SUSA Options History — January 2022

In January 2022, SUSA traded between $94.87 and $106.37. ATM implied volatility averaged 20.4%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.7% (HV 20d: 15.7%). Max pain ranged from $90.00 to $106.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.06.

Notable Days

2022-01-10: Highest Volume — 46 contracts
2022-01-21: Largest IV spike — 28.1% change
2022-01-24: Highest IV Rank — 80.5%
2022-01-24: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.59	$94.87	$106.37	$106.13	$98.28
Max Pain	$92.40	$90.00	$106.00	$106.00	$90.00
ATM IV	20.4%	14.9%	29.8%	17.8%	23.1%
Expected Move	5.8%	3.7%	8.6%	5.1%	6.6%
HV 20d	15.7%	13.1%	17.6%	16.9%	17.6%
HV 60d	15.1%	14.0%	16.8%	14.0%	16.8%
IV Rank	44.8%	23.9%	80.5%	35.0%	55.0%
IV Percentile	80.0%	58.3%	98.3%	76.0%	90.3%
Term Structure	0.0%	-6.3%	4.5%	1.8%	-0.1%
VWIV	16.9%	12.3%	24.9%	16.2%	18.7%
Skew 25d	6.4%	-0.2%	21.3%	6.4%	5.0%
Skew 10d	5.7%	0.5%	22.0%	0.5%	5.8%
Call IV 25d	14.2%	9.2%	23.1%	12.9%	16.3%
Put IV 25d	20.6%	12.2%	37.0%	19.3%	21.3%
Bid-Ask Spread %	120.95	107.13	141.80	141.80	117.04
Gamma HHI	0.32	0.14	0.59	0.59	0.22
Net GEX	52.1K	15.8K	106.7K	94.4K	23.4K
Net DEX	-311.7K	-673.2K	-93.7K	-625.9K	-155.1K
Net VEX	-851	-1.3K	-522	-1.3K	-564
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.05	0.08	0.05	0.08
Total Volume	42.05	39	46	39	40
Total OI	93.2	54	113	106	55

Daily Data (20 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
2022-01-03	$106.13	$106.00	17.8%	5.1%	16.9%	35.0%	16.2%	6.4%	1.8%	94.4K	-625.9K	-1.3K	0.05	141.80	N/A	N/A	37	2	104	2
2022-01-04	$106.37	$106.00	14.9%	4.3%	16.0%	23.9%	12.9%	4.6%	1.8%	94.0K	-673.2K	-1.3K	0.05	130.51	N/A	N/A	37	2	104	2
2022-01-05	$104.21	$106.00	16.2%	4.6%	16.3%	28.9%	12.3%	-0.2%	-4.7%	78.9K	-511.3K	-1.2K	0.05	131.35	N/A	N/A	37	2	104	2
2022-01-06	$104.05	$90.00	17.2%	4.6%	16.2%	32.5%	14.4%	5.1%	2.4%	83.4K	-457.1K	-1.2K	0.05	116.90	N/A	N/A	37	2	104	2
2022-01-07	$103.27	$90.00	15.1%	5.0%	16.2%	24.8%	15.7%	1.0%	1.5%	73.7K	-385.0K	-1.1K	0.05	117.14	N/A	N/A	43	2	104	2
2022-01-10	$102.47	$90.00	16.7%	5.1%	16.3%	30.9%	13.7%	6.5%	1.7%	51.6K	-311.0K	-831	0.05	117.29	N/A	N/A	44	2	110	2
2022-01-11	$103.61	$90.00	17.1%	3.7%	16.7%	32.3%	12.6%	9.4%	3.0%	91.4K	-439.8K	-1.0K	0.05	117.47	N/A	N/A	44	2	111	2
2022-01-12	$104.14	$90.00	16.0%	4.6%	16.0%	28.3%	15.9%	3.2%	-0.4%	106.7K	-482.4K	-1.1K	0.05	129.39	N/A	N/A	44	2	111	2
2022-01-13	$102.65	$90.00	16.3%	4.7%	16.2%	29.4%	15.5%	8.4%	0.3%	71.5K	-409.5K	-999	0.05	118.73	N/A	N/A	44	2	111	2
2022-01-14	$102.37	$90.00	17.1%	4.9%	16.1%	32.4%	13.7%	8.1%	1.3%	68.3K	-358.0K	-928	0.05	117.54	N/A	N/A	44	2	111	2
2022-01-18	$100.36	$90.00	20.4%	5.9%	17.4%	44.9%	17.0%	2.3%	-0.5%	36.3K	-257.9K	-784	0.05	119.80	N/A	N/A	41	2	109	2
2022-01-19	$99.86	$90.00	20.2%	5.8%	16.3%	43.9%	16.8%	3.7%	-0.5%	32.8K	-243.4K	-749	0.05	117.35	N/A	N/A	41	2	109	2
2022-01-20	$98.61	$90.00	18.7%	5.4%	15.6%	38.5%	17.8%	3.0%	4.5%	30.0K	-214.0K	-719	0.05	116.67	N/A	N/A	41	2	109	2
2022-01-21	$96.91	$90.00	24.0%	6.9%	15.6%	58.4%	19.0%	4.0%	1.8%	19.9K	-153.1K	-639	0.05	118.80	N/A	N/A	41	2	108	2
2022-01-24	$96.40	$90.00	29.8%	8.6%	14.6%	80.5%	19.0%	21.3%	-6.3%	17.4K	-125.9K	-583	0.05	107.13	N/A	N/A	37	2	52	2
2022-01-25	$96.17	$90.00	28.5%	8.2%	13.3%	75.6%	21.6%	6.5%	-1.6%	17.5K	-122.8K	-558	0.05	119.97	N/A	N/A	37	2	52	2
2022-01-26	$94.97	$90.00	28.0%	8.0%	13.4%	73.4%	24.9%	13.9%	-2.7%	16.7K	-113.5K	-538	0.08	127.08	N/A	N/A	37	3	52	2
2022-01-27	$94.87	$90.00	26.8%	7.7%	13.1%	69.0%	20.3%	11.8%	-2.5%	15.8K	-93.7K	-522	0.08	118.83	N/A	N/A	37	3	52	3
2022-01-28	$96.13	$90.00	24.1%	6.9%	14.7%	58.9%	19.9%	4.6%	-0.2%	18.6K	-100.7K	-524	0.08	118.16	N/A	N/A	37	3	52	3
2022-01-31	$98.28	$90.00	23.1%	6.6%	17.6%	55.0%	18.7%	5.0%	-0.1%	23.4K	-155.1K	-564	0.08	117.04	N/A	N/A	37	3	52	3