SUSA Options History — June 2021 In June 2021, SUSA traded between $92.64 and $95.56. ATM implied volatility averaged 14.5%. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.7% (HV 20d: 10.8%). Max pain ranged from $91.00 to $91.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.25.
Notable Days 2021-06-23 : Highest Volume — 10 contracts2021-06-28 : Largest IV spike — 43.1% change2021-06-28 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $93.99 $92.64 $95.56 $93.06 $95.56 Max Pain $91.00 $91.00 $91.00 $91.00 $91.00 ATM IV 14.5% 12.9% 19.3% 15.6% 14.3% Expected Move 4.1% 3.7% 5.5% 4.5% 4.1% HV 20d 10.8% 7.5% 16.7% 16.7% 7.6% Term Structure -0.1% -4.6% 2.1% -0.6% -2.2% Skew 25d 4.5% 1.9% 7.9% 4.2% 4.6% Skew 10d 5.2% 1.6% 14.5% 3.2% 4.3% Call IV 25d 10.9% 7.4% 13.4% 12.0% 11.1% Put IV 25d 15.3% 13.4% 18.8% 16.2% 15.7% Bid-Ask Spread % 129.97 123.06 142.67 129.38 133.41 Gamma HHI 0.31 0.25 0.40 0.25 0.40 Net GEX 2.1K 1.8K 2.5K 2.0K 2.1K Net DEX -39.2K -43.0K -33.7K -37.1K -42.8K Net VEX -239 -262 -216 -262 -216 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.25 0.25 0.25 0.25 0.25 Total Volume 0.909 0 10 0 0 Total OI 11.273 10 12 12 10
Daily Data (22 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 2021-06-01 $93.06 $91.00 15.6% 4.5% 16.7% 0.0% 0.0% 4.2% -0.6% 2.0K -37.1K -262 0.00 129.38 N/A N/A 0 0 9 3 2021-06-02 $93.11 $91.00 16.4% 4.7% 16.2% 0.0% 0.0% 5.3% -2.7% 2.1K -35.4K -261 0.00 133.55 N/A N/A 0 0 9 3 2021-06-03 $92.86 $0.00 16.9% 3.9% 15.8% 0.0% 0.0% 4.7% 2.1% 2.0K -33.7K -258 0.00 130.17 N/A N/A 0 0 9 3 2021-06-04 $93.79 $0.00 14.3% 3.9% 15.8% 0.0% 0.0% 5.0% 2.1% 2.1K -39.1K -254 0.00 128.28 N/A N/A 0 0 9 3 2021-06-07 $93.69 $0.00 15.7% 4.2% 15.1% 0.0% 0.0% 5.2% 1.0% 2.0K -39.6K -252 0.00 123.88 N/A N/A 0 0 9 3 2021-06-08 $93.82 $0.00 17.5% 4.0% 15.0% 0.0% 0.0% 4.3% 1.0% 2.1K -40.3K -250 0.00 123.06 N/A N/A 0 0 9 3 2021-06-09 $93.56 $0.00 13.0% 3.7% 14.0% 0.0% 0.0% 3.9% 2.0% 2.1K -38.9K -249 0.00 130.10 N/A N/A 0 0 9 3 2021-06-10 $93.82 $0.00 13.0% 3.7% 11.5% 0.0% 0.0% 4.4% 0.5% 2.2K -41.1K -248 0.00 131.93 N/A N/A 0 0 9 3 2021-06-11 $93.95 $0.00 14.0% 4.0% 10.6% 0.0% 0.0% 4.3% 1.2% 2.2K -42.0K -246 0.00 126.59 N/A N/A 0 0 9 3 2021-06-14 $94.11 $0.00 13.6% 3.9% 10.0% 0.0% 0.0% 3.4% -0.4% 2.3K -42.5K -241 0.00 128.87 N/A N/A 0 0 9 3 2021-06-15 $94.18 $0.00 13.3% 3.8% 9.8% 0.0% 0.0% 3.3% -0.2% 2.3K -43.0K -240 0.00 128.91 N/A N/A 0 0 9 3 2021-06-16 $93.70 $0.00 13.1% 3.8% 9.9% 0.0% 0.0% 4.2% 0.8% 2.3K -40.2K -239 0.00 127.44 N/A N/A 0 0 9 3 2021-06-17 $93.65 $0.00 13.0% 3.7% 8.7% 0.0% 0.0% 5.1% 0.9% 2.5K -40.3K -236 0.00 131.24 N/A N/A 0 0 9 3 2021-06-18 $92.64 $0.00 13.5% 3.9% 7.6% 0.0% 0.0% 2.6% 1.6% 2.5K -35.9K -236 0.00 129.85 N/A N/A 0 0 9 3 2021-06-21 $93.54 $0.00 13.9% 4.0% 8.2% 0.0% 0.0% 1.9% -2.2% 2.1K -33.8K -231 0.00 130.21 N/A N/A 0 0 8 2 2021-06-22 $94.20 $0.00 13.7% 3.9% 7.6% 0.0% 0.0% 4.9% 0.8% 2.0K -37.1K -230 0.00 130.21 N/A N/A 0 0 8 2 2021-06-23 $94.18 $0.00 15.5% 4.5% 7.5% 0.0% 0.0% 5.0% -4.6% 2.1K -37.1K -226 0.25 130.99 N/A N/A 8 2 8 2 2021-06-24 $94.60 $0.00 13.6% 3.9% 7.6% 0.0% 0.0% 7.9% -1.6% 2.2K -39.2K -226 0.00 128.93 N/A N/A 0 0 8 2 2021-06-25 $94.92 $0.00 13.5% 3.9% 7.7% 0.0% 0.0% 4.2% -1.2% 2.1K -39.9K -225 0.00 128.39 N/A N/A 0 0 8 2 2021-06-28 $95.27 $0.00 19.3% 5.5% 7.7% 0.0% 0.0% 5.5% -2.0% 1.8K -41.1K -222 0.00 142.67 N/A N/A 0 0 8 2 2021-06-29 $95.48 $0.00 12.9% 3.7% 7.6% 0.0% 0.0% 4.1% 0.4% 2.0K -42.5K -217 0.25 131.27 N/A N/A 8 2 8 2 2021-06-30 $95.56 $0.00 14.3% 4.1% 7.6% 0.0% 0.0% 4.6% -2.2% 2.1K -42.8K -216 0.00 133.41 N/A N/A 0 0 8 2
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