SUSA Options History — February 2022

In February 2022, SUSA traded between $91.34 and $99.98. ATM implied volatility averaged 22.8%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.3% (HV 20d: 20.5%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.08.

Notable Days

2022-02-17: Highest Volume — 41 contracts
2022-02-10: Largest IV spike — 20.4% change
2022-02-23: Highest IV Rank — 84.1%
2022-02-23: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.17	$91.34	$99.98	$99.12	$93.87
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	22.8%	16.5%	30.8%	16.5%	28.1%
Expected Move	6.5%	4.7%	8.8%	4.7%	8.1%
HV 20d	20.5%	18.1%	24.2%	18.1%	23.8%
HV 60d	18.4%	16.8%	19.7%	16.8%	19.7%
IV Rank	53.8%	29.9%	84.1%	29.9%	73.9%
IV Percentile	87.0%	64.7%	99.0%	64.7%	96.6%
Term Structure	-1.3%	-4.8%	0.8%	0.1%	-3.8%
VWIV	19.6%	19.0%	20.2%	19.0%	20.2%
Skew 25d	9.2%	4.3%	17.1%	6.4%	5.3%
Skew 10d	8.3%	3.1%	23.5%	5.2%	5.4%
Call IV 25d	15.2%	12.1%	18.2%	15.5%	18.2%
Put IV 25d	24.3%	16.8%	33.3%	21.9%	23.5%
Bid-Ask Spread %	120.72	115.18	131.07	124.36	120.51
Gamma HHI	0.28	0.23	0.39	0.23	0.32
Net GEX	19.2K	3.0K	34.1K	25.0K	4.1K
Net DEX	-100.5K	-201.7K	-19.1K	-179.2K	-30.1K
Net VEX	-382	-575	-211	-575	-252
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.08	0.10	0.08	0.10
Total Volume	35.632	23	41	40	23
Total OI	45.895	22	55	55	22

Daily Data (19 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
2022-02-01	$99.12	$90.00	16.5%	4.7%	18.1%	29.9%	19.0%	6.4%	0.1%	25.0K	-179.2K	-575	0.08	124.36	N/A	N/A	37	3	52	3
2022-02-02	$99.98	$90.00	19.7%	5.7%	18.5%	42.2%	20.2%	5.1%	-2.1%	27.7K	-201.1K	-568	0.08	125.75	N/A	N/A	37	3	52	3
2022-02-03	$97.85	$0.00	23.0%	6.0%	18.7%	54.5%	0.0%	10.6%	-0.4%	23.7K	-147.0K	-532	0.08	121.73	N/A	N/A	37	3	52	3
2022-02-04	$97.86	$0.00	20.1%	5.8%	18.7%	43.5%	0.0%	10.9%	0.3%	26.2K	-143.7K	-515	0.08	116.62	N/A	N/A	37	3	52	3
2022-02-07	$97.25	$0.00	20.1%	5.9%	18.7%	43.6%	0.0%	8.2%	0.4%	27.0K	-122.5K	-448	0.08	123.47	N/A	N/A	37	3	52	3
2022-02-08	$97.95	$0.00	19.1%	5.6%	18.9%	40.0%	0.0%	7.5%	-0.1%	30.6K	-146.9K	-459	0.08	120.60	N/A	N/A	37	3	52	2
2022-02-09	$99.51	$0.00	17.3%	5.0%	19.4%	33.2%	0.0%	4.3%	0.8%	34.1K	-201.7K	-483	0.08	127.41	N/A	N/A	37	3	52	2
2022-02-10	$97.49	$0.00	20.9%	6.0%	20.3%	46.6%	0.0%	6.0%	-0.9%	28.9K	-144.0K	-432	0.08	119.63	N/A	N/A	37	3	52	2
2022-02-11	$95.79	$0.00	21.7%	6.2%	20.6%	49.8%	0.0%	11.5%	-0.2%	19.1K	-96.7K	-390	0.08	131.07	N/A	N/A	37	3	52	2
2022-02-14	$95.38	$0.00	26.0%	7.5%	20.6%	66.0%	0.0%	12.6%	-3.2%	19.0K	-81.3K	-363	0.08	118.77	N/A	N/A	37	3	52	2
2022-02-15	$96.76	$0.00	22.3%	6.4%	20.5%	52.0%	0.0%	6.7%	-1.3%	26.3K	-101.2K	-359	0.08	122.81	N/A	N/A	37	3	52	2
2022-02-16	$97.19	$0.00	20.8%	6.0%	20.6%	46.4%	0.0%	10.0%	-0.4%	30.9K	-103.2K	-340	0.08	120.12	N/A	N/A	37	3	52	2
2022-02-17	$95.12	$0.00	24.2%	6.9%	21.5%	59.1%	0.0%	10.3%	-1.6%	16.2K	-63.1K	-293	0.08	119.50	N/A	N/A	38	3	52	2
2022-02-18	$94.42	$0.00	26.1%	7.5%	20.8%	66.4%	0.0%	12.7%	-1.7%	10.6K	-50.7K	-300	0.08	116.40	N/A	N/A	38	3	53	2
2022-02-22	$93.22	$0.00	27.6%	7.9%	21.2%	72.0%	0.0%	11.1%	-2.0%	3.7K	-25.8K	-243	0.10	116.17	N/A	N/A	21	2	20	2
2022-02-23	$91.34	$0.00	30.8%	8.8%	22.2%	84.1%	0.0%	8.7%	-4.8%	3.0K	-19.1K	-211	0.10	115.18	N/A	N/A	21	2	20	2
2022-02-24	$92.38	$0.00	25.3%	7.2%	22.4%	63.3%	0.0%	17.1%	-1.7%	3.5K	-19.8K	-221	0.10	117.20	N/A	N/A	21	2	20	2
2022-02-25	$94.66	$0.00	23.3%	6.7%	24.2%	55.9%	0.0%	9.7%	-1.4%	4.6K	-31.6K	-268	0.10	116.33	N/A	N/A	21	2	20	2
2022-02-28	$93.87	$0.00	28.1%	8.1%	23.8%	73.9%	0.0%	5.3%	-3.8%	4.1K	-30.1K	-252	0.10	120.51	N/A	N/A	21	2	20	2