
2023-08-11$38.42$38.0015.3%4.4%10.2%5.4%0.0%4.7%0.4%92.2K-379.9K-1.2K0.0062.63N/AN/A0025819
2023-08-14$38.36$38.0014.9%4.3%10.2%4.9%0.0%4.1%0.3%93.0K-338.2K-1.0K0.0090.51N/AN/A0025819
2023-08-15$37.81$38.0014.5%4.2%11.0%4.4%0.0%4.0%0.4%77.9K-167.7K-7720.0092.17N/AN/A0025819
2023-08-16$37.68$38.0014.4%4.1%11.0%4.3%0.0%3.9%1.1%59.7K-187.9K-8060.0061.17N/AN/A0025819
2023-08-17$37.30$38.0016.6%4.7%11.3%7.0%0.0%4.4%0.6%46.7K-156.2K-7820.0086.10N/AN/A0025619
2023-08-18$37.31$38.0016.3%4.7%11.1%6.7%0.0%6.4%-0.3%44.7K-85.9K-5510.0069.32N/AN/A0025619
2023-08-21$37.49$38.0015.8%4.5%11.4%6.1%0.0%2.5%1.0%54.9K-113.5K-5850.0067.49N/AN/A0021617
2023-08-22$37.30$38.0015.2%4.4%11.3%5.4%0.0%5.0%0.3%47.8K-78.3K-5080.0066.69N/AN/A0021617
2023-08-23$37.66$38.0013.1%3.8%12.1%2.6%0.0%4.8%0.7%61.1K-128.4K-5980.0074.52N/AN/A0021617
2023-08-24$37.13$38.0014.8%4.2%12.7%4.7%0.0%3.6%0.1%42.1K-58.7K-4250.0081.03N/AN/A0021617
2023-08-25$37.41$38.0014.8%4.2%12.6%4.8%0.0%5.5%0.4%46.8K-61.4K-4130.0065.55N/AN/A0021617
2023-08-28$37.74$38.0012.7%3.6%13.3%2.1%0.0%3.1%0.4%64.5K-114.4K-4880.0067.75N/AN/A0021617
2023-08-29$38.30$38.0012.8%3.7%14.2%2.2%0.0%-2.2%1.2%105.0K-258.7K-6860.0068.84N/AN/A0021617
2023-08-30$38.24$38.0012.8%3.7%12.6%2.2%0.0%-1.8%1.7%101.4K-237.2K-6300.0068.77N/AN/A01021617
2023-08-31$37.94$38.0012.6%3.6%12.9%1.9%0.0%4.2%0.0%74.7K-130.0K-5080.0076.31N/AN/A0021627