SUSA Options History — December 2021

In December 2021, SUSA traded between $100.89 and $106.81. ATM implied volatility averaged 18.5%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.3% (HV 20d: 18.2%). Max pain ranged from $106.00 to $106.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2021-12-22: Highest Volume — 87 contracts
  • 2021-12-03: Largest IV spike — 46.0% change
  • 2021-12-14: Highest IV Rank — 77.9%
  • 2021-12-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.17$100.89$106.81$101.80$106.52
Max Pain$106.00$106.00$106.00$106.00$106.00
ATM IV18.5%12.7%29.1%24.4%12.8%
Expected Move4.9%3.6%7.8%7.0%3.7%
HV 20d18.2%12.7%21.4%12.7%18.5%
HV 60d14.3%13.0%15.0%13.0%14.1%
IV Rank37.6%15.8%77.9%59.8%15.9%
IV Percentile69.3%19.6%98.1%95.2%20.5%
Term Structure0.1%-5.8%1.7%-5.8%-0.6%
VWIV16.8%12.9%29.2%24.4%15.0%
Skew 25d5.1%1.1%13.2%6.6%3.3%
Skew 10d5.1%0.7%15.6%7.9%2.2%
Call IV 25d12.5%10.1%18.1%15.6%10.1%
Put IV 25d17.6%13.4%26.5%22.1%13.4%
Bid-Ask Spread %125.47112.29133.34123.31133.34
Gamma HHI0.280.160.600.160.60
Net GEX33.4K11.2K91.6K12.5K91.6K
Net DEX-372.7K-690.8K-202.6K-221.8K-674.2K
Net VEX-1.1K-1.5K-951-1.1K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.010.210.210.05
Total Volume44.81838874039
Total OI71.1825410659106

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$101.80$106.0024.4%7.0%12.7%59.8%24.4%6.6%-5.8%12.5K-221.8K-1.1K0.21123.31N/AN/A337527
2021-12-02$102.86$106.0018.6%5.3%13.2%38.1%21.4%8.3%0.6%14.0K-230.0K-1.1K0.21124.05N/AN/A337527
2021-12-03$100.89$106.0027.2%7.8%14.6%70.5%29.2%7.7%-3.6%12.0K-202.6K-1.1K0.21121.55N/AN/A337527
2021-12-06$102.65$0.0019.3%5.8%16.1%40.5%0.0%13.2%0.4%13.7K-227.3K-1.1K0.21112.29N/AN/A337527
2021-12-07$104.76$0.0017.5%4.8%17.8%34.0%0.0%8.5%1.0%11.2K-287.4K-1.1K0.21122.19N/AN/A337527
2021-12-08$105.30$0.0018.9%4.6%17.9%39.1%0.0%7.0%0.9%11.8K-305.3K-1.1K0.21125.71N/AN/A337527
2021-12-09$104.59$0.0019.2%4.5%17.7%40.2%0.0%3.0%1.7%11.7K-287.4K-1.0K0.21125.67N/AN/A337527
2021-12-10$105.02$0.0020.3%4.4%17.8%44.3%0.0%4.8%1.6%12.1K-299.4K-1.0K0.19127.50N/AN/A367527
2021-12-13$104.32$0.0025.2%4.8%17.7%62.9%0.0%4.2%1.2%11.5K-285.0K-1.0K0.19126.46N/AN/A367527
2021-12-14$102.90$0.0029.1%5.2%18.4%77.9%14.7%6.4%0.3%14.0K-239.3K-1.0K0.19120.61N/AN/A377527
2021-12-15$104.25$106.0016.1%4.6%18.7%28.6%15.0%8.2%1.5%13.9K-279.8K-9980.19120.03N/AN/A377537
2021-12-16$103.64$106.0018.0%5.2%18.8%35.7%15.0%3.4%0.2%12.4K-270.8K-9910.19120.14N/AN/A377537
2021-12-17$102.94$106.0018.3%5.3%18.9%37.0%14.3%3.1%-0.3%14.8K-245.3K-9920.19125.15N/AN/A377537
2021-12-20$101.13$106.0021.1%6.1%19.8%47.5%16.7%7.7%0.1%20.0K-254.0K-9620.03121.42N/AN/A371531
2021-12-21$102.75$106.0017.8%5.1%20.7%34.9%14.0%3.6%0.5%22.0K-289.1K-9610.03123.01N/AN/A371531
2021-12-22$104.01$106.0015.6%4.5%21.1%26.8%14.3%5.1%1.0%23.7K-324.8K-9510.01125.86N/AN/A861541
2021-12-23$105.11$106.0013.5%3.9%21.4%18.7%12.9%3.1%1.5%76.9K-565.2K-1.5K0.01132.16N/AN/A8611041
2021-12-27$106.40$106.0015.7%4.5%20.7%26.9%16.1%1.4%-1.2%89.0K-654.6K-1.4K0.03133.07N/AN/A3711041
2021-12-28$106.54$106.0012.7%3.6%20.4%15.8%14.0%1.4%1.5%82.1K-674.0K-1.4K0.05131.74N/AN/A3721041
2021-12-29$106.81$106.0012.8%3.7%18.8%16.1%16.1%1.1%-0.3%84.3K-690.8K-1.4K0.05132.69N/AN/A3721042
2021-12-30$106.56$106.0013.0%3.7%18.8%16.9%15.6%1.6%-0.4%79.6K-690.6K-1.3K0.05132.30N/AN/A3721042
2021-12-31$106.52$106.0012.8%3.7%18.5%15.9%15.0%3.3%-0.6%91.6K-674.2K-1.3K0.05133.34N/AN/A3721042