SUSA Options History — September 2021 In September 2021, SUSA traded between $96.30 and $101.98. ATM implied volatility averaged 15.4%. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.1% (HV 20d: 10.3%). Max pain ranged from $99.00 to $99.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2021-09-20 : Highest Volume — 30 contracts2021-09-15 : Largest IV spike — 58.8% change2021-09-28 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $99.74 $96.30 $101.98 $101.58 $96.30 Max Pain $99.00 $99.00 $99.00 $99.00 $99.00 ATM IV 15.4% 9.8% 25.7% 13.6% 20.6% Expected Move 4.4% 2.8% 7.4% 3.9% 5.9% HV 20d 10.3% 7.8% 14.1% 7.9% 14.1% HV 60d 10.8% 10.0% 12.5% 10.1% 12.5% Term Structure -0.3% -7.2% 4.0% -1.6% -7.2% Skew 25d 6.8% 1.7% 11.4% 3.7% 3.9% Skew 10d 7.0% 1.6% 17.7% 3.7% 6.9% Call IV 25d 11.4% 6.8% 28.8% 11.0% 15.8% Put IV 25d 18.2% 13.4% 30.5% 14.7% 19.7% Bid-Ask Spread % 137.27 125.25 152.10 134.47 150.73 Gamma HHI 0.27 0.16 0.48 0.33 0.21 Net GEX 15.7K 4.5K 35.8K 16.0K 4.5K Net DEX -211.3K -292.9K -115.4K -230.5K -115.4K Net VEX -729 -930 -489 -530 -836 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 2.143 0 30 0 0 Total OI 47.238 36 57 36 57
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 2021-09-01 $101.58 $99.00 13.6% 3.9% 7.9% 0.0% 0.0% 3.7% -1.6% 16.0K -230.5K -530 0.00 134.47 N/A N/A 0 0 34 2 2021-09-02 $101.70 $0.00 9.8% 2.8% 7.8% 0.0% 0.0% 6.1% 1.8% 16.4K -234.6K -495 0.00 130.24 N/A N/A 2 0 34 2 2021-09-03 $101.98 $0.00 13.5% 3.7% 7.8% 0.0% 0.0% 6.3% -0.9% 15.8K -238.9K -489 0.00 128.79 N/A N/A 0 0 34 2 2021-09-07 $101.29 $0.00 14.2% 4.1% 8.4% 0.0% 0.0% 5.8% 0.7% 19.0K -237.7K -523 0.00 127.45 N/A N/A 7 0 36 2 2021-09-08 $101.20 $0.00 12.0% 3.4% 8.4% 0.0% 0.0% 8.1% 1.0% 19.7K -234.8K -546 0.00 125.25 N/A N/A 3 0 36 2 2021-09-09 $101.07 $0.00 10.9% 3.1% 8.4% 0.0% 0.0% 6.8% 2.3% 22.3K -281.2K -686 0.00 133.42 N/A N/A 0 0 43 2 2021-09-10 $100.36 $0.00 13.5% 3.9% 8.8% 0.0% 0.0% 11.4% 0.6% 23.2K -279.6K -790 0.00 133.07 N/A N/A 0 0 46 2 2021-09-13 $100.19 $0.00 13.3% 3.8% 8.8% 0.0% 0.0% 4.3% 4.0% 24.8K -273.2K -759 0.00 134.46 N/A N/A 0 0 46 2 2021-09-14 $99.83 $0.00 13.1% 3.8% 8.8% 0.0% 0.0% 8.7% 1.2% 28.5K -268.3K -755 0.00 130.74 N/A N/A 0 0 46 2 2021-09-15 $100.85 $0.00 20.8% 6.0% 8.9% 0.0% 0.0% 1.7% -6.8% 18.3K -278.3K -754 0.00 150.59 N/A N/A 0 0 46 2 2021-09-16 $100.62 $0.00 11.8% 3.4% 8.7% 0.0% 0.0% 7.8% 0.5% 28.3K -292.9K -709 0.00 133.19 N/A N/A 0 0 46 2 2021-09-17 $99.54 $0.00 13.7% 3.9% 9.7% 0.0% 0.0% 5.0% 1.6% 35.8K -257.9K -727 0.00 136.49 N/A N/A 0 0 46 2 2021-09-20 $97.46 $0.00 21.5% 6.2% 11.7% 0.0% 0.0% 8.9% -1.7% 11.1K -160.4K -718 0.00 130.66 N/A N/A 0 30 36 2 2021-09-21 $98.04 $0.00 20.5% 5.9% 11.5% 0.0% 0.0% 9.5% -1.5% 12.9K -174.5K -708 0.00 145.41 N/A N/A 0 0 36 2 2021-09-22 $98.84 $0.00 14.5% 4.2% 11.9% 0.0% 0.0% 11.1% 0.9% 5.4K -138.4K -910 0.00 133.77 N/A N/A 0 0 36 21 2021-09-23 $100.06 $0.00 11.7% 3.4% 12.7% 0.0% 0.0% 8.7% 2.4% 4.9K -170.5K -864 0.00 138.20 N/A N/A 0 0 36 21 2021-09-24 $99.85 $0.00 11.8% 3.4% 12.5% 0.0% 0.0% 8.1% 2.6% 5.1K -170.4K -844 0.00 133.29 N/A N/A 0 0 36 21 2021-09-27 $99.35 $0.00 16.3% 4.7% 12.0% 0.0% 0.0% 2.0% 0.8% 6.8K -159.3K -859 0.00 152.10 N/A N/A 2 0 36 21 2021-09-28 $97.22 $0.00 25.7% 7.4% 13.9% 0.0% 0.0% 9.3% -4.0% 4.7K -118.2K -930 0.00 151.42 N/A N/A 0 0 36 21 2021-09-29 $97.24 $0.00 20.4% 5.9% 13.9% 0.0% 0.0% 5.4% -2.7% 5.2K -122.3K -886 0.00 149.02 N/A N/A 1 0 36 21 2021-09-30 $96.30 $0.00 20.6% 5.9% 14.1% 0.0% 0.0% 3.9% -7.2% 4.5K -115.4K -836 0.00 150.73 N/A N/A 0 0 36 21
« Aug 2021 | All History | Oct 2021 » Home SUSA History September 2021