SPEU Options History — September 2023 In September 2023, SPEU traded between $35.61 and $37.77. ATM implied volatility averaged 14.0%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.2% (HV 20d: 12.8%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.00.
Notable Days 2023-09-15 : Highest Volume — 10 contracts2023-09-11 : Largest IV spike — 63.9% change2023-09-11 : Highest IV Rank — 11.7%2023-09-25 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $36.89 $35.61 $37.77 $37.77 $36.09 Max Pain $36.75 $35.00 $38.00 $38.00 $37.00 ATM IV 14.0% 11.3% 20.2% 11.9% 13.9% Expected Move 3.8% 3.3% 4.5% 3.4% 4.0% HV 20d 12.8% 10.9% 13.7% 12.9% 12.0% HV 60d 14.3% 13.3% 15.2% 15.1% 13.3% IV Rank 3.8% 0.3% 11.7% 1.1% 3.6% IV Percentile 8.2% 0.4% 31.3% 0.4% 8.3% Term Structure 0.3% -0.6% 0.9% 0.3% 0.2% VWIV 14.5% 12.7% 16.3% 12.7% 16.3% Skew 25d 3.3% 1.1% 5.1% 1.1% 2.8% Skew 10d 6.2% 0.6% 10.8% 3.0% 0.8% Call IV 25d 12.1% 9.8% 14.9% 11.6% 13.4% Put IV 25d 15.4% 12.7% 18.2% 12.7% 16.2% Bid-Ask Spread % 76.11 64.60 95.43 69.13 71.68 Gamma HHI 0.39 0.29 0.71 0.51 0.35 Net GEX 9.9K -4.5K 63.7K 63.7K -4.5K Net DEX 12.2K -81.5K 39.1K -81.5K 22.3K Net VEX -129 -378 -78 -378 -91 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.00 2.00 2.00 0.00 Total Volume 1 0 10 0 0 Total OI 135 22 247 243 26
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-09-01 $37.77 $38.00 11.9% 3.4% 12.9% 1.1% 0.0% 1.1% 0.3% 63.7K -81.5K -378 0.00 69.13 N/A N/A 0 0 216 27 2023-09-05 $37.39 $35.00 13.5% 3.9% 12.8% 3.1% 0.0% 3.1% 0.3% 32.8K -7.7K -206 0.00 64.60 N/A N/A 0 0 216 27 2023-09-06 $37.22 $35.00 13.9% 3.9% 12.8% 3.7% 0.0% 4.7% 0.4% 22.6K 10.9K -173 0.00 66.32 N/A N/A 0 0 216 27 2023-09-07 $37.09 $35.00 14.0% 3.7% 12.7% 3.8% 12.7% 3.3% 0.5% 19.2K 17.6K -147 0.00 66.55 N/A N/A 0 4 216 27 2023-09-08 $37.12 $37.00 12.3% 3.6% 12.7% 1.6% 0.0% 3.6% 0.8% 13.4K 32.9K -141 0.00 90.62 N/A N/A 0 0 216 31 2023-09-11 $37.50 $37.00 20.2% 3.9% 13.2% 11.7% 0.0% 4.8% 0.3% 29.5K 941 -157 0.00 93.39 N/A N/A 0 0 216 31 2023-09-12 $37.28 $37.00 19.4% 3.8% 13.3% 10.7% 0.0% 4.3% 0.5% 16.9K 24.9K -125 0.00 93.08 N/A N/A 0 0 216 31 2023-09-13 $37.07 $37.00 12.9% 3.7% 12.5% 2.4% 0.0% 2.9% 0.6% 8.6K 39.1K -102 0.00 71.61 N/A N/A 0 0 216 31 2023-09-14 $37.55 $37.00 11.3% 3.3% 13.4% 0.3% 0.0% 4.5% 0.9% 22.3K 16.9K -102 0.00 68.24 N/A N/A 0 0 216 31 2023-09-15 $37.48 $37.00 13.1% 3.8% 12.9% 2.6% 0.0% 3.5% 0.1% 2.4K 24.9K -78 0.00 76.97 N/A N/A 0 10 216 31 2023-09-18 $37.03 $37.00 12.4% 3.6% 13.6% 1.7% 0.0% 3.0% 0.9% -2.4K 8.3K -93 0.00 70.18 N/A N/A 0 0 5 17 2023-09-19 $37.09 $37.00 12.5% 3.6% 13.5% 1.8% 0.0% 2.7% 0.5% -2.3K 7.9K -92 2.00 74.67 N/A N/A 1 2 5 17 2023-09-20 $37.19 $37.00 13.1% 3.8% 13.4% 2.6% 0.0% 3.5% 0.1% -1.9K 5.4K -102 0.00 66.93 N/A N/A 0 0 6 19 2023-09-21 $36.69 $37.00 13.3% 3.8% 13.7% 2.8% 0.0% 2.1% 0.2% -2.7K 12.4K -104 0.00 71.60 N/A N/A 0 0 6 19 2023-09-22 $36.56 $37.00 13.0% 3.7% 12.9% 2.4% 0.0% 2.1% 0.5% -3.0K 14.2K -102 0.00 68.35 N/A N/A 0 0 6 19 2023-09-25 $36.28 $37.00 15.6% 4.5% 12.7% 5.9% 0.0% 5.1% -0.6% -3.1K 18.8K -99 0.00 73.34 N/A N/A 1 0 6 19 2023-09-26 $35.84 $37.00 15.2% 4.4% 12.6% 5.3% 16.3% 3.3% -0.3% -3.7K 23.6K -92 0.00 93.92 N/A N/A 0 2 5 19 2023-09-27 $35.61 $37.00 14.4% 4.1% 10.9% 4.3% 0.0% 3.3% -0.3% -4.5K 29.1K -94 0.00 95.43 N/A N/A 0 0 5 21 2023-09-28 $35.98 $37.00 14.0% 4.0% 12.0% 3.7% 0.0% 2.0% 0.4% -4.5K 23.6K -93 0.00 75.68 N/A N/A 0 0 5 21 2023-09-29 $36.09 $37.00 13.9% 4.0% 12.0% 3.6% 0.0% 2.8% 0.2% -4.5K 22.3K -91 0.00 71.68 N/A N/A 0 0 5 21
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