SPEU Options History — November 2023 In November 2023, SPEU traded between $35.20 and $38.45. ATM implied volatility averaged 12.5%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 3.1% (HV 20d: 15.6%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.13.
Notable Days 2023-11-09 : Highest Volume — 30 contracts2023-11-14 : Largest IV drop — 17.5% change2023-11-01 : Highest IV Rank — 6.0%2023-11-01 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $37.19 $35.20 $38.45 $35.20 $38.34 Max Pain $35.90 $34.00 $38.00 $34.00 $34.00 ATM IV 12.5% 10.4% 15.8% 15.8% 12.1% Expected Move 3.6% 3.0% 4.5% 4.5% 3.5% HV 20d 15.6% 14.3% 17.9% 15.0% 14.5% HV 60d 14.8% 13.7% 15.6% 13.7% 14.9% IV Rank 2.3% 0.0% 6.0% 6.0% 2.2% IV Percentile 5.9% 0.0% 19.0% 19.0% 5.6% Term Structure 0.9% -0.2% 2.2% -0.2% 0.5% VWIV 8.2% 8.2% 8.2% 8.2% 8.2% Skew 25d 3.2% 0.9% 4.9% 2.8% 0.9% Skew 10d 4.8% -0.0% 11.3% 3.8% -0.0% Call IV 25d 11.0% 8.5% 15.1% 15.1% 11.7% Put IV 25d 14.2% 11.3% 18.0% 18.0% 12.5% Bid-Ask Spread % 96.19 90.16 100.94 97.80 100.94 Gamma HHI 0.33 0.23 0.50 0.50 0.29 Net GEX -3.3K -6.2K -1.3K -5.9K -2.2K Net DEX 34.1K 17.2K 68.9K 53.4K 23.7K Net VEX -411 -643 -330 -439 -351 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.13 0.00 0.25 0.25 0.00 Total Volume 2.095 0 30 0 0 Total OI 118.667 98 131 98 124
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 2023-11-01 $35.20 $34.00 15.8% 4.5% 15.0% 6.0% 0.0% 2.8% -0.2% -5.9K 53.4K -439 0.00 97.80 N/A N/A 0 0 5 93 2023-11-02 $35.97 $38.00 14.5% 4.0% 16.8% 4.3% 0.0% 4.5% 1.4% -4.5K 39.9K -366 0.25 90.16 N/A N/A 4 1 5 93 2023-11-03 $36.30 $38.00 14.7% 4.1% 16.4% 4.7% 0.0% 3.7% 0.9% -3.5K 32.9K -381 0.00 91.78 N/A N/A 0 4 9 92 2023-11-06 $36.17 $38.00 14.8% 4.1% 16.4% 4.7% 0.0% 3.3% 1.3% -3.6K 33.6K -373 0.00 92.37 N/A N/A 0 0 9 92 2023-11-07 $36.07 $38.00 13.9% 3.9% 15.5% 3.7% 0.0% 4.2% 1.5% -3.8K 35.3K -357 0.00 93.45 N/A N/A 0 0 9 92 2023-11-08 $36.17 $38.00 13.7% 3.9% 15.4% 3.4% 0.0% 4.3% 0.9% -3.6K 33.2K -341 0.00 94.17 N/A N/A 0 0 9 92 2023-11-09 $36.16 $38.00 13.7% 3.9% 14.9% 3.4% 0.0% 4.3% 1.2% -3.5K 30.6K -330 0.00 93.67 N/A N/A 0 30 9 92 2023-11-10 $36.34 $38.00 12.9% 3.7% 14.6% 2.4% 0.0% 4.7% 2.2% -6.2K 68.9K -643 0.00 93.33 N/A N/A 0 0 9 122 2023-11-13 $36.43 $38.00 13.1% 3.8% 14.4% 2.6% 0.0% 4.6% 1.3% -6.1K 65.0K -591 0.00 95.46 N/A N/A 0 0 9 122 2023-11-14 $37.56 $38.00 10.8% 3.1% 17.9% 0.0% 0.0% 4.3% 1.9% -3.5K 38.9K -466 0.00 96.35 N/A N/A 0 0 9 122 2023-11-15 $37.52 $38.00 10.5% 3.0% 16.4% 0.0% 8.2% 4.2% 1.8% -3.6K 38.7K -467 0.00 96.75 N/A N/A 0 1 9 122 2023-11-16 $37.40 $34.00 11.7% 3.3% 16.0% 1.5% 0.0% 2.9% 0.9% -3.4K 37.3K -473 0.00 97.02 N/A N/A 0 0 9 121 2023-11-17 $37.91 $34.00 10.9% 3.1% 15.9% 0.4% 0.0% 1.7% 1.0% -2.3K 26.3K -410 0.00 97.82 N/A N/A 0 0 9 121 2023-11-20 $38.16 $34.00 11.1% 3.2% 15.9% 0.7% 0.0% 2.3% 0.2% -1.9K 22.8K -393 0.00 97.96 N/A N/A 0 0 8 119 2023-11-21 $37.97 $34.00 11.1% 3.2% 16.2% 0.7% 0.0% 2.2% 0.9% -1.9K 24.9K -411 0.00 97.36 N/A N/A 0 0 9 119 2023-11-22 $37.97 $34.00 10.4% 3.0% 15.7% 0.0% 0.0% 4.9% 1.1% -1.8K 23.7K -396 0.00 98.27 N/A N/A 0 0 9 119 2023-11-24 $38.36 $34.00 11.2% 3.2% 15.4% 1.0% 0.0% 1.2% 0.4% -1.3K 17.2K -381 0.00 98.94 N/A N/A 4 0 9 119 2023-11-27 $38.30 $34.00 11.4% 3.3% 14.8% 1.3% 0.0% 1.0% 0.6% -2.4K 24.1K -364 0.00 100.14 N/A N/A 0 0 5 119 2023-11-28 $38.25 $34.00 11.8% 3.4% 14.3% 1.7% 0.0% 2.9% 0.1% -2.4K 24.6K -362 0.00 97.86 N/A N/A 0 0 5 119 2023-11-29 $38.45 $34.00 12.7% 3.6% 14.3% 2.9% 0.0% 1.6% -0.2% -2.1K 21.2K -340 0.00 98.38 N/A N/A 0 0 5 119 2023-11-30 $38.34 $34.00 12.1% 3.5% 14.5% 2.2% 0.0% 0.9% 0.5% -2.2K 23.7K -351 0.00 100.94 N/A N/A 0 0 5 119
« Oct 2023 | All History | Dec 2023 » Home SPEU History November 2023