SPEU Options History — September 2024 In September 2024, SPEU traded between $42.84 and $44.80. ATM implied volatility averaged 12.6%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.6% (HV 20d: 13.2%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days.
Notable Days 2024-09-10 : Highest Volume — 1 contracts2024-09-04 : Largest IV spike — 29.0% change2024-09-05 : Highest IV Rank — 57.0%2024-09-06 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $43.75 $42.84 $44.80 $43.53 $44.36 Max Pain $42.00 $42.00 $42.00 $42.00 $42.00 ATM IV 12.6% 10.6% 15.3% 11.2% 13.6% Expected Move 3.5% 3.0% 4.2% 3.2% 3.9% HV 20d 13.2% 12.1% 15.3% 12.5% 15.3% HV 60d 14.4% 13.8% 15.0% 15.0% 14.8% IV Rank 33.8% 16.1% 57.0% 21.1% 43.8% IV Percentile 45.3% 7.1% 83.3% 22.6% 66.7% Term Structure 1.2% -1.5% 2.7% 0.2% 1.7% Skew 25d 3.0% -4.0% 5.7% 2.1% 4.5% Skew 10d 5.8% -2.4% 13.2% 1.6% 4.3% Call IV 25d 11.3% 8.6% 15.8% 10.7% 11.5% Put IV 25d 14.3% 9.2% 17.5% 12.8% 16.0% Bid-Ask Spread % 88.37 68.39 106.75 101.48 95.78 Gamma HHI 0.34 0.22 0.91 0.27 0.22 Net GEX 33.4K -2.4K 89.7K 47.7K -2.1K Net DEX -103.4K -301.0K -13.2K -159.0K -16.0K Net VEX -259 -542 -90 -495 -107 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.15 0 1 0 0 Total OI 245.3 54 327 327 55
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 2024-09-03 $43.53 $42.00 11.2% 3.2% 12.5% 21.1% 0.0% 2.1% 0.2% 47.7K -159.0K -495 0.00 101.48 N/A N/A 0 0 223 104 2024-09-04 $43.47 $42.00 14.5% 4.2% 12.5% 49.9% 0.0% 4.4% -0.6% 43.3K -138.8K -504 0.00 104.20 N/A N/A 0 0 223 104 2024-09-05 $43.39 $42.00 15.3% 4.0% 12.6% 57.0% 0.0% 4.0% -0.0% 40.0K -126.6K -542 0.00 68.39 N/A N/A 0 0 223 104 2024-09-06 $42.84 $42.00 15.1% 4.2% 13.2% 55.4% 0.0% 5.7% 0.5% 20.0K -57.8K -439 0.00 106.75 N/A N/A 0 0 223 104 2024-09-09 $43.09 $42.00 14.8% 3.9% 13.2% 52.8% 0.0% 4.8% 0.6% 27.9K -80.6K -434 0.00 71.09 N/A N/A 0 0 223 104 2024-09-10 $42.87 $42.00 14.4% 3.8% 13.4% 49.3% 0.0% 4.9% 0.7% 16.5K -45.4K -389 0.00 73.33 N/A N/A 0 1 223 104 2024-09-11 $43.05 $42.00 13.4% 3.8% 12.7% 40.4% 0.0% 3.5% -0.0% 22.9K -73.7K -309 0.00 77.14 N/A N/A 0 0 223 104 2024-09-12 $43.41 $42.00 13.0% 3.7% 12.9% 38.6% 0.0% 4.8% 1.1% 40.9K -116.4K -282 0.00 83.73 N/A N/A 0 0 223 104 2024-09-13 $43.64 $42.00 11.6% 3.3% 12.5% 25.4% 0.0% 3.5% 2.0% 49.6K -144.8K -269 0.00 80.67 N/A N/A 0 0 223 104 2024-09-16 $43.94 $42.00 12.4% 3.6% 12.6% 33.0% 0.0% 3.8% 1.3% 66.2K -195.2K -227 0.00 81.22 N/A N/A 0 1 223 104 2024-09-17 $43.78 $42.00 12.2% 3.5% 12.2% 31.4% 0.0% 4.3% 1.6% 61.4K -172.2K -210 0.00 80.85 N/A N/A 0 0 223 104 2024-09-18 $43.76 $42.00 11.7% 3.4% 12.1% 26.5% 0.0% 3.3% 1.6% 69.1K -179.5K -175 0.00 88.71 N/A N/A 0 0 223 104 2024-09-19 $44.47 $42.00 11.4% 3.3% 13.1% 23.9% 0.0% -4.0% -1.5% 89.7K -301.0K -150 0.00 98.06 N/A N/A 0 0 223 104 2024-09-20 $43.89 $42.00 11.1% 3.2% 13.9% 20.5% 0.0% 1.4% 2.2% 85.7K -179.7K -113 0.00 91.78 N/A N/A 0 0 223 104 2024-09-23 $43.78 $42.00 11.0% 3.2% 12.7% 20.1% 0.0% 2.0% 2.4% -2.3K -13.3K -120 0.00 91.76 N/A N/A 0 0 7 47 2024-09-24 $44.17 $42.00 11.8% 3.4% 13.2% 27.4% 0.0% 3.2% 1.6% -2.0K -16.4K -105 0.00 89.53 N/A N/A 0 1 7 47 2024-09-25 $43.93 $42.00 11.5% 3.3% 13.2% 24.9% 0.0% 3.0% 2.4% -2.4K -13.2K -121 0.00 93.17 N/A N/A 0 0 7 48 2024-09-26 $44.80 $42.00 10.9% 3.1% 14.9% 19.1% 0.0% -2.8% 2.5% -1.8K -19.5K -90 0.00 98.29 N/A N/A 0 0 7 48 2024-09-27 $44.78 $42.00 10.6% 3.0% 14.8% 16.1% 0.0% 4.4% 2.7% -1.7K -19.2K -91 0.00 91.36 N/A N/A 0 0 7 48 2024-09-30 $44.36 $42.00 13.6% 3.9% 15.3% 43.8% 0.0% 4.5% 1.7% -2.1K -16.0K -107 0.00 95.78 N/A N/A 0 0 7 48
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