SUSA Options History — February 2023 In February 2023, SUSA traded between $85.41 and $89.66. ATM implied volatility averaged 20.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.0% (HV 20d: 16.1%). Max pain ranged from $68.00 to $89.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2023-02-24 : Highest Volume — 3 contracts2023-02-24 : Largest IV spike — 28.8% change2023-02-24 : Highest IV Rank — 26.9%2023-02-24 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $87.75 $85.41 $89.66 $89.05 $85.66 Max Pain $74.25 $68.00 $89.00 $68.00 $70.00 ATM IV 20.1% 16.6% 24.8% 16.6% 24.5% Expected Move 5.7% 4.7% 7.1% 4.7% 7.0% HV 20d 16.1% 14.9% 17.2% 16.3% 16.5% HV 60d 19.2% 17.3% 22.2% 22.2% 17.3% IV Rank 15.8% 7.2% 26.9% 7.2% 26.2% IV Percentile 18.9% 2.4% 49.6% 2.4% 47.6% Term Structure -1.2% -6.0% 4.2% -0.2% -6.0% VWIV 22.0% 18.6% 25.4% 18.6% 25.4% Skew 25d 4.5% -0.7% 10.6% 5.2% 9.1% Skew 10d 5.6% -1.0% 14.8% 1.5% 8.3% Call IV 25d 15.2% 11.9% 20.1% 13.2% 14.9% Put IV 25d 19.7% 15.4% 25.9% 18.4% 24.0% Bid-Ask Spread % 122.62 109.64 129.36 126.71 125.99 Gamma HHI 0.47 0.37 0.60 0.41 0.45 Net GEX 3.7K 3.0K 4.4K 3.3K 3.7K Net DEX -34.9K -44.0K -25.9K -32.0K -27.3K Net VEX -137 -156 -118 -119 -124 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 0.368 0 3 0 0 Total OI 15.842 8 20 17 12
Daily Data (19 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 2023-02-01 $89.05 $68.00 16.6% 4.7% 16.3% 7.2% 0.0% 5.2% -0.2% 3.3K -32.0K -119 0.00 126.71 N/A N/A 0 0 7 10 2023-02-02 $89.66 $0.00 18.1% 5.0% 16.3% 10.9% 0.0% 9.9% -2.6% 3.0K -36.6K -118 0.00 115.35 N/A N/A 2 0 7 10 2023-02-03 $88.87 $0.00 19.0% 5.4% 16.6% 13.0% 0.0% 3.7% -1.7% 3.8K -44.0K -156 0.00 120.96 N/A N/A 0 0 9 10 2023-02-06 $88.30 $0.00 22.0% 5.6% 15.1% 20.3% 0.0% 2.2% -0.4% 3.9K -38.6K -151 0.00 123.20 N/A N/A 0 0 9 10 2023-02-07 $89.33 $0.00 19.9% 5.1% 15.4% 15.2% 0.0% -0.7% 2.4% 3.9K -42.1K -153 0.00 118.61 N/A N/A 0 0 9 10 2023-02-08 $88.44 $0.00 16.8% 4.8% 16.1% 7.8% 0.0% 2.4% 4.2% 3.8K -40.5K -152 0.00 127.08 N/A N/A 0 0 9 10 2023-02-09 $87.70 $0.00 18.7% 5.4% 16.1% 12.3% 0.0% 0.5% 0.0% 3.8K -38.9K -150 0.00 124.30 N/A N/A 0 0 9 10 2023-02-10 $87.74 $0.00 23.9% 6.9% 16.1% 24.8% 0.0% 6.5% -3.6% 3.6K -35.8K -147 0.00 109.64 N/A N/A 0 0 9 10 2023-02-13 $88.77 $0.00 22.1% 6.3% 16.4% 20.5% 0.0% 7.5% -2.4% 3.8K -39.8K -146 0.00 114.67 N/A N/A 0 0 9 10 2023-02-14 $89.06 $0.00 17.8% 5.1% 16.4% 10.2% 0.0% 3.2% 0.6% 4.4K -41.8K -144 0.00 126.40 N/A N/A 0 0 9 10 2023-02-15 $89.05 $0.00 17.1% 4.9% 15.3% 8.5% 0.0% 3.2% 1.5% 4.2K -41.5K -143 0.00 129.17 N/A N/A 0 0 9 10 2023-02-16 $88.31 $0.00 19.6% 5.6% 15.3% 14.5% 0.0% 2.7% -5.3% 4.3K -40.6K -141 0.00 125.27 N/A N/A 0 1 9 10 2023-02-17 $87.80 $0.00 20.4% 5.8% 14.9% 16.4% 0.0% 9.7% -1.9% 3.9K -28.5K -139 0.00 119.82 N/A N/A 0 0 9 11 2023-02-21 $86.11 $0.00 19.1% 5.5% 16.0% 13.3% 0.0% 1.1% 2.1% 3.1K -26.6K -126 0.00 129.36 N/A N/A 0 0 8 0 2023-02-22 $85.53 $0.00 21.8% 6.2% 16.1% 19.7% 0.0% 5.3% -0.8% 3.0K -26.4K -123 0.00 124.60 N/A N/A 0 0 8 0 2023-02-23 $86.63 $0.00 19.2% 5.5% 16.8% 13.6% 18.6% 3.0% -2.9% 3.5K -27.0K -125 0.00 123.88 N/A N/A 1 0 8 0 2023-02-24 $85.41 $89.00 24.8% 7.1% 17.2% 26.9% 25.4% 10.6% -3.7% 3.4K -25.9K -125 0.00 119.21 N/A N/A 0 3 9 0 2023-02-27 $85.81 $70.00 21.2% 6.1% 17.0% 18.3% 0.0% 0.9% -1.6% 3.5K -29.0K -130 0.00 125.63 N/A N/A 0 0 9 3 2023-02-28 $85.66 $70.00 24.5% 7.0% 16.5% 26.2% 0.0% 9.1% -6.0% 3.7K -27.3K -124 0.00 125.99 N/A N/A 0 0 9 3
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