SPEU Options History — July 2024

In July 2024, SPEU traded between $41.91 and $43.46. ATM implied volatility averaged 12.5%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.8% (HV 20d: 13.2%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.03.

Notable Days

  • 2024-07-12: Highest Volume — 32 contracts
  • 2024-07-09: Largest IV spike — 38.2% change
  • 2024-07-29: Highest IV Rank — 47.8%
  • 2024-07-29: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.58$41.91$43.46$41.95$42.89
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV12.5%9.1%14.2%13.7%12.8%
Expected Move3.6%3.0%4.1%3.9%3.7%
HV 20d13.2%11.7%14.6%13.6%13.6%
HV 60d12.5%12.2%12.7%12.4%12.6%
IV Rank14.3%0.5%47.8%9.9%34.9%
IV Percentile42.6%0.4%74.6%58.3%50.8%
Term Structure0.1%-0.8%0.8%-0.6%0.5%
VWIV14.0%13.7%14.4%13.7%14.4%
Skew 25d3.1%0.8%4.7%1.9%4.4%
Skew 10d5.0%0.4%10.3%1.0%2.5%
Call IV 25d10.8%9.0%13.2%12.7%9.7%
Put IV 25d13.9%12.0%16.2%14.5%14.0%
Bid-Ask Spread %90.4880.11118.0593.00118.05
Gamma HHI0.210.170.270.170.21
Net GEX16.2K-8.2K38.3K6.1K33.2K
Net DEX-72.4K-285.3K87.5K44.0K-137.6K
Net VEX-1.3K-1.6K-1.1K-1.3K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.060.060.00
Total Volume2.68203200
Total OI364.227325408359334

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$41.95$43.0013.7%3.9%13.6%9.9%0.0%1.9%-0.6%6.1K44.0K-1.3K0.0093.00N/AN/A00232127
2024-07-02$41.91$43.0013.4%3.8%13.4%9.3%0.0%1.3%-0.8%6.2K38.9K-1.4K0.0693.34N/AN/A161232127
2024-07-03$42.36$43.0012.9%3.7%14.1%8.4%0.0%2.9%-0.5%13.1K-46.0K-1.5K0.0093.06N/AN/A00248128
2024-07-05$42.75$43.0012.0%3.2%14.2%6.4%0.0%2.8%0.4%19.0K-94.0K-1.5K0.0080.11N/AN/A00248128
2024-07-08$42.59$43.009.1%3.0%14.1%0.5%0.0%3.2%0.8%12.8K-61.4K-1.3K0.0086.40N/AN/A00248128
2024-07-09$42.22$43.0012.6%3.4%13.9%7.7%0.0%4.2%0.4%10.4K1.6K-1.3K0.0085.30N/AN/A00248128
2024-07-10$42.69$43.0010.8%3.1%14.6%4.0%0.0%2.8%0.8%13.7K-78.5K-1.4K0.0086.95N/AN/A00248128
2024-07-11$42.97$43.0011.1%3.2%14.3%7.4%0.0%2.6%0.7%15.6K-154.6K-1.4K0.0085.51N/AN/A00248128
2024-07-12$43.46$43.0012.3%3.5%13.9%11.3%0.0%0.8%-0.0%37.0K-285.3K-1.5K0.0094.85N/AN/A032248128
2024-07-15$43.00$43.0011.3%3.2%13.5%8.0%0.0%2.8%0.6%2.9K-130.2K-1.6K0.0086.10N/AN/A00248160
2024-07-16$43.08$43.0011.1%3.2%12.0%7.5%0.0%2.8%0.7%1.9K-134.2K-1.5K0.0090.49N/AN/A00248160
2024-07-17$42.89$43.0011.9%3.4%11.7%10.2%0.0%3.1%0.1%-8.2K-98.4K-1.5K0.0090.65N/AN/A10248160
2024-07-18$42.60$43.0012.4%3.5%11.9%11.5%0.0%2.9%0.1%-1.1K1.2K-1.4K0.0088.24N/AN/A00247160
2024-07-19$42.31$43.0013.6%3.9%12.0%15.5%0.0%4.7%-0.3%16.8K87.5K-1.2K0.0093.02N/AN/A00247160
2024-07-22$42.89$43.0012.4%3.6%12.7%11.7%0.0%2.0%-0.1%38.3K-143.3K-1.3K0.0086.69N/AN/A0022798
2024-07-23$42.55$43.0012.0%3.4%12.8%10.3%0.0%4.2%0.0%29.5K-97.9K-1.2K0.0090.66N/AN/A0022798
2024-07-24$42.17$43.0014.1%4.0%13.2%17.0%0.0%3.3%-0.6%21.3K-51.6K-1.2K0.0087.19N/AN/A0022798
2024-07-25$42.11$43.0013.9%4.0%12.6%16.5%0.0%4.3%-0.0%20.4K-47.7K-1.1K0.0085.61N/AN/A0022798
2024-07-26$42.55$43.0012.5%3.6%13.1%11.9%13.7%4.2%-0.1%28.5K-97.5K-1.2K0.0092.17N/AN/A0822798
2024-07-29$42.33$43.0014.2%4.1%13.2%47.8%0.0%4.1%-0.6%19.0K-46.8K-1.1K0.0090.44N/AN/A00227106
2024-07-30$42.40$43.0014.1%4.1%13.0%46.9%14.4%3.7%0.0%20.5K-61.4K-1.1K0.0092.67N/AN/A01227106
2024-07-31$42.89$43.0012.8%3.7%13.6%34.9%0.0%4.4%0.5%33.2K-137.6K-1.2K0.00118.05N/AN/A00227107