SUSA Options History — October 2021 In October 2021, SUSA traded between $95.81 and $103.24. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.9% (HV 20d: 14.7%). Max pain ranged from $93.00 to $93.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2021-10-21 : Highest Volume — 58 contracts2021-10-05 : Largest IV drop — 43.0% change2021-10-01 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $99.61 $95.81 $103.24 $97.00 $103.24 Max Pain $93.00 $93.00 $93.00 $93.00 $93.00 ATM IV 16.7% 9.7% 33.1% 23.8% 13.8% Expected Move 4.1% 2.8% 6.8% 6.8% 3.9% HV 20d 14.7% 10.9% 17.4% 14.5% 10.9% HV 60d 12.0% 11.3% 12.7% 12.3% 11.8% Term Structure 0.9% -2.0% 5.6% 5.6% 0.2% VWIV 14.3% 8.8% 16.8% 12.4% 15.9% Skew 25d 5.8% 1.6% 11.3% 6.9% 4.5% Skew 10d 5.6% 2.3% 14.3% 4.8% 3.7% Call IV 25d 10.7% 7.4% 17.3% 17.3% 10.7% Put IV 25d 16.5% 11.8% 24.2% 24.2% 15.1% Bid-Ask Spread % 127.45 117.11 151.78 151.78 131.78 Gamma HHI 0.20 0.16 0.26 0.20 0.20 Net GEX 8.2K 1.3K 15.9K 5.6K 13.0K Net DEX -187.2K -291.8K -88.3K -96.1K -291.8K Net VEX -690 -889 -532 -880 -562 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.00 1.28 0.00 0.08 Total Volume 16.333 0 58 10 42 Total OI 58.952 57 62 57 61
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 2021-10-01 $97.00 $0.00 23.8% 6.8% 14.5% 0.0% 0.0% 6.9% 5.6% 5.6K -96.1K -880 0.00 151.78 N/A N/A 10 0 36 21 2021-10-04 $95.81 $93.00 33.1% 5.4% 14.8% 0.0% 12.4% 1.6% -2.0% 4.5K -88.3K -889 0.00 131.84 N/A N/A 0 1 36 21 2021-10-05 $96.98 $93.00 18.8% 4.9% 15.6% 0.0% 0.0% 6.9% 1.5% 3.8K -101.4K -836 0.00 120.67 N/A N/A 0 0 36 21 2021-10-06 $96.89 $93.00 19.3% 5.1% 15.6% 0.0% 0.0% 9.4% 1.5% 1.3K -98.4K -815 0.00 117.11 N/A N/A 0 0 36 22 2021-10-07 $97.88 $93.00 19.6% 4.5% 16.2% 0.0% 0.0% 11.3% 2.1% 4.9K -119.6K -833 0.00 119.33 N/A N/A 0 0 36 22 2021-10-08 $97.65 $93.00 20.5% 4.9% 16.1% 0.0% 15.1% 5.3% -0.6% 4.4K -125.1K -800 0.00 124.89 N/A N/A 0 1 36 22 2021-10-11 $97.26 $93.00 25.2% 4.7% 16.1% 0.0% 0.0% 3.2% 0.4% 3.5K -121.9K -784 0.00 123.62 N/A N/A 0 0 36 22 2021-10-12 $96.86 $93.00 29.9% 4.8% 16.1% 0.0% 0.0% 8.7% -0.7% 4.3K -109.5K -756 0.00 119.84 N/A N/A 0 0 36 22 2021-10-13 $97.47 $93.00 17.9% 5.1% 15.8% 0.0% 0.0% 3.6% -0.9% 4.6K -114.0K -765 0.00 124.91 N/A N/A 0 0 36 22 2021-10-14 $99.28 $93.00 12.6% 3.6% 17.4% 0.0% 0.0% 10.5% 4.0% 4.7K -181.4K -634 0.00 122.81 N/A N/A 0 0 36 22 2021-10-15 $99.94 $93.00 13.9% 4.0% 17.1% 0.0% 0.0% 8.6% -1.6% 8.3K -184.7K -678 0.00 126.96 N/A N/A 0 0 36 22 2021-10-18 $100.33 $93.00 13.4% 3.8% 15.2% 0.0% 0.0% 4.0% -1.4% 9.4K -200.4K -614 0.00 124.47 N/A N/A 0 0 36 22 2021-10-19 $100.96 $93.00 10.4% 3.0% 15.2% 0.0% 0.0% 4.0% 1.2% 10.5K -224.4K -532 0.00 121.37 N/A N/A 0 0 36 22 2021-10-20 $101.34 $93.00 13.0% 3.7% 15.0% 0.0% 15.2% 3.6% -0.7% 10.0K -227.5K -580 1.28 131.71 N/A N/A 25 32 36 22 2021-10-21 $101.58 $93.00 10.5% 3.0% 14.4% 0.0% 14.8% 5.3% 2.0% 12.3K -249.0K -627 1.23 129.67 N/A N/A 26 32 39 22 2021-10-22 $101.79 $93.00 10.9% 3.1% 14.4% 0.0% 16.8% 2.8% 1.9% 12.1K -266.4K -634 1.23 131.11 N/A N/A 26 32 40 22 2021-10-25 $102.22 $93.00 9.7% 2.8% 14.3% 0.0% 8.8% 3.7% 4.1% 15.9K -283.6K -555 0.12 128.75 N/A N/A 26 3 40 22 2021-10-26 $102.66 $93.00 10.4% 3.0% 11.4% 0.0% 12.7% 3.8% 0.6% 13.7K -288.0K -566 0.12 130.19 N/A N/A 26 3 40 21 2021-10-27 $102.03 $93.00 11.3% 3.2% 11.8% 0.0% 15.2% 6.4% -0.0% 12.8K -277.1K -575 0.12 130.30 N/A N/A 26 3 40 21 2021-10-28 $102.66 $93.00 11.7% 3.4% 10.9% 0.0% 15.5% 7.1% 1.3% 12.8K -283.0K -580 0.12 133.38 N/A N/A 26 3 40 21 2021-10-29 $103.24 $93.00 13.8% 3.9% 10.9% 0.0% 15.9% 4.5% 0.2% 13.0K -291.8K -562 0.08 131.78 N/A N/A 39 3 40 21
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