SUSA Options History — November 2022

In November 2022, SUSA traded between $79.35 and $87.47. ATM implied volatility averaged 25.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.8% (HV 20d: 28.2%). Max pain ranged from $83.00 to $83.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.56.

Notable Days

2022-11-01: Highest Volume — 42 contracts
2022-11-07: Largest IV spike — 33.1% change
2022-11-07: Highest IV Rank — 51.7%
2022-11-01: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.06	$79.35	$87.47	$82.40	$87.47
Max Pain	$83.00	$83.00	$83.00	$83.00	$83.00
ATM IV	25.4%	18.9%	34.5%	30.8%	23.0%
Expected Move	7.0%	5.4%	8.8%	8.8%	6.6%
HV 20d	28.2%	24.6%	31.9%	25.6%	30.1%
HV 60d	28.7%	27.1%	30.2%	27.2%	29.2%
IV Rank	30.3%	14.6%	51.7%	43.1%	24.1%
IV Percentile	54.6%	17.1%	94.8%	87.7%	38.1%
Term Structure	-0.8%	-4.4%	3.9%	-2.5%	1.8%
VWIV	27.0%	25.6%	28.3%	28.3%	25.6%
Skew 25d	4.8%	0.7%	9.7%	7.4%	5.9%
Skew 10d	4.9%	0.7%	13.9%	5.1%	5.2%
Call IV 25d	20.9%	16.1%	28.3%	23.9%	16.4%
Put IV 25d	25.8%	19.9%	31.4%	31.3%	22.3%
Bid-Ask Spread %	123.97	106.15	136.76	122.58	127.53
Gamma HHI	0.37	0.21	0.61	0.21	0.56
Net GEX	13	-3.4K	3.4K	1.4K	1.1K
Net DEX	-2.1K	-18.3K	19.9K	-1.9K	-18.3K
Net VEX	-94	-141	-48	-109	-122
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.31	10.00	0.35	2.00
Total Volume	29.714	0	42	42	0
Total OI	33.19	11	44	42	15

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
2022-11-01	$82.40	$83.00	30.8%	8.8%	25.6%	43.1%	28.3%	7.4%	-2.5%	1.4K	-1.9K	-109	0.35	122.58	N/A	N/A	31	11	30	12
2022-11-02	$80.45	$83.00	29.9%	8.6%	27.1%	41.0%	25.6%	2.8%	3.9%	-291	11.1K	-126	0.35	120.56	N/A	N/A	31	11	30	12
2022-11-03	$79.35	$0.00	29.0%	7.7%	27.1%	39.1%	0.0%	2.8%	-0.9%	-1.1K	17.8K	-104	0.35	125.70	N/A	N/A	31	11	30	12
2022-11-04	$80.23	$0.00	25.9%	7.2%	24.8%	31.8%	0.0%	2.1%	0.3%	-1.1K	16.2K	-106	0.35	106.15	N/A	N/A	31	11	30	12
2022-11-07	$81.28	$0.00	34.5%	7.2%	24.9%	51.7%	0.0%	9.6%	-0.4%	-688	10.3K	-90	0.35	114.74	N/A	N/A	31	11	30	12
2022-11-08	$82.24	$0.00	31.6%	7.3%	24.6%	45.1%	0.0%	5.6%	0.5%	-454	9.5K	-95	0.32	111.42	N/A	N/A	31	10	30	13
2022-11-09	$80.30	$0.00	27.0%	7.8%	26.5%	34.5%	0.0%	1.4%	-1.4%	-1.6K	19.9K	-95	0.31	129.73	N/A	N/A	32	10	30	13
2022-11-10	$84.90	$0.00	24.6%	7.0%	31.9%	28.6%	0.0%	2.2%	-2.2%	252	-3.8K	-80	0.31	123.59	N/A	N/A	32	10	31	13
2022-11-11	$86.26	$0.00	23.6%	6.8%	30.4%	26.4%	0.0%	5.7%	0.5%	3.4K	-15.9K	-100	0.31	112.72	N/A	N/A	32	10	31	13
2022-11-14	$85.64	$0.00	25.2%	7.2%	29.9%	30.1%	0.0%	9.7%	0.3%	2.8K	-12.6K	-99	0.31	120.84	N/A	N/A	32	10	31	13
2022-11-15	$86.16	$0.00	23.7%	6.8%	29.8%	26.6%	0.0%	5.9%	-0.4%	1.4K	-9.3K	-76	0.31	121.58	N/A	N/A	32	10	31	13
2022-11-16	$85.13	$0.00	23.4%	6.7%	29.8%	25.8%	0.0%	2.7%	-0.4%	-2.5K	-6.0K	-58	0.31	129.66	N/A	N/A	32	10	31	13
2022-11-17	$84.34	$0.00	23.6%	6.8%	29.9%	25.6%	0.0%	4.7%	-1.1%	-3.4K	72	-76	0.31	127.37	N/A	N/A	32	10	31	13
2022-11-18	$85.10	$0.00	22.9%	6.6%	29.0%	24.0%	0.0%	4.3%	-0.2%	-744	-8.7K	-60	0.31	128.08	N/A	N/A	32	10	31	13
2022-11-21	$84.78	$0.00	22.5%	6.4%	28.9%	23.0%	0.0%	6.6%	-0.7%	-384	731	-65	10.00	126.05	N/A	N/A	1	10	1	10
2022-11-22	$86.05	$0.00	18.9%	5.4%	28.6%	14.6%	0.0%	8.9%	-1.1%	-147	-1.6K	-48	10.00	128.53	N/A	N/A	1	10	1	10
2022-11-23	$86.55	$0.00	21.0%	6.0%	28.5%	19.4%	0.0%	7.3%	-1.1%	-175	-1.6K	-48	2.00	127.98	N/A	N/A	5	10	1	10
2022-11-25	$86.62	$0.00	21.9%	6.3%	28.5%	21.5%	0.0%	3.3%	-2.2%	951	-18.0K	-138	0.00	134.44	N/A	N/A	0	0	5	10
2022-11-28	$85.04	$0.00	25.5%	7.3%	28.5%	30.1%	0.0%	0.7%	-4.4%	783	-15.7K	-141	0.00	127.29	N/A	N/A	0	0	5	10
2022-11-29	$84.94	$0.00	25.3%	7.3%	28.5%	29.6%	0.0%	2.2%	-4.3%	901	-15.4K	-130	0.00	136.76	N/A	N/A	0	0	5	10
2022-11-30	$87.47	$0.00	23.0%	6.6%	30.1%	24.1%	0.0%	5.9%	1.8%	1.1K	-18.3K	-122	0.00	127.53	N/A	N/A	0	0	5	10