SUSA Options History — August 2023

In August 2023, SUSA traded between $92.12 and $96.72. ATM implied volatility averaged 14.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.2% (HV 20d: 10.6%). Max pain ranged from $92.00 to $92.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days.

Notable Days

  • 2023-08-31: Largest IV drop — 42.1% change
  • 2023-08-17: Highest IV Rank — 25.9%
  • 2023-08-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.11$92.12$96.72$96.72$95.71
Max Pain$92.00$92.00$92.00$92.00$92.00
ATM IV14.8%8.6%18.1%11.9%8.6%
Expected Move4.2%2.5%5.2%3.4%2.5%
HV 20d10.6%9.5%12.8%9.7%11.9%
HV 60d11.4%11.0%11.7%11.7%11.2%
IV Rank16.5%0.0%25.9%8.3%0.0%
IV Percentile19.9%0.0%38.5%5.2%0.0%
Term Structure-0.1%-5.6%5.4%-1.4%3.1%
Skew 25d5.1%-1.5%10.6%-0.2%0.4%
Skew 10d4.1%-0.5%7.7%0.9%3.0%
Call IV 25d10.2%8.1%12.9%11.8%8.7%
Put IV 25d15.3%9.1%20.1%11.6%9.1%
Bid-Ask Spread %128.70120.38137.04126.97134.46
Gamma HHI1.001.001.001.001.00
Net GEX1.4K8062.4K891806
Net DEX-16.8K-24.3K-10.3K-24.3K-13.7K
Net VEX-36-42-27-33-29
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI2.6092332

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$96.72$92.0011.9%3.4%9.7%8.3%0.0%-0.2%-1.4%891-24.3K-330.00126.97N/AN/A0030
2023-08-02$95.44$92.0016.1%4.6%11.0%20.1%0.0%-1.5%-2.3%1.2K-22.1K-390.00127.64N/AN/A0030
2023-08-03$95.13$0.0015.0%4.2%10.5%17.2%0.0%9.3%-2.0%1.4K-21.2K-400.00122.17N/AN/A0030
2023-08-04$94.49$0.0017.5%4.1%10.9%24.1%0.0%6.5%-1.9%1.4K-20.2K-420.00126.66N/AN/A0030
2023-08-07$95.11$0.0015.1%4.9%11.0%17.4%0.0%2.6%-2.4%1.4K-21.2K-390.00122.74N/AN/A0030
2023-08-08$94.84$0.0014.1%4.3%10.8%14.5%0.0%8.9%0.7%1.4K-20.5K-390.00120.38N/AN/A0030
2023-08-09$94.40$0.0015.3%4.4%10.5%18.0%0.0%10.6%1.1%1.6K-20.2K-400.00121.67N/AN/A0030
2023-08-10$94.13$0.0013.3%3.8%9.9%12.1%0.0%4.4%0.9%1.7K-20.1K-390.00127.97N/AN/A0030
2023-08-11$94.14$0.0014.8%4.2%9.8%16.5%0.0%3.8%-1.3%1.7K-19.4K-400.00128.91N/AN/A0030
2023-08-14$94.50$0.0012.6%3.6%9.7%10.3%0.0%5.8%3.3%1.7K-20.7K-370.00132.18N/AN/A0030
2023-08-15$93.52$0.0014.0%4.0%9.8%14.3%0.0%9.7%1.0%2.0K-19.0K-380.00125.59N/AN/A0030
2023-08-16$93.01$0.0015.1%4.3%9.7%17.4%0.0%10.2%-0.6%2.2K-17.7K-380.00126.92N/AN/A0030
2023-08-17$92.12$0.0018.1%5.2%9.7%25.9%0.0%8.5%0.8%2.4K-15.5K-380.00126.73N/AN/A0030
2023-08-18$92.27$0.0016.3%4.7%9.6%20.7%0.0%7.2%-0.9%2.4K-15.2K-370.00129.34N/AN/A0030
2023-08-21$92.80$0.0015.6%4.5%9.8%18.8%0.0%6.1%0.1%883-10.3K-350.00130.21N/AN/A0020
2023-08-22$92.35$0.0017.1%4.9%9.5%23.2%0.0%10.4%-0.7%915-10.9K-350.00126.93N/AN/A0020
2023-08-23$93.61$0.0013.9%4.0%11.1%13.9%0.0%3.5%5.4%909-11.5K-340.00132.89N/AN/A0020
2023-08-24$92.55$0.0016.4%4.7%11.2%20.9%0.0%-0.4%-5.6%901-11.7K-340.00133.02N/AN/A0020
2023-08-25$93.23$0.0014.6%4.2%11.0%16.0%0.0%4.7%1.9%974-11.0K-350.00131.51N/AN/A0020
2023-08-28$93.72$0.0015.3%4.4%11.3%17.9%0.0%3.0%-0.8%936-12.1K-330.00136.78N/AN/A0020
2023-08-29$95.16$0.0014.2%4.1%12.8%14.9%0.0%4.9%2.2%871-14.1K-290.00137.04N/AN/A0020
2023-08-30$95.54$0.0014.9%4.3%12.0%16.9%0.0%-0.6%-2.5%886-14.9K-270.00131.30N/AN/A0020
2023-08-31$95.71$0.008.6%2.5%11.9%0.0%0.0%0.4%3.1%806-13.7K-290.00134.46N/AN/A0020