SUSA Options History — May 2021

In May 2021, SUSA traded between $89.71 and $93.42. ATM implied volatility averaged 18.0%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.5% (HV 20d: 17.5%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 17 of 17 trading days. Term structure was in contango for 12 of 17 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-05-20: Highest Volume — 4 contracts
  • 2021-05-11: Largest IV spike — 74.7% change
  • 2021-05-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.98$89.71$93.42$92.24$93.22
Max Pain$91.47$91.00$92.00$92.00$91.00
ATM IV18.0%14.4%35.0%17.6%15.1%
Expected Move4.8%4.1%6.9%4.4%4.3%
HV 20d17.5%17.2%17.8%17.8%17.2%
Term Structure0.8%-2.1%5.2%1.7%0.2%
VWIV17.6%17.6%17.6%17.6%17.6%
Skew 25d5.4%2.6%9.7%3.7%3.3%
Skew 10d5.7%2.9%12.1%4.4%2.9%
Call IV 25d12.5%10.6%15.7%12.0%11.9%
Put IV 25d17.9%14.6%25.2%15.7%15.3%
Bid-Ask Spread %127.98123.35134.74128.89129.80
Gamma HHI0.270.210.290.290.25
Net GEX2.1K1.3K3.3K2.4K1.9K
Net DEX-19.9K-35.9K-2.4K-15.8K-35.9K
Net VEX-207-275-164-179-266
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2940400
Total OI9.647813812

Daily Data (17 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-06$92.24$92.0017.6%4.4%0.0%0.0%0.0%3.7%1.7%2.4K-15.8K-1790.00128.89N/AN/A0062
2021-05-07$93.42$92.0016.8%4.1%0.0%0.0%0.0%3.1%1.8%2.5K-20.8K-1810.00128.62N/AN/A0062
2021-05-10$92.86$92.0020.0%4.2%0.0%0.0%0.0%5.9%2.9%2.3K-18.9K-1780.00130.28N/AN/A0062
2021-05-11$91.54$92.0035.0%6.9%0.0%0.0%0.0%9.5%-2.1%1.6K-14.8K-1740.00134.74N/AN/A0062
2021-05-12$89.71$92.0021.1%6.0%0.0%0.0%0.0%7.7%0.2%1.6K-8.8K-1640.00123.80N/AN/A0062
2021-05-13$91.00$92.0018.1%5.2%0.0%0.0%0.0%7.0%0.6%2.1K-11.3K-1680.00127.12N/AN/A0062
2021-05-14$92.00$92.0016.1%4.6%0.0%0.0%0.0%3.4%0.8%2.6K-14.9K-1730.00129.72N/AN/A0062
2021-05-17$91.61$92.0017.9%5.1%0.0%0.0%17.6%9.7%-0.1%2.4K-13.9K-1670.00123.35N/AN/A0162
2021-05-18$91.24$91.0016.1%4.6%0.0%0.0%0.0%5.0%5.2%1.7K-7.5K-1750.00123.70N/AN/A0063
2021-05-19$90.22$91.0019.2%5.5%0.0%0.0%0.0%4.8%0.0%1.3K-2.4K-1670.00125.42N/AN/A0063
2021-05-20$91.85$91.0016.1%4.6%0.0%0.0%0.0%4.7%2.7%2.0K-9.8K-1750.00124.18N/AN/A4063
2021-05-21$91.74$91.0017.0%4.9%0.0%0.0%0.0%5.6%-0.6%3.3K-30.6K-2750.00126.19N/AN/A00103
2021-05-24$92.81$91.0014.4%4.1%0.0%0.0%0.0%2.6%0.8%1.8K-32.9K-2700.00125.62N/AN/A0093
2021-05-25$92.59$91.0015.1%4.3%0.0%0.0%0.0%5.3%0.0%1.9K-32.4K-2690.00131.09N/AN/A0093
2021-05-26$92.78$91.0015.2%4.3%0.0%0.0%0.0%5.6%-0.2%1.9K-33.4K-2680.00131.52N/AN/A0093
2021-05-27$92.88$91.0014.8%4.2%17.8%0.0%0.0%5.0%-1.2%2.0K-34.4K-2680.00131.71N/AN/A0093
2021-05-28$93.22$91.0015.1%4.3%17.2%0.0%0.0%3.3%0.2%1.9K-35.9K-2660.00129.80N/AN/A0093