SUSA Options History — September 2022

In September 2022, SUSA traded between $76.37 and $87.78. ATM implied volatility averaged 28.1%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.4% (HV 20d: 27.6%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2022-09-13: Highest Volume — 60 contracts
  • 2022-09-14: Largest IV drop — 42.4% change
  • 2022-09-13: Highest IV Rank — 67.3%
  • 2022-09-29: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.06$76.37$87.78$84.18$76.37
Max Pain$85.00$75.00$90.00$90.00$75.00
ATM IV28.1%21.8%40.4%26.1%30.3%
Expected Move7.4%5.7%9.2%7.5%8.7%
HV 20d27.6%23.1%30.8%23.8%29.3%
HV 60d24.2%22.9%25.6%25.6%25.0%
IV Rank40.4%26.6%67.3%36.1%45.2%
IV Percentile76.8%48.4%98.8%73.8%88.1%
Term Structure-0.2%-7.7%4.0%2.7%4.0%
VWIV26.6%25.1%28.2%28.2%25.1%
Skew 25d8.1%-5.0%14.9%6.5%8.1%
Skew 10d7.8%1.7%13.7%7.5%8.0%
Call IV 25d21.2%12.9%32.2%19.6%29.6%
Put IV 25d29.3%19.3%41.2%26.1%37.7%
Bid-Ask Spread %119.72108.19133.00127.66117.74
Gamma HHI0.370.210.850.480.21
Net GEX-6.7K-55.9K3.6K-10.2K322
Net DEX53.6K-17.4K136.7K116.7K10.1K
Net VEX-288-420-207-418-207
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.001.501.500.35
Total Volume20.857060042
Total OI53.1940706042

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$84.18$90.0026.1%7.5%23.8%36.1%0.0%6.5%2.7%-10.2K116.7K-4180.00127.66N/AN/A002040
2022-09-02$83.53$90.0022.9%6.5%23.8%28.9%0.0%-5.0%-2.5%-11.7K132.4K-3730.00133.00N/AN/A002040
2022-09-06$83.45$0.0032.2%7.6%23.7%49.4%0.0%6.7%-0.4%-12.0K136.7K-3221.50115.41N/AN/A20302040
2022-09-07$85.16$0.0024.3%6.9%25.1%32.0%0.0%14.9%0.3%-11.4K108.2K-2911.50117.88N/AN/A20302040
2022-09-08$85.35$0.0027.5%6.5%23.1%39.1%0.0%12.8%0.8%-10.6K87.7K-3620.00118.65N/AN/A002040
2022-09-09$87.22$0.0025.9%5.7%24.7%35.6%0.0%11.7%1.6%-9.3K62.8K-3020.00117.94N/AN/A1002040
2022-09-12$87.78$0.0034.3%6.6%23.9%54.1%0.0%12.3%-4.5%-5.0K26.5K-4200.00118.86N/AN/A003040
2022-09-13$83.96$0.0040.4%6.7%28.0%67.3%0.0%5.5%1.8%-8.8K107.9K-3701.00123.13N/AN/A30303040
2022-09-14$84.28$0.0023.2%6.7%28.0%29.7%0.0%6.6%-0.5%-9.9K99.2K-3270.00127.25N/AN/A003040
2022-09-15$85.32$0.0021.8%6.2%28.6%26.6%0.0%9.6%2.8%-7.6K69.5K-3670.00120.87N/AN/A003040
2022-09-16$82.25$0.0025.5%7.3%30.7%34.7%0.0%5.5%1.1%-55.9K133.5K-2741.00116.74N/AN/A30303040
2022-09-19$82.85$0.0024.5%7.0%30.8%32.5%0.0%2.9%0.4%3.6K-17.4K-2510.00128.75N/AN/A003010
2022-09-20$82.06$0.0026.1%7.5%30.0%35.9%0.0%10.7%-0.0%2.4K-5.7K-2150.00122.15N/AN/A003010
2022-09-21$80.81$0.0024.2%6.9%30.3%31.8%0.0%10.6%-0.0%1.7K-751-2130.00122.25N/AN/A003010
2022-09-22$80.32$0.0027.1%7.8%30.1%38.3%0.0%5.5%-0.6%1.6K92-2210.00118.72N/AN/A013010
2022-09-23$78.37$0.0026.8%7.7%30.3%37.6%0.0%5.2%2.8%71510.1K-2320.00124.66N/AN/A003011
2022-09-26$77.42$0.0031.4%9.0%28.6%47.7%0.0%13.0%-7.7%39912.4K-2190.37110.21N/AN/A30113011
2022-09-27$76.93$0.0031.3%9.0%28.6%47.5%0.0%11.1%-0.7%67010.5K-2320.37108.19N/AN/A30113011
2022-09-28$78.81$0.0031.5%9.0%29.8%47.9%0.0%9.8%-1.9%62011.1K-2140.37114.32N/AN/A30113011
2022-09-29$76.88$0.0032.2%9.2%29.3%49.5%28.2%6.1%-2.6%42314.2K-2220.35109.71N/AN/A31113011
2022-09-30$76.37$75.0030.3%8.7%29.3%45.2%25.1%8.1%4.0%32210.1K-2070.35117.74N/AN/A31113111