SUSA Options History — March 2022

In March 2022, SUSA traded between $89.47 and $99.24. ATM implied volatility averaged 24.1%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.1% (HV 20d: 25.3%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.19.

Notable Days

2022-03-30: Highest Volume — 45 contracts
2022-03-31: Largest IV spike — 40.9% change
2022-03-07: Highest IV Rank — 96.0%
2022-03-08: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.23	$89.47	$99.24	$92.54	$97.39
Max Pain	$94.07	$94.00	$95.00	$94.00	$95.00
ATM IV	24.1%	13.6%	33.9%	28.7%	19.1%
Expected Move	7.1%	4.7%	10.1%	8.2%	5.4%
HV 20d	25.3%	22.6%	27.5%	22.6%	23.8%
HV 60d	21.0%	19.4%	22.2%	19.8%	22.2%
IV Rank	59.0%	18.9%	96.0%	76.2%	39.9%
IV Percentile	81.5%	28.2%	99.5%	97.1%	67.1%
Term Structure	-1.3%	-5.3%	4.3%	-2.3%	-2.4%
VWIV	17.4%	13.3%	20.3%	20.3%	18.3%
Skew 25d	8.7%	1.3%	16.4%	12.3%	1.3%
Skew 10d	12.1%	-1.1%	24.0%	21.4%	4.0%
Call IV 25d	18.9%	11.7%	27.0%	25.8%	15.6%
Put IV 25d	27.7%	16.9%	41.3%	38.1%	16.9%
Bid-Ask Spread %	110.68	91.29	128.34	117.95	111.80
Gamma HHI	0.33	0.29	0.58	0.32	0.58
Net GEX	3.8K	-8.5K	7.0K	3.6K	-8.5K
Net DEX	-27.9K	-56.0K	32.4K	-27.0K	32.4K
Net VEX	-227	-399	-166	-246	-399
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.10	1.14	0.10	1.14
Total Volume	25.087	23	45	23	45
Total OI	22.609	22	32	22	32

Daily Data (23 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
2022-03-01	$92.54	$0.00	28.7%	8.2%	22.6%	76.2%	0.0%	12.3%	-2.3%	3.6K	-27.0K	-246	0.10	117.95	N/A	N/A	21	2	20	2
2022-03-02	$94.80	$0.00	26.7%	7.7%	24.2%	68.8%	0.0%	12.1%	-1.0%	4.5K	-35.3K	-264	0.10	123.16	N/A	N/A	21	2	20	2
2022-03-03	$93.96	$0.00	28.5%	8.2%	24.0%	75.5%	0.0%	10.0%	-1.2%	4.0K	-30.8K	-247	0.10	120.45	N/A	N/A	21	2	20	2
2022-03-04	$92.91	$0.00	31.9%	9.1%	23.2%	88.2%	0.0%	12.7%	1.3%	3.7K	-27.6K	-253	0.10	119.28	N/A	N/A	21	2	20	2
2022-03-07	$90.87	$0.00	33.9%	9.7%	24.2%	96.0%	0.0%	16.4%	-4.3%	2.8K	-17.6K	-195	0.10	121.70	N/A	N/A	21	2	20	2
2022-03-08	$90.18	$0.00	30.4%	10.1%	24.2%	82.8%	0.0%	13.2%	-2.2%	2.9K	-15.8K	-197	0.10	128.34	N/A	N/A	21	2	20	2
2022-03-09	$92.73	$0.00	26.0%	9.6%	26.5%	66.1%	0.0%	5.2%	0.2%	3.9K	-26.1K	-243	0.10	124.79	N/A	N/A	21	2	20	2
2022-03-10	$91.29	$0.00	26.3%	9.6%	25.9%	67.0%	0.0%	6.0%	0.1%	3.0K	-14.6K	-186	0.10	116.98	N/A	N/A	21	2	20	2
2022-03-11	$90.27	$0.00	26.3%	8.7%	25.3%	66.9%	0.0%	7.3%	1.1%	3.0K	-17.6K	-207	0.10	126.54	N/A	N/A	21	2	20	2
2022-03-14	$89.47	$94.00	28.1%	7.5%	24.9%	73.9%	20.3%	14.4%	-1.9%	2.6K	-12.1K	-166	0.10	94.01	N/A	N/A	21	2	20	2
2022-03-15	$91.39	$94.00	27.2%	7.3%	26.4%	70.7%	19.9%	9.2%	-2.3%	3.4K	-16.6K	-199	0.10	91.64	N/A	N/A	21	2	20	2
2022-03-16	$93.03	$94.00	25.0%	6.8%	26.7%	62.3%	18.0%	6.6%	-0.5%	3.7K	-22.3K	-202	0.10	102.02	N/A	N/A	21	2	20	2
2022-03-17	$94.69	$94.00	21.6%	6.1%	27.5%	49.3%	18.3%	11.7%	-5.3%	4.4K	-25.7K	-197	0.10	91.29	N/A	N/A	21	2	20	2
2022-03-18	$96.05	$94.00	19.6%	5.6%	26.9%	41.7%	17.3%	6.1%	-0.1%	5.1K	-34.0K	-211	0.10	104.29	N/A	N/A	21	2	20	2
2022-03-21	$95.40	$94.00	25.5%	6.8%	26.9%	64.1%	18.5%	11.6%	-2.4%	4.7K	-34.7K	-219	0.10	92.01	N/A	N/A	21	2	20	2
2022-03-22	$97.04	$94.00	18.1%	5.4%	27.1%	36.0%	15.9%	9.3%	1.4%	6.1K	-44.5K	-240	0.10	92.05	N/A	N/A	21	2	20	2
2022-03-23	$95.79	$94.00	22.9%	6.3%	26.4%	54.3%	18.1%	8.2%	-2.7%	5.0K	-40.2K	-230	0.10	104.81	N/A	N/A	21	2	20	2
2022-03-24	$96.27	$94.00	21.5%	5.6%	26.2%	48.9%	16.6%	5.9%	-4.4%	5.8K	-44.0K	-243	0.10	114.15	N/A	N/A	21	2	20	2
2022-03-25	$96.56	$94.00	19.3%	5.2%	24.8%	40.8%	17.7%	4.1%	-3.2%	5.3K	-39.5K	-206	0.10	108.30	N/A	N/A	21	2	20	2
2022-03-28	$97.40	$94.00	18.9%	5.2%	24.7%	39.0%	14.2%	7.8%	-4.3%	6.5K	-47.8K	-232	0.19	125.82	N/A	N/A	21	4	20	2
2022-03-29	$99.24	$94.00	16.2%	4.7%	24.6%	29.1%	13.3%	5.6%	1.8%	7.0K	-56.0K	-247	0.19	108.05	N/A	N/A	21	4	20	4
2022-03-30	$98.12	$94.00	13.6%	5.0%	23.9%	18.9%	16.6%	3.4%	4.3%	5.3K	-44.7K	-197	1.14	106.18	N/A	N/A	21	24	20	4
2022-03-31	$97.39	$95.00	19.1%	5.4%	23.8%	39.9%	18.3%	1.3%	-2.4%	-8.5K	32.4K	-399	1.14	111.80	N/A	N/A	21	24	8	24