SUSA Options History — June 2022 In June 2022, SUSA traded between $77.87 and $89.20. ATM implied volatility averaged 27.4%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 3.2% (HV 20d: 30.7%). Max pain ranged from $83.00 to $86.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.12.
Notable Days 2022-06-14 : Highest Volume — 7 contracts2022-06-16 : Largest IV spike — 33.1% change2022-06-16 : Highest IV Rank — 67.0%2022-06-16 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $83.32 $77.87 $89.20 $88.06 $80.69 Max Pain $83.25 $83.00 $86.00 $86.00 $83.00 ATM IV 27.4% 22.7% 33.9% 25.6% 31.6% Expected Move 7.7% 6.1% 9.7% 7.3% 9.1% HV 20d 30.7% 26.9% 33.8% 33.8% 31.3% HV 60d 27.8% 26.2% 29.4% 26.8% 29.2% IV Rank 50.0% 37.4% 67.0% 45.1% 61.0% IV Percentile 83.8% 64.3% 97.2% 80.6% 95.6% Term Structure -0.8% -6.9% 1.6% -1.4% -2.8% VWIV 27.3% 23.9% 34.4% 25.6% 27.9% Skew 25d 5.2% -9.6% 13.7% 0.4% -9.6% Skew 10d 7.1% -1.2% 14.8% 0.3% 1.0% Call IV 25d 24.7% 19.4% 29.8% 26.2% 28.2% Put IV 25d 30.0% 18.6% 37.3% 26.6% 18.6% Bid-Ask Spread % 120.55 104.65 132.02 126.49 124.33 Gamma HHI 0.42 0.34 0.51 0.36 0.49 Net GEX 1.0K 495 1.6K 812 1.3K Net DEX -11.1K -17.5K -1.1K -16.1K -11.0K Net VEX -92 -123 -63 -123 -73 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.12 0.00 0.20 0.20 0.00 Total Volume 5.81 5 7 6 5 Total OI 8.143 8 9 8 8
Daily Data (21 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 2022-06-01 $88.06 $86.00 25.6% 7.3% 33.8% 45.1% 25.6% 0.4% -1.4% 812 -16.1K -123 0.20 126.49 N/A N/A 5 1 7 1 2022-06-02 $89.20 $0.00 25.6% 6.7% 32.0% 45.0% 0.0% 2.6% -2.2% 943 -17.1K -123 0.20 111.74 N/A N/A 5 1 7 1 2022-06-03 $88.04 $0.00 28.5% 8.1% 28.8% 52.9% 0.0% 7.0% -0.4% 840 -17.1K -123 0.20 104.65 N/A N/A 5 1 7 1 2022-06-06 $88.33 $0.00 31.4% 6.9% 28.8% 60.5% 0.0% 4.4% 0.8% 987 -17.4K -122 0.20 121.22 N/A N/A 5 1 7 1 2022-06-07 $89.07 $0.00 27.2% 6.1% 26.9% 49.4% 0.0% 5.7% 1.5% 846 -17.5K -120 0.20 122.13 N/A N/A 5 1 7 1 2022-06-08 $88.20 $0.00 22.7% 6.5% 27.2% 37.4% 0.0% 5.6% 0.2% 881 -16.2K -117 0.20 110.28 N/A N/A 5 1 7 1 2022-06-09 $86.26 $0.00 23.8% 6.8% 27.7% 40.3% 0.0% 8.0% 0.4% 866 -15.2K -119 0.20 117.80 N/A N/A 5 1 7 1 2022-06-10 $83.79 $0.00 27.0% 7.7% 29.7% 48.8% 0.0% 8.2% -0.3% 495 -8.2K -100 0.20 122.43 N/A N/A 5 1 7 1 2022-06-13 $80.02 $0.00 31.6% 9.1% 31.6% 61.0% 0.0% -0.3% -1.7% 504 -1.4K -76 0.20 109.41 N/A N/A 5 1 7 1 2022-06-14 $79.83 $0.00 28.2% 8.1% 31.6% 52.0% 34.4% 7.4% -0.3% 526 -1.8K -75 0.17 110.95 N/A N/A 6 1 7 1 2022-06-15 $80.97 $83.00 25.4% 7.3% 31.1% 44.7% 23.9% 7.2% -0.0% 1.0K -3.2K -80 0.17 122.74 N/A N/A 6 1 8 1 2022-06-16 $77.87 $83.00 33.9% 9.7% 30.6% 67.0% 31.1% 8.9% -6.9% 809 -2.1K -71 0.17 127.70 N/A N/A 6 1 8 1 2022-06-17 $78.52 $83.00 27.1% 7.8% 30.9% 49.1% 28.6% 8.5% 0.3% 757 -1.1K -63 0.17 123.63 N/A N/A 6 1 8 1 2022-06-21 $80.29 $83.00 27.3% 7.8% 32.1% 49.7% 29.4% 13.7% -1.4% 1.2K -10.1K -71 0.00 127.70 N/A N/A 5 0 8 0 2022-06-22 $80.15 $83.00 26.9% 7.7% 31.1% 48.6% 24.5% 11.1% -0.5% 1.3K -9.8K -71 0.00 121.38 N/A N/A 5 0 8 0 2022-06-23 $80.94 $83.00 29.8% 8.5% 31.4% 56.1% 26.5% 6.9% 1.6% 1.2K -11.9K -76 0.00 119.67 N/A N/A 5 0 8 0 2022-06-24 $83.32 $83.00 24.5% 7.0% 33.0% 42.1% 25.3% 11.2% -0.2% 1.5K -14.8K -86 0.00 132.02 N/A N/A 5 0 8 0 2022-06-27 $83.31 $83.00 25.4% 7.3% 31.8% 44.6% 25.0% 1.7% -0.8% 1.6K -15.4K -83 0.00 129.47 N/A N/A 5 0 8 0 2022-06-28 $81.54 $83.00 22.8% 6.5% 31.2% 37.7% 24.2% -4.1% -0.3% 1.5K -14.1K -80 0.00 123.95 N/A N/A 5 0 8 0 2022-06-29 $81.38 $83.00 30.0% 8.6% 31.2% 56.7% 28.0% 5.4% -1.6% 1.3K -12.0K -74 0.00 121.76 N/A N/A 5 0 8 0 2022-06-30 $80.69 $83.00 31.6% 9.1% 31.3% 61.0% 27.9% -9.6% -2.8% 1.3K -11.0K -73 0.00 124.33 N/A N/A 5 0 8 0
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