SUSA Options History — June 2023 In June 2023, SUSA traded between $88.81 and $93.80. ATM implied volatility averaged 14.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.5% (HV 20d: 12.9%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days.
Notable Days 2023-06-12 : Largest IV spike — 71.7% change2023-06-12 : Highest IV Rank — 31.5%2023-06-01 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $91.53 $88.81 $93.80 $88.81 $93.80 ATM IV 14.3% 9.8% 26.8% 14.9% 9.8% Expected Move 3.4% 2.8% 4.3% 4.3% 2.8% HV 20d 12.9% 11.8% 14.3% 13.7% 12.5% HV 60d 13.8% 12.9% 15.7% 15.2% 12.9% IV Rank 5.9% 0.0% 31.5% 2.8% 0.0% IV Percentile 10.1% 0.0% 76.6% 3.6% 0.0% Term Structure 0.8% -9.1% 4.7% 1.9% 0.3% Skew 25d 3.0% 0.1% 5.9% 4.6% 1.6% Skew 10d 1.9% -0.4% 7.0% 1.1% -0.4% Call IV 25d 9.6% 8.2% 12.1% 12.1% 9.2% Put IV 25d 12.7% 9.5% 16.9% 16.8% 10.8% Bid-Ask Spread % 131.32 122.44 137.27 136.16 130.06 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 729 665 820 675 774 Net DEX -10.1K -12.4K -7.5K -7.5K -12.1K Net VEX -46 -48 -42 -47 -42 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2 2 2 2 2
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 2023-06-01 $88.81 $0.00 14.9% 4.3% 13.7% 2.8% 0.0% 4.6% 1.9% 675 -7.5K -47 0.00 136.16 N/A N/A 0 0 2 0 2023-06-02 $90.44 $0.00 13.8% 4.0% 14.3% 0.0% 0.0% 5.0% 0.8% 686 -8.6K -48 0.00 133.66 N/A N/A 0 0 2 0 2023-06-05 $90.17 $0.00 18.6% 3.8% 12.9% 11.7% 0.0% 2.5% 0.9% 669 -9.0K -48 0.00 136.74 N/A N/A 0 0 2 0 2023-06-06 $90.44 $0.00 16.8% 3.4% 12.9% 7.4% 0.0% 2.8% 2.4% 681 -8.9K -48 0.00 134.14 N/A N/A 0 0 2 0 2023-06-07 $89.85 $0.00 15.0% 3.1% 13.0% 3.1% 0.0% 0.1% 1.0% 665 -9.0K -47 0.00 133.27 N/A N/A 0 0 2 0 2023-06-08 $90.30 $0.00 14.7% 2.9% 13.0% 2.2% 0.0% 2.8% 4.7% 700 -8.7K -48 0.00 132.84 N/A N/A 0 0 2 0 2023-06-09 $90.43 $0.00 15.6% 3.0% 12.7% 4.5% 0.0% 1.8% 0.7% 674 -9.4K -48 0.00 134.65 N/A N/A 0 0 2 0 2023-06-12 $91.19 $0.00 26.8% 3.5% 12.9% 31.5% 0.0% 3.9% 1.3% 785 -9.7K -47 0.00 135.56 N/A N/A 0 0 2 0 2023-06-13 $91.98 $0.00 24.4% 3.8% 13.1% 25.6% 0.0% 5.9% 1.5% 680 -10.5K -47 0.00 122.44 N/A N/A 0 0 2 0 2023-06-14 $92.05 $0.00 12.7% 3.7% 12.7% 0.0% 0.0% 3.5% -0.3% 699 -10.7K -47 0.00 127.20 N/A N/A 0 0 2 0 2023-06-15 $93.46 $0.00 11.2% 3.2% 13.2% 0.0% 0.0% 4.9% 3.8% 734 -11.4K -46 0.00 129.94 N/A N/A 0 0 2 0 2023-06-16 $93.22 $0.00 10.5% 3.0% 13.1% 0.0% 0.0% 3.8% -0.2% 720 -12.4K -44 0.00 125.52 N/A N/A 0 0 2 0 2023-06-20 $92.58 $0.00 11.8% 3.4% 13.5% 2.8% 0.0% 2.5% 1.9% 738 -11.2K -45 0.00 123.84 N/A N/A 0 0 2 0 2023-06-21 $91.97 $0.00 10.0% 2.9% 13.8% 0.0% 0.0% 3.5% -1.4% 756 -10.9K -45 0.00 129.74 N/A N/A 0 0 2 0 2023-06-22 $91.95 $0.00 12.9% 3.7% 13.1% 6.3% 0.0% 3.3% 0.3% 793 -10.5K -45 0.00 137.27 N/A N/A 0 0 2 0 2023-06-23 $91.41 $0.00 12.7% 3.6% 12.3% 5.9% 0.0% 3.2% 1.1% 761 -10.4K -46 0.00 126.80 N/A N/A 0 0 2 0 2023-06-26 $91.22 $0.00 10.3% 2.9% 11.8% 0.5% 0.0% 2.9% 1.8% 820 -10.1K -45 0.00 136.73 N/A N/A 0 0 2 0 2023-06-27 $92.34 $0.00 14.3% 4.1% 11.9% 9.6% 0.0% 3.2% -9.1% 756 -10.3K -45 0.00 130.92 N/A N/A 0 0 2 0 2023-06-28 $92.00 $0.00 12.2% 3.5% 12.0% 4.8% 0.0% 0.9% 0.4% 793 -10.5K -45 0.00 129.59 N/A N/A 0 0 2 0 2023-06-29 $92.50 $0.00 12.0% 3.5% 11.8% 4.4% 0.0% 1.0% 2.0% 740 -10.7K -44 0.00 130.62 N/A N/A 0 0 2 0 2023-06-30 $93.80 $0.00 9.8% 2.8% 12.5% 0.0% 0.0% 1.6% 0.3% 774 -12.1K -42 0.00 130.06 N/A N/A 0 0 2 0
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