SUSA Options History — December 2022

In December 2022, SUSA traded between $81.08 and $88.17. ATM implied volatility averaged 26.6%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.0% (HV 20d: 22.6%). Max pain ranged from $84.00 to $84.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2022-12-09: Highest Volume — 1 contracts
2022-12-14: Largest IV drop — 52.9% change
2022-12-13: Highest IV Rank — 73.7%
2022-12-27: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.14	$81.08	$88.17	$88.17	$82.08
Max Pain	$84.00	$84.00	$84.00	$84.00	$84.00
ATM IV	26.6%	19.6%	44.0%	23.5%	25.0%
Expected Move	6.5%	5.5%	8.0%	6.7%	7.2%
HV 20d	22.6%	18.8%	29.3%	28.3%	19.3%
HV 60d	26.9%	25.3%	29.0%	28.9%	25.4%
IV Rank	32.7%	16.1%	73.7%	25.4%	28.9%
IV Percentile	53.5%	16.7%	99.2%	42.9%	49.6%
Term Structure	0.3%	-5.2%	7.9%	-3.1%	-5.2%
VWIV	22.5%	22.5%	22.5%	22.5%	22.5%
Skew 25d	4.4%	-0.5%	9.5%	3.7%	5.3%
Skew 10d	4.4%	-10.1%	8.9%	0.2%	8.7%
Call IV 25d	17.1%	12.4%	21.1%	19.8%	18.0%
Put IV 25d	21.4%	17.1%	27.8%	23.4%	23.3%
Bid-Ask Spread %	127.58	117.85	136.25	129.42	128.42
Gamma HHI	0.39	0.25	0.61	0.56	0.25
Net GEX	1.0K	581	1.6K	1.1K	1.2K
Net DEX	-17.4K	-24.7K	-12.3K	-21.2K	-16.4K
Net VEX	-133	-148	-118	-126	-118
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	0.095	0	1	0	0
Total OI	15.857	15	17	15	17

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2022-12-01	$88.17	$0.00	23.5%	6.7%	28.3%	25.4%	0.0%	3.7%	-3.1%	1.1K	-21.2K	-126	129.42	N/A	N/A	0	5	10
2022-12-02	$87.73	$0.00	22.3%	6.4%	27.8%	22.6%	0.0%	3.9%	-2.5%	1.2K	-20.2K	-121	128.91	N/A	N/A	0	5	10
2022-12-05	$86.00	$0.00	27.6%	5.7%	29.0%	34.9%	0.0%	2.3%	1.2%	981	-18.7K	-126	129.22	N/A	N/A	0	5	10
2022-12-06	$84.97	$0.00	26.5%	5.8%	29.3%	32.3%	0.0%	3.6%	1.8%	581	-15.6K	-140	127.18	N/A	N/A	0	5	10
2022-12-07	$84.91	$0.00	29.0%	6.3%	29.1%	38.3%	0.0%	1.7%	1.0%	854	-14.7K	-124	123.28	N/A	N/A	0	5	10
2022-12-08	$85.45	$0.00	33.8%	7.0%	27.5%	49.5%	0.0%	6.8%	1.1%	820	-14.9K	-134	120.50	N/A	N/A	0	5	10
2022-12-09	$85.11	$0.00	33.4%	7.0%	19.3%	48.8%	0.0%	7.3%	0.5%	655	-14.0K	-141	123.43	N/A	N/A	1	5	10
2022-12-12	$86.02	$0.00	43.4%	5.5%	18.8%	72.1%	0.0%	2.6%	7.9%	1.3K	-20.2K	-140	129.19	N/A	N/A	0	6	10
2022-12-13	$86.75	$0.00	44.0%	5.9%	18.9%	73.7%	0.0%	-0.5%	-0.3%	1.2K	-24.7K	-147	125.96	N/A	N/A	0	6	10
2022-12-14	$85.86	$0.00	20.7%	5.9%	19.1%	18.8%	0.0%	2.9%	-0.6%	1.4K	-24.3K	-139	128.63	N/A	N/A	0	6	10
2022-12-15	$83.70	$0.00	20.5%	5.9%	20.8%	18.2%	0.0%	3.0%	0.9%	1.1K	-19.9K	-136	136.25	N/A	N/A	0	6	10
2022-12-16	$82.92	$0.00	21.0%	6.0%	20.8%	19.4%	0.0%	6.9%	1.4%	807	-16.8K	-142	133.34	N/A	N/A	0	6	10
2022-12-19	$81.85	$0.00	19.6%	5.6%	20.9%	16.1%	0.0%	6.2%	3.0%	734	-16.2K	-133	131.94	N/A	N/A	0	6	10
2022-12-20	$82.18	$0.00	26.8%	7.7%	20.9%	33.1%	0.0%	7.0%	1.9%	669	-12.7K	-148	121.72	N/A	N/A	0	6	10
2022-12-21	$83.19	$0.00	20.5%	5.9%	20.7%	18.2%	0.0%	2.1%	0.7%	1.0K	-17.6K	-132	135.95	N/A	N/A	0	6	10
2022-12-22	$81.72	$0.00	22.0%	6.3%	21.2%	21.7%	0.0%	4.3%	-0.5%	960	-14.7K	-118	123.85	N/A	N/A	0	6	10
2022-12-23	$82.30	$0.00	24.5%	7.0%	21.5%	27.7%	22.5%	1.1%	0.7%	875	-12.3K	-130	117.85	N/A	N/A	1	6	10
2022-12-27	$82.31	$84.00	27.9%	8.0%	20.7%	35.6%	0.0%	8.5%	-4.4%	1.4K	-15.8K	-135	123.29	N/A	N/A	0	7	10
2022-12-28	$81.08	$84.00	24.2%	6.9%	21.2%	26.9%	0.0%	3.7%	2.7%	1.3K	-16.7K	-137	130.96	N/A	N/A	0	7	10
2022-12-29	$82.74	$84.00	23.2%	6.6%	19.6%	24.6%	0.0%	9.5%	-1.0%	1.6K	-17.1K	-129	129.84	N/A	N/A	0	7	10
2022-12-30	$82.08	$84.00	25.0%	7.2%	19.3%	28.9%	0.0%	5.3%	-5.2%	1.2K	-16.4K	-118	128.42	N/A	N/A	0	7	10