SPEU Options History — January 2024 In January 2024, SPEU traded between $38.70 and $40.11. ATM implied volatility averaged 12.4%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.4% (HV 20d: 12.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2024-01-31 : Highest Volume — 1 contracts2024-01-03 : Largest IV spike — 12.3% change2024-01-17 : Highest IV Rank — 4.5%2024-01-17 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $39.56 $38.70 $40.11 $39.76 $39.82 Max Pain $38.81 $37.00 $39.00 $37.00 $39.00 ATM IV 12.4% 10.7% 13.6% 12.1% 13.3% Expected Move 3.6% 3.3% 3.9% 3.5% 3.8% HV 20d 12.9% 12.0% 13.8% 12.0% 12.3% HV 60d 13.5% 12.6% 14.1% 14.1% 12.6% IV Rank 3.1% 0.9% 4.5% 2.6% 4.2% IV Percentile 16.2% 2.0% 27.0% 10.7% 26.6% Term Structure 0.2% -0.9% 1.2% 0.7% -0.2% Skew 25d 2.7% 0.6% 4.2% 3.9% 0.6% Skew 10d 5.4% -0.2% 9.5% 2.9% -0.2% Call IV 25d 11.7% 9.8% 14.5% 10.4% 14.5% Put IV 25d 14.4% 13.4% 15.9% 14.3% 15.1% Bid-Ask Spread % 93.83 88.16 102.56 98.69 98.30 Gamma HHI 0.29 0.24 0.32 0.26 0.32 Net GEX 159 -696 1.6K 776 -397 Net DEX -14.3K -23.1K 945 -19.8K -15.6K Net VEX -252 -300 -196 -285 -218 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 0.048 0 1 0 1 Total OI 134.857 132 137 136 132
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 2024-01-02 $39.76 $37.00 12.1% 3.5% 12.0% 2.6% 0.0% 3.9% 0.7% 776 -19.8K -285 0.00 98.69 N/A N/A 0 0 15 121 2024-01-03 $39.49 $37.00 13.5% 3.9% 12.1% 4.5% 0.0% 1.1% 1.2% 354 -13.7K -300 0.00 100.78 N/A N/A 0 0 15 121 2024-01-04 $39.73 $39.00 12.4% 3.7% 12.2% 3.0% 0.0% 2.8% 0.6% 920 -20.1K -278 0.00 88.16 N/A N/A 0 0 15 121 2024-01-05 $39.64 $39.00 11.6% 3.7% 12.3% 2.0% 0.0% 2.7% 0.3% 890 -17.6K -280 0.00 89.13 N/A N/A 0 0 15 121 2024-01-08 $40.06 $39.00 11.9% 3.6% 12.6% 2.4% 0.0% 4.2% 0.4% 1.2K -23.1K -256 0.00 92.79 N/A N/A 0 0 15 121 2024-01-09 $39.67 $39.00 10.7% 3.5% 13.2% 0.9% 0.0% 2.7% 0.4% 1.0K -17.7K -262 0.00 88.41 N/A N/A 0 0 15 122 2024-01-10 $39.80 $39.00 11.6% 3.3% 13.2% 2.0% 0.0% 3.0% 0.7% 1.2K -20.5K -258 0.00 91.01 N/A N/A 0 0 15 122 2024-01-11 $39.66 $39.00 12.0% 3.4% 13.3% 2.5% 0.0% 2.7% 0.3% 777 -17.7K -261 0.00 93.40 N/A N/A 0 0 15 122 2024-01-12 $39.78 $39.00 11.8% 3.4% 12.6% 2.2% 0.0% 2.5% 0.6% 1.6K -21.8K -247 0.00 94.27 N/A N/A 0 0 15 122 2024-01-16 $39.01 $39.00 13.0% 3.7% 13.5% 3.8% 0.0% 3.1% -0.1% -198 -7.3K -268 0.00 90.74 N/A N/A 0 0 15 122 2024-01-17 $38.70 $39.00 13.6% 3.9% 13.4% 4.5% 0.0% 3.0% -0.4% -681 945 -292 0.00 91.85 N/A N/A 0 0 15 122 2024-01-18 $39.02 $39.00 12.7% 3.6% 13.8% 3.4% 0.0% 2.8% 0.1% -654 -5.7K -266 0.00 91.23 N/A N/A 0 0 15 122 2024-01-19 $39.08 $39.00 12.2% 3.5% 13.3% 2.8% 0.0% 3.1% 0.2% -655 -7.4K -263 0.00 93.00 N/A N/A 0 0 15 122 2024-01-22 $39.16 $39.00 12.4% 3.6% 13.0% 3.0% 0.0% 2.8% 0.4% -696 -5.9K -256 0.00 94.48 N/A N/A 0 0 12 120 2024-01-23 $39.05 $39.00 12.6% 3.6% 12.3% 3.3% 0.0% 2.6% 0.0% -692 -3.5K -253 0.00 93.70 N/A N/A 0 0 12 120 2024-01-24 $39.48 $39.00 13.1% 3.8% 13.0% 3.9% 0.0% 4.1% -0.5% -327 -12.2K -227 0.00 90.30 N/A N/A 0 0 12 120 2024-01-25 $39.58 $39.00 11.9% 3.4% 12.8% 2.4% 0.0% 3.4% 0.3% -393 -11.9K -228 0.00 96.35 N/A N/A 0 0 12 120 2024-01-26 $39.98 $39.00 12.5% 3.6% 13.3% 3.2% 0.0% 1.8% -0.1% -255 -18.5K -204 0.00 95.11 N/A N/A 0 0 12 120 2024-01-29 $40.09 $39.00 13.1% 3.7% 13.2% 3.9% 0.0% 1.9% -0.4% -186 -20.4K -197 0.00 96.19 N/A N/A 0 0 12 120 2024-01-30 $40.11 $39.00 13.5% 3.9% 13.2% 4.4% 0.0% 2.0% -0.9% -201 -20.9K -196 0.00 102.56 N/A N/A 0 0 12 120 2024-01-31 $39.82 $39.00 13.3% 3.8% 12.3% 4.2% 0.0% 0.6% -0.2% -397 -15.6K -218 0.00 98.30 N/A N/A 1 0 12 120
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