SUSA Options History — May 2022

In May 2022, SUSA traded between $83.09 and $92.36. ATM implied volatility averaged 29.7%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.2% (HV 20d: 30.8%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2022-05-19: Highest Volume — 48 contracts
  • 2022-05-05: Largest IV spike — 35.9% change
  • 2022-05-09: Highest IV Rank — 100.0%
  • 2022-05-09: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.52$83.09$92.36$88.75$88.69
Max Pain$87.29$86.00$95.00$95.00$86.00
ATM IV29.7%23.3%46.3%30.4%27.0%
Expected Move8.1%6.7%9.9%8.7%7.7%
HV 20d30.8%22.6%34.5%23.0%33.8%
HV 60d26.0%23.3%27.5%23.3%27.1%
IV Rank59.1%38.9%100.0%71.0%48.7%
IV Percentile89.8%74.6%100.0%96.8%84.9%
Term Structure-2.3%-9.0%0.7%-1.2%-9.0%
VWIV27.9%20.3%35.8%26.1%29.2%
Skew 25d7.8%-0.7%15.0%7.7%5.3%
Skew 10d10.6%0.9%16.7%10.9%0.9%
Call IV 25d24.4%16.5%32.5%26.4%28.2%
Put IV 25d32.2%27.4%39.5%34.1%33.5%
Bid-Ask Spread %113.87104.47129.50115.96118.97
Gamma HHI0.440.220.720.460.36
Net GEX-1.5K-9.4K1.5K-4.3K905
Net DEX117.9K-23.5K192.2K166.9K-18.6K
Net VEX-104-235-33-146-128
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.201.151.150.20
Total Volume32.905648436
Total OI26.333838338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$88.75$95.0030.4%8.7%23.0%71.0%26.1%7.7%-1.2%-4.3K166.9K-1461.15115.96N/AN/A20231023
2022-05-03$89.44$95.0027.2%7.8%22.6%60.8%25.8%11.1%-0.4%-5.4K166.9K-1471.15119.38N/AN/A20231023
2022-05-04$92.36$95.0025.8%7.4%25.8%56.2%29.0%11.8%-0.1%-9.4K119.3K-2351.15129.50N/AN/A20231023
2022-05-05$88.66$86.0035.1%8.9%29.1%86.4%35.8%11.3%-2.8%-5.2K141.9K-1861.15106.72N/AN/A20231023
2022-05-06$88.20$86.0037.2%9.3%28.8%93.1%33.5%14.9%-3.7%-4.4K160.2K-1441.15109.09N/AN/A20231023
2022-05-09$85.79$86.0046.3%9.9%29.9%100.0%32.6%11.8%-5.8%-3.3K167.4K-951.15114.50N/AN/A20231023
2022-05-10$85.64$86.0037.8%9.2%29.5%77.3%32.0%9.9%-3.7%-3.0K166.7K-1051.15104.47N/AN/A20231023
2022-05-11$84.17$86.0032.1%9.2%29.8%62.2%30.4%4.0%-1.5%-1.5K180.7K-521.15111.47N/AN/A20231023
2022-05-12$83.87$86.0031.3%9.0%29.0%60.2%25.3%15.0%-1.4%-750185.5K-341.15108.91N/AN/A20231023
2022-05-13$86.47$86.0027.1%7.8%31.6%49.0%25.4%13.1%-2.7%-571191.0K-341.15107.35N/AN/A20231023
2022-05-16$85.91$86.0029.6%8.5%31.6%55.7%30.9%9.1%-4.7%-668189.5K-341.15109.47N/AN/A20231023
2022-05-17$87.65$86.0028.6%8.2%31.4%53.0%29.3%11.0%-5.3%-762192.2K-331.15117.44N/AN/A20231023
2022-05-18$84.01$86.0029.2%8.4%34.0%54.6%25.9%1.9%-1.5%-716185.0K-341.15114.79N/AN/A20231023
2022-05-19$83.92$86.0027.2%7.8%33.9%49.4%23.0%4.5%0.5%-94186.1K-380.92109.81N/AN/A25231023
2022-05-20$83.09$86.0028.1%8.0%33.4%51.6%27.3%-0.7%-0.4%888174.6K-1050.92105.06N/AN/A25231523
2022-05-23$84.69$86.0023.6%6.8%34.5%39.8%20.3%6.7%0.7%1.1K-12.7K-1240.20109.38N/AN/A5181
2022-05-24$84.29$86.0023.3%6.7%33.7%38.9%25.5%4.7%0.6%1.0K-11.5K-1210.20114.71N/AN/A5181
2022-05-25$85.21$86.0027.9%8.0%34.0%51.1%24.5%6.3%-1.9%1.2K-13.2K-1230.20121.97N/AN/A5181
2022-05-26$87.13$86.0024.5%7.0%34.2%42.2%26.0%2.3%-0.7%1.3K-18.5K-1310.20119.80N/AN/A5181
2022-05-27$89.04$86.0023.8%6.8%33.8%40.3%28.4%3.1%-3.3%1.5K-23.5K-1380.20122.58N/AN/A5181
2022-05-31$88.69$86.0027.0%7.7%33.8%48.7%29.2%5.3%-9.0%905-18.6K-1280.20118.97N/AN/A5171