SUSA Options History — November 2021

In November 2021, SUSA traded between $102.18 and $105.73. ATM implied volatility averaged 15.3%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 7.3% (HV 20d: 8.1%). Max pain ranged from $93.00 to $106.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.22.

Notable Days

2021-11-12: Highest Volume — 53 contracts
2021-11-30: Largest IV spike — 45.3% change
2021-11-30: Highest IV Rank — 62.7%
2021-11-30: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.56	$102.18	$105.73	$103.40	$102.18
Max Pain	$104.05	$93.00	$106.00	$93.00	$106.00
ATM IV	15.3%	12.2%	25.1%	14.6%	25.1%
Expected Move	4.3%	3.3%	7.2%	4.2%	7.2%
HV 20d	8.1%	6.4%	12.8%	9.3%	12.8%
HV 60d	11.9%	11.5%	13.1%	11.8%	13.1%
IV Rank	26.1%	14.0%	62.7%	20.2%	62.7%
IV Percentile	56.3%	18.8%	95.8%	48.4%	95.8%
Term Structure	0.6%	-5.7%	2.9%	-0.1%	-5.7%
VWIV	15.3%	12.0%	25.6%	17.8%	25.6%
Skew 25d	4.4%	1.8%	13.6%	5.1%	6.8%
Skew 10d	5.9%	2.2%	24.7%	3.6%	4.8%
Call IV 25d	11.5%	6.9%	19.7%	11.2%	14.0%
Put IV 25d	15.9%	11.0%	33.3%	16.3%	20.8%
Bid-Ask Spread %	129.94	107.17	136.56	134.10	127.70
Gamma HHI	0.16	0.14	0.18	0.18	0.16
Net GEX	12.0K	9.0K	17.5K	17.5K	12.8K
Net DEX	-307.8K	-359.2K	-214.3K	-355.7K	-232.6K
Net VEX	-982	-1.1K	-923	-945	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.10	0.26	0.10	0.21
Total Volume	45.619	33	53	43	40
Total OI	71.19	50	80	74	59

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
2021-11-01	$103.40	$93.00	14.6%	4.2%	9.3%	0.0%	17.8%	5.1%	-0.1%	17.5K	-355.7K	-945	0.10	134.10	N/A	N/A	39	4	53	21
2021-11-02	$103.75	$93.00	14.3%	4.1%	8.7%	0.0%	17.3%	4.9%	-1.8%	15.4K	-339.5K	-944	0.10	135.21	N/A	N/A	39	4	51	23
2021-11-03	$104.22	$93.00	13.9%	4.0%	8.6%	20.2%	17.6%	5.0%	-1.3%	15.7K	-351.0K	-927	0.10	131.30	N/A	N/A	39	4	51	23
2021-11-04	$104.67	$0.00	14.0%	3.3%	8.2%	20.4%	12.5%	3.4%	2.7%	15.2K	-359.2K	-929	0.26	131.25	N/A	N/A	39	10	51	23
2021-11-05	$105.03	$106.00	13.8%	3.7%	7.9%	20.0%	12.0%	2.9%	1.8%	9.1K	-332.6K	-1.0K	0.26	129.96	N/A	N/A	39	10	51	29
2021-11-08	$105.18	$106.00	15.6%	3.5%	7.5%	26.7%	12.6%	4.2%	2.0%	9.0K	-342.2K	-970	0.26	129.62	N/A	N/A	39	10	51	29
2021-11-09	$104.96	$106.00	17.7%	4.4%	7.2%	34.5%	14.4%	3.2%	1.5%	9.8K	-327.7K	-971	0.26	127.76	N/A	N/A	39	10	51	29
2021-11-10	$104.01	$106.00	15.1%	4.3%	8.5%	24.7%	13.6%	3.8%	1.4%	9.8K	-311.4K	-981	0.26	127.41	N/A	N/A	39	10	51	29
2021-11-11	$104.26	$106.00	14.5%	4.2%	6.4%	22.7%	13.7%	3.8%	1.5%	10.5K	-318.0K	-958	0.26	131.06	N/A	N/A	39	10	51	29
2021-11-12	$105.02	$106.00	12.2%	3.5%	6.4%	14.0%	13.2%	3.6%	2.9%	10.8K	-338.3K	-923	0.23	129.44	N/A	N/A	43	10	51	29
2021-11-15	$104.83	$106.00	13.4%	3.8%	6.6%	18.3%	14.5%	4.4%	1.8%	12.4K	-316.2K	-997	0.23	133.01	N/A	N/A	43	10	51	29
2021-11-16	$105.73	$106.00	12.3%	3.5%	6.8%	14.0%	12.8%	3.0%	2.4%	12.0K	-338.5K	-963	0.23	129.25	N/A	N/A	43	10	51	29
2021-11-17	$105.26	$106.00	13.9%	4.0%	7.2%	20.4%	13.6%	3.7%	1.9%	12.3K	-327.4K	-984	0.23	131.80	N/A	N/A	43	10	51	29
2021-11-18	$105.33	$106.00	13.3%	3.8%	7.2%	17.8%	12.9%	3.8%	1.2%	11.5K	-325.8K	-979	0.23	130.83	N/A	N/A	43	10	51	29
2021-11-19	$105.40	$106.00	13.7%	3.9%	7.2%	19.6%	12.8%	2.8%	1.1%	9.8K	-300.5K	-977	0.23	131.43	N/A	N/A	43	10	48	29
2021-11-22	$105.59	$106.00	13.3%	3.8%	7.2%	17.8%	12.3%	1.8%	0.4%	10.7K	-270.3K	-938	0.22	131.46	N/A	N/A	27	6	44	6
2021-11-23	$104.73	$106.00	14.8%	4.2%	7.9%	23.5%	16.3%	4.5%	0.9%	12.0K	-247.2K	-997	0.22	131.40	N/A	N/A	27	6	46	6
2021-11-24	$104.92	$106.00	17.9%	5.1%	7.4%	35.5%	18.6%	4.4%	-1.3%	11.3K	-239.2K	-1.0K	0.22	136.56	N/A	N/A	27	6	46	6
2021-11-26	$103.05	$106.00	21.6%	6.2%	9.9%	49.2%	19.7%	13.6%	-0.4%	11.7K	-214.3K	-1.0K	0.19	107.17	N/A	N/A	32	6	46	6
2021-11-29	$104.25	$106.00	17.3%	5.0%	10.5%	33.1%	17.7%	4.1%	-1.0%	12.8K	-275.7K	-1.1K	0.21	130.99	N/A	N/A	33	7	51	6
2021-11-30	$102.18	$106.00	25.1%	7.2%	12.8%	62.7%	25.6%	6.8%	-5.7%	12.8K	-232.6K	-1.1K	0.21	127.70	N/A	N/A	33	7	52	7