SUSA Options History — July 2022 In July 2022, SUSA traded between $80.66 and $88.48. ATM implied volatility averaged 27.9%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.3% (HV 20d: 24.6%). Max pain ranged from $83.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2022-07-01 : Highest Volume — 5 contracts2022-07-13 : Largest IV drop — 54.2% change2022-07-12 : Highest IV Rank — 100.0%2022-07-18 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $83.40 $80.66 $88.48 $81.48 $88.48 Max Pain $99.15 $83.00 $100.00 $83.00 $100.00 ATM IV 27.9% 19.8% 55.2% 27.8% 22.0% Expected Move 6.8% 5.7% 8.6% 8.0% 6.3% HV 20d 24.6% 18.8% 31.4% 31.0% 19.9% HV 60d 29.1% 28.7% 29.5% 29.3% 29.1% IV Rank 45.3% 24.0% 100.0% 51.0% 28.7% IV Percentile 72.4% 47.6% 100.0% 85.3% 57.5% Term Structure 0.4% -4.9% 13.8% -2.2% -0.5% VWIV 28.0% 28.0% 28.0% 28.0% 28.0% Skew 25d 8.6% 2.6% 14.9% 6.7% 6.5% Skew 10d 6.0% -0.5% 13.3% 0.8% -0.5% Call IV 25d 18.8% 13.5% 22.9% 22.8% 14.0% Put IV 25d 27.5% 20.6% 32.2% 29.5% 20.6% Bid-Ask Spread % 116.54 108.74 125.79 125.79 118.99 Gamma HHI 0.57 0.38 0.89 0.47 0.60 Net GEX 1.5K 1.1K 1.9K 1.4K 1.8K Net DEX -13.6K -22.4K -8.2K -10.3K -22.4K Net VEX -78 -97 -54 -69 -97 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 4.95 4 5 5 5 Total OI 7.9 7 8 8 8
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 2022-07-01 $81.48 $83.00 27.8% 8.0% 31.0% 51.0% 28.0% 6.7% -2.2% 1.4K -10.3K -69 0.00 125.79 N/A N/A 5 0 8 0 2022-07-05 $81.52 $100.00 36.0% 7.8% 30.9% 72.7% 0.0% 9.3% -4.9% 1.3K -10.4K -65 0.00 110.96 N/A N/A 5 0 8 0 2022-07-06 $82.20 $100.00 27.0% 7.6% 31.1% 48.7% 0.0% 14.9% -0.0% 1.9K -15.4K -90 0.00 108.74 N/A N/A 5 0 8 0 2022-07-07 $83.25 $100.00 34.7% 6.7% 31.4% 69.2% 0.0% 8.8% -1.0% 1.6K -14.0K -73 0.00 110.92 N/A N/A 5 0 8 0 2022-07-08 $83.21 $100.00 41.8% 7.6% 31.3% 87.9% 0.0% 11.7% -1.4% 1.5K -14.8K -79 0.00 111.56 N/A N/A 5 0 8 0 2022-07-11 $82.16 $100.00 38.1% 6.8% 30.7% 78.1% 0.0% 6.3% 2.4% 1.7K -10.9K -63 0.00 115.07 N/A N/A 5 0 8 0 2022-07-12 $81.21 $100.00 55.2% 7.0% 29.3% 100.0% 0.0% 6.2% 3.9% 1.6K -11.5K -69 0.00 115.84 N/A N/A 5 0 8 0 2022-07-13 $81.06 $100.00 25.3% 7.3% 24.1% 35.9% 0.0% 9.3% -0.6% 1.5K -8.2K -54 0.00 111.67 N/A N/A 5 0 8 0 2022-07-14 $80.66 $100.00 24.7% 7.1% 24.2% 34.7% 0.0% 11.3% -1.0% 1.4K -8.2K -60 0.00 115.80 N/A N/A 5 0 8 0 2022-07-15 $81.92 $100.00 26.6% 7.6% 24.3% 38.7% 0.0% 7.1% -4.4% 1.9K -11.1K -64 0.00 118.19 N/A N/A 5 0 8 0 2022-07-18 $81.24 $100.00 29.8% 8.6% 19.7% 45.6% 0.0% 11.0% -4.4% 1.1K -10.8K -67 0.00 123.04 N/A N/A 4 0 7 0 2022-07-19 $83.82 $100.00 19.8% 5.7% 22.1% 24.0% 0.0% 2.6% 2.3% 1.1K -8.5K -63 0.00 116.08 N/A N/A 5 0 7 0 2022-07-20 $84.52 $100.00 22.2% 6.4% 21.1% 29.3% 0.0% 13.3% 3.7% 1.3K -15.2K -89 0.00 113.96 N/A N/A 5 0 8 0 2022-07-21 $85.21 $100.00 21.4% 6.1% 21.1% 27.6% 0.0% 11.7% 3.2% 1.5K -16.7K -94 0.00 116.24 N/A N/A 5 0 8 0 2022-07-22 $84.50 $100.00 22.2% 6.4% 21.3% 29.3% 0.0% 3.8% -0.8% 1.5K -17.2K -93 0.00 119.67 N/A N/A 5 0 8 0 2022-07-25 $84.37 $100.00 21.9% 6.3% 18.8% 28.7% 0.0% 5.4% 3.7% 1.5K -16.1K -91 0.00 118.23 N/A N/A 5 0 8 0 2022-07-26 $83.73 $100.00 21.0% 6.0% 19.1% 26.6% 0.0% 4.3% -2.5% 1.4K -14.6K -85 0.00 121.26 N/A N/A 5 0 8 0 2022-07-27 $86.21 $100.00 20.1% 5.8% 19.9% 24.8% 0.0% 13.0% 13.8% 1.6K -16.6K -89 0.00 119.28 N/A N/A 5 0 8 0 2022-07-28 $87.22 $100.00 20.0% 5.7% 20.0% 24.5% 0.0% 9.7% -1.1% 1.6K -19.7K -96 0.00 119.52 N/A N/A 5 0 8 0 2022-07-29 $88.48 $100.00 22.0% 6.3% 19.9% 28.7% 0.0% 6.5% -0.5% 1.8K -22.4K -97 0.00 118.99 N/A N/A 5 0 8 0
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