SUSA Options History — July 2021 In July 2021, SUSA traded between $94.32 and $98.52. ATM implied volatility averaged 14.6%. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.5% (HV 20d: 11.1%). Max pain ranged from $97.00 to $97.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2021-07-22 : Highest Volume — 10 contracts2021-07-19 : Largest IV spike — 76.5% change2021-07-19 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $96.95 $94.32 $98.52 $95.94 $98.19 Max Pain $97.00 $97.00 $97.00 $97.00 $97.00 ATM IV 14.6% 11.0% 26.5% 14.6% 14.0% Expected Move 4.0% 3.2% 7.6% 4.2% 4.0% HV 20d 11.1% 7.2% 14.2% 7.5% 14.2% HV 60d 12.7% 11.9% 13.3% 12.2% 12.8% Term Structure 1.4% -3.1% 3.8% -0.6% 0.5% VWIV 13.6% 11.4% 17.4% 11.4% 17.4% Skew 25d 6.1% 3.1% 15.6% 4.7% 5.2% Skew 10d 6.5% 1.8% 16.6% 1.8% 5.4% Call IV 25d 10.2% 8.9% 12.4% 10.8% 10.9% Put IV 25d 16.3% 12.4% 28.0% 15.6% 16.2% Bid-Ask Spread % 131.68 100.32 155.44 131.16 127.44 Gamma HHI 0.32 0.23 0.43 0.40 0.42 Net GEX 5.7K 1.9K 12.5K 2.0K 11.2K Net DEX -84.4K -144.3K -43.8K -43.8K -138.3K Net VEX -453 -602 -207 -215 -588 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 1.238 0 10 0 0 Total OI 22.381 10 32 10 32
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 2021-07-01 $95.94 $0.00 14.6% 4.2% 7.5% 0.0% 0.0% 4.7% -0.6% 2.0K -43.8K -215 0.00 131.16 N/A N/A 0 0 8 2 2021-07-02 $96.67 $0.00 14.5% 4.2% 7.2% 0.0% 0.0% 5.8% -3.1% 2.1K -47.1K -207 0.00 131.39 N/A N/A 6 0 8 2 2021-07-06 $96.35 $0.00 12.1% 3.6% 7.3% 0.0% 11.4% 3.1% 3.3% 4.1K -66.2K -376 0.00 133.37 N/A N/A 0 2 14 2 2021-07-07 $96.78 $97.00 12.5% 3.5% 7.4% 0.0% 0.0% 5.9% 2.8% 1.9K -60.5K -408 0.00 135.27 N/A N/A 0 0 14 4 2021-07-08 $95.62 $97.00 14.3% 4.1% 8.7% 0.0% 0.0% 8.4% 1.9% 2.1K -51.8K -408 0.00 120.12 N/A N/A 0 0 14 4 2021-07-09 $96.89 $97.00 14.0% 3.6% 9.7% 0.0% 0.0% 6.1% 2.4% 2.0K -59.5K -399 0.00 129.58 N/A N/A 0 0 14 4 2021-07-12 $97.18 $97.00 17.5% 3.6% 9.7% 0.0% 0.0% 4.6% 3.3% 1.9K -62.4K -397 0.00 100.32 N/A N/A 1 0 14 4 2021-07-13 $96.95 $97.00 19.9% 3.6% 9.9% 0.0% 0.0% 5.5% 3.1% 2.1K -67.8K -428 0.00 130.02 N/A N/A 3 0 15 4 2021-07-14 $96.98 $97.00 12.7% 3.6% 9.9% 0.0% 0.0% 5.5% 2.4% 7.1K -75.6K -431 0.00 132.30 N/A N/A 0 0 18 4 2021-07-15 $96.61 $97.00 11.0% 3.2% 9.8% 0.0% 0.0% 3.5% 3.3% 6.8K -72.1K -430 0.00 150.44 N/A N/A 0 0 18 4 2021-07-16 $96.06 $97.00 15.0% 4.3% 10.1% 0.0% 0.0% 4.0% -0.5% 5.8K -64.7K -424 0.00 131.01 N/A N/A 2 0 18 4 2021-07-19 $94.32 $97.00 26.5% 7.6% 11.5% 0.0% 0.0% 15.6% -2.2% 3.3K -55.6K -456 0.00 139.67 N/A N/A 0 0 17 4 2021-07-20 $96.45 $97.00 14.3% 4.1% 13.5% 0.0% 0.0% 9.9% 2.0% 4.0K -66.0K -436 0.00 136.12 N/A N/A 0 0 17 4 2021-07-21 $96.84 $97.00 12.7% 3.6% 13.4% 0.0% 11.8% 5.5% 3.8% 3.0K -73.4K -460 0.00 155.44 N/A N/A 1 0 17 4 2021-07-22 $97.12 $97.00 14.3% 4.1% 13.4% 0.0% 0.0% 6.4% -0.1% 4.0K -82.6K -466 0.00 134.33 N/A N/A 10 0 18 4 2021-07-23 $98.29 $97.00 11.9% 3.4% 13.8% 0.0% 0.0% 3.4% 1.8% 11.5K -134.7K -602 0.00 134.65 N/A N/A 0 0 28 4 2021-07-26 $98.31 $97.00 13.9% 4.0% 13.8% 0.0% 0.0% 5.3% 2.1% 10.4K -139.7K -601 0.00 122.86 N/A N/A 0 0 28 4 2021-07-27 $97.75 $97.00 14.2% 4.1% 14.1% 0.0% 0.0% 5.0% 3.1% 10.3K -129.2K -602 0.00 125.36 N/A N/A 0 0 28 4 2021-07-28 $98.07 $97.00 14.1% 4.1% 14.1% 0.0% 17.4% 6.1% -0.0% 11.5K -136.7K -595 0.00 126.51 N/A N/A 1 0 28 4 2021-07-29 $98.52 $97.00 13.0% 3.7% 14.1% 0.0% 0.0% 7.8% 0.0% 12.5K -144.3K -574 0.00 137.94 N/A N/A 0 0 28 4 2021-07-30 $98.19 $97.00 14.0% 4.0% 14.2% 0.0% 0.0% 5.2% 0.5% 11.2K -138.3K -588 0.00 127.44 N/A N/A 0 0 28 4
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