SUSA Options History — August 2022

In August 2022, SUSA traded between $85.05 and $92.75. ATM implied volatility averaged 21.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.3% (HV 20d: 20.0%). Max pain ranged from $82.00 to $100.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2022-08-31: Highest Volume — 50 contracts
  • 2022-08-10: Largest IV drop — 33.1% change
  • 2022-08-31: Highest IV Rank — 38.0%
  • 2022-08-31: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.45$85.05$92.75$88.29$85.05
Max Pain$87.36$82.00$100.00$100.00$90.00
ATM IV21.3%14.6%27.0%22.9%27.0%
Expected Move5.9%4.2%7.7%6.6%7.7%
HV 20d20.0%17.3%23.6%19.9%23.6%
HV 60d25.5%24.0%28.3%28.3%25.6%
IV Rank27.1%12.9%38.0%30.7%38.0%
IV Percentile51.4%23.8%77.8%59.5%77.8%
Term Structure-0.5%-6.5%5.7%1.0%-0.9%
VWIV27.0%25.5%30.0%26.2%30.0%
Skew 25d4.9%-1.3%13.6%6.8%7.6%
Skew 10d4.8%-13.1%11.0%1.9%4.5%
Call IV 25d16.9%10.1%33.3%16.1%18.7%
Put IV 25d21.8%14.6%34.3%22.9%26.3%
Bid-Ask Spread %124.18105.86142.14122.14127.69
Gamma HHI0.460.310.650.600.41
Net GEX-3.9K-13.0K1.8K1.8K-9.8K
Net DEX8.9K-24.4K101.9K-22.6K101.9K
Net VEX-255-537-93-97-418
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.002.000.001.50
Total Volume5.87050550
Total OI36.087860860

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$88.29$100.0022.9%6.6%19.9%30.7%0.0%6.8%1.0%1.8K-22.6K-970.00122.14N/AN/A5080
2022-08-02$88.00$100.0021.2%6.1%20.0%27.1%0.0%2.0%-0.0%1.6K-22.1K-930.00121.79N/AN/A5080
2022-08-03$89.44$100.0022.6%6.5%20.5%30.2%0.0%4.4%-6.5%1.7K-23.5K-940.00122.17N/AN/A5080
2022-08-04$89.08$0.0023.0%6.0%20.4%31.0%26.2%11.8%-1.3%1.6K-24.4K-942.00105.86N/AN/A51080
2022-08-05$89.01$82.0022.5%5.9%20.4%29.9%0.0%13.6%-1.6%-660-1.2K-1860.00109.53N/AN/A50810
2022-08-08$89.18$82.0021.8%4.8%19.5%28.4%25.5%1.6%3.3%-395-16.8K-1422.00118.24N/AN/A510810
2022-08-09$88.38$82.0021.8%5.4%19.3%28.4%0.0%3.0%2.3%-3.4K3.6K-2210.00129.19N/AN/A00820
2022-08-10$90.57$82.0014.6%4.2%20.4%12.9%0.0%5.9%5.7%-2.7K-15.2K-1520.00129.84N/AN/A00820
2022-08-11$90.46$82.0019.2%5.5%20.2%22.8%0.0%2.0%-1.0%-2.3K-7.7K-1950.00126.56N/AN/A010820
2022-08-12$92.01$82.0019.8%5.7%20.3%24.1%0.0%4.5%-1.4%-3.8K-18.4K-1870.00118.47N/AN/A00830
2022-08-15$92.57$82.0019.1%5.5%19.6%22.7%0.0%-1.3%-3.5%-1.6K-16.5K-2080.00116.15N/AN/A00830
2022-08-16$92.75$82.0018.4%5.3%17.3%21.0%0.0%4.0%-0.4%-2.0K-15.0K-2230.00114.44N/AN/A00830
2022-08-17$91.90$82.0019.1%5.5%18.0%22.7%0.0%0.5%1.8%-2.2K-8.7K-2530.00117.84N/AN/A00830
2022-08-18$92.31$82.0019.7%5.7%17.9%24.0%0.0%1.7%-3.0%-822-19.1K-1870.00121.33N/AN/A00830
2022-08-19$90.82$82.0023.9%6.8%18.8%32.9%26.4%1.1%-2.1%-2.5K-6.5K-2370.00142.14N/AN/A010830
2022-08-22$88.73$90.0021.3%6.1%21.1%27.2%0.0%4.2%-0.1%-10.0K49.1K-3400.00129.83N/AN/A00540
2022-08-23$88.73$90.0022.1%6.3%20.8%29.0%0.0%3.8%-2.6%-10.1K54.8K-3300.00134.89N/AN/A150540
2022-08-24$89.15$90.0018.9%5.4%18.3%22.1%0.0%9.0%2.7%-8.2K27.3K-4960.00121.11N/AN/A002040
2022-08-25$90.00$90.0020.7%5.9%18.2%26.0%0.0%6.8%0.5%-5.0K7.0K-4580.00135.42N/AN/A002040
2022-08-26$86.96$90.0022.0%6.3%21.5%28.8%0.0%9.0%-3.3%-7.6K53.2K-5370.00127.68N/AN/A002040
2022-08-29$86.39$90.0024.5%7.0%21.6%34.2%0.0%4.2%-1.3%-9.1K78.3K-4380.00133.52N/AN/A002040
2022-08-30$87.58$90.0023.0%6.6%22.2%29.4%0.0%6.9%0.2%-13.0K46.4K-2720.00130.21N/AN/A002040
2022-08-31$85.05$90.0027.0%7.7%23.6%38.0%30.0%7.6%-0.9%-9.8K101.9K-4181.50127.69N/AN/A20302040