SPEU Options History — December 2023 In December 2023, SPEU traded between $38.46 and $40.52. ATM implied volatility averaged 11.7%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.1% (HV 20d: 11.6%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2023-12-04 : Highest Volume — 7 contracts2023-12-05 : Largest IV spike — 41.8% change2023-12-05 : Highest IV Rank — 5.3%2023-12-12 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $39.47 $38.46 $40.52 $38.75 $40.36 Max Pain $36.90 $34.00 $38.00 $34.00 $37.00 ATM IV 11.7% 10.0% 14.2% 10.6% 11.6% Expected Move 4.1% 3.0% 9.0% 3.0% 3.3% HV 20d 11.6% 9.3% 13.5% 13.2% 10.8% HV 60d 14.5% 13.7% 15.1% 15.0% 13.7% IV Rank 2.2% 0.0% 5.3% 0.3% 2.0% IV Percentile 7.1% 0.0% 19.8% 0.8% 7.9% Term Structure 0.9% -8.0% 5.6% 0.2% 1.6% VWIV 11.9% 10.7% 13.4% 13.4% 10.7% Skew 25d 1.4% -19.0% 4.8% 2.9% 2.6% Skew 10d 7.2% 0.7% 55.3% 3.6% 5.3% Call IV 25d 11.1% 8.8% 20.5% 11.0% 11.0% Put IV 25d 12.4% 1.6% 14.1% 13.8% 13.6% Bid-Ask Spread % 97.53 85.86 124.93 101.44 97.03 Gamma HHI 0.25 0.21 0.31 0.30 0.26 Net GEX -580 -2.3K 1.1K -1.9K 612 Net DEX -2.6K -30.5K 25.8K 17.9K -26.3K Net VEX -304 -363 -247 -319 -267 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.00 6.00 6.00 0.00 Total Volume 1.2 0 7 2 0 Total OI 131.5 124 136 124 136
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 2023-12-01 $38.75 $34.00 10.6% 3.0% 13.2% 0.3% 0.0% 2.9% 0.2% -1.9K 17.9K -319 0.00 101.44 N/A N/A 0 2 5 119 2023-12-04 $38.53 $38.00 10.0% 3.2% 13.5% 0.0% 13.4% 2.2% 1.6% -2.0K 21.1K -324 6.00 85.86 N/A N/A 1 6 5 119 2023-12-05 $38.46 $37.00 14.2% 3.5% 13.4% 5.3% 0.0% 3.0% 1.8% -2.3K 25.8K -357 0.00 94.12 N/A N/A 0 0 6 123 2023-12-06 $38.48 $37.00 12.2% 3.6% 13.2% 2.8% 0.0% 2.1% 0.9% -2.3K 23.6K -357 0.00 91.98 N/A N/A 0 0 6 123 2023-12-07 $38.69 $37.00 12.3% 3.3% 13.2% 3.0% 0.0% 2.1% 1.3% -1.8K 24.4K -363 0.00 93.98 N/A N/A 1 0 6 123 2023-12-08 $38.85 $37.00 10.7% 8.6% 13.2% 0.8% 0.0% -19.0% -8.0% -1.4K 16.6K -326 0.00 97.52 N/A N/A 0 0 7 123 2023-12-11 $38.88 $37.00 12.7% 8.3% 13.2% 3.4% 0.0% 4.8% 5.6% -1.5K 21.5K -351 0.00 124.93 N/A N/A 0 0 7 123 2023-12-12 $38.95 $37.00 14.1% 9.0% 13.2% 5.2% 0.0% -1.1% 0.5% -1.8K 17.0K -326 0.00 96.41 N/A N/A 0 0 7 123 2023-12-13 $39.46 $37.00 11.3% 3.2% 9.3% 1.6% 0.0% 3.3% 1.6% -1.6K 8.9K -300 0.00 93.84 N/A N/A 5 0 7 123 2023-12-14 $39.97 $37.00 11.0% 3.2% 9.9% 1.3% 0.0% 1.0% 0.6% -230 -14.4K -274 0.00 97.64 N/A N/A 1 0 12 123 2023-12-15 $39.58 $37.00 11.5% 3.3% 10.7% 1.9% 11.6% 3.8% 0.6% -392 -12.2K -298 0.00 97.90 N/A N/A 3 0 13 123 2023-12-18 $39.53 $37.00 10.9% 3.1% 10.0% 1.1% 10.7% 1.5% 1.2% 209 -11.0K -295 0.00 93.73 N/A N/A 1 0 13 119 2023-12-19 $39.92 $37.00 11.1% 3.2% 10.3% 1.4% 0.0% 2.0% 1.0% 420 -16.5K -285 0.00 92.22 N/A N/A 0 0 13 119 2023-12-20 $39.59 $37.00 11.0% 3.2% 10.6% 1.3% 0.0% 2.8% 1.2% 318 -13.3K -308 0.00 103.87 N/A N/A 2 0 13 119 2023-12-21 $40.03 $37.00 11.8% 3.4% 11.1% 2.3% 0.0% 1.8% 1.2% 755 -22.1K -302 0.00 96.83 N/A N/A 0 0 15 119 2023-12-22 $40.09 $37.00 11.9% 3.4% 10.7% 2.4% 0.0% 2.1% 0.9% 1.1K -26.9K -247 0.00 100.41 N/A N/A 0 0 15 119 2023-12-26 $40.38 $37.00 12.2% 3.5% 10.7% 2.8% 0.0% 3.1% 1.3% 881 -28.4K -263 0.00 97.56 N/A N/A 0 0 15 119 2023-12-27 $40.52 $37.00 11.1% 3.2% 10.6% 1.4% 0.0% 3.1% 1.9% 871 -30.5K -257 0.00 98.05 N/A N/A 0 2 15 119 2023-12-28 $40.31 $37.00 12.4% 3.6% 11.0% 3.1% 0.0% 3.1% 0.4% 529 -26.5K -268 0.00 95.36 N/A N/A 0 0 15 121 2023-12-29 $40.36 $37.00 11.6% 3.3% 10.8% 2.0% 0.0% 2.6% 1.6% 612 -26.3K -267 0.00 97.03 N/A N/A 0 0 15 121
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