SUSA Options History — September 2023

In September 2023, SUSA traded between $89.43 and $95.68. ATM implied volatility averaged 16.1%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.2% (HV 20d: 11.8%). Max pain ranged from $91.00 to $91.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2023-09-28: Highest Volume — 1 contracts
2023-09-12: Largest IV spike — 56.6% change
2023-09-12: Highest IV Rank — 56.2%
2023-09-26: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.86	$89.43	$95.68	$95.68	$89.90
Max Pain	$91.00	$91.00	$91.00	$91.00	$91.00
ATM IV	16.1%	12.2%	28.5%	14.5%	15.5%
Expected Move	4.1%	3.1%	5.3%	4.1%	4.4%
HV 20d	11.8%	10.7%	12.6%	11.7%	11.0%
HV 60d	11.2%	10.8%	11.5%	11.1%	11.4%
IV Rank	21.0%	10.0%	56.2%	16.5%	19.3%
IV Percentile	30.4%	6.3%	87.3%	17.9%	30.6%
Term Structure	0.1%	-3.6%	5.1%	-1.3%	-0.6%
VWIV	17.2%	17.2%	17.2%	17.2%	17.2%
Skew 25d	4.9%	0.6%	11.1%	1.6%	2.9%
Skew 10d	4.1%	-0.6%	7.8%	1.7%	1.5%
Call IV 25d	9.6%	7.5%	12.5%	11.9%	12.5%
Put IV 25d	14.5%	10.2%	22.3%	13.5%	15.5%
Bid-Ask Spread %	135.14	126.33	140.08	133.85	135.44
Gamma HHI	0.98	0.52	1.00	1.00	0.52
Net GEX	1.2K	861	2.2K	861	2.2K
Net DEX	-11.4K	-14.1K	-6.6K	-14.1K	-11.0K
Net VEX	-28	-34	-25	-28	-34
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	0.05	0	1	0	0
Total OI	2.05	2	3	2	3

Daily Data (20 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
2023-09-01	$95.68	$0.00	14.5%	4.1%	11.7%	16.5%	0.0%	1.6%	-1.3%	861	-14.1K	-28	133.85	N/A	N/A	0	2
2023-09-05	$95.40	$0.00	17.6%	3.6%	11.5%	25.2%	0.0%	10.0%	1.1%	863	-13.5K	-29	135.06	N/A	N/A	0	2
2023-09-06	$94.59	$0.00	14.0%	3.7%	11.9%	15.2%	0.0%	4.8%	1.5%	882	-12.6K	-30	132.51	N/A	N/A	0	2
2023-09-07	$94.27	$0.00	20.4%	3.8%	11.8%	33.1%	0.0%	3.6%	1.1%	1.1K	-12.9K	-30	140.08	N/A	N/A	0	2
2023-09-08	$94.14	$0.00	15.3%	3.8%	11.8%	18.9%	0.0%	4.8%	-1.0%	1.1K	-13.3K	-29	137.71	N/A	N/A	0	2
2023-09-11	$94.78	$0.00	18.2%	3.1%	12.0%	27.1%	0.0%	6.0%	5.1%	1.0K	-14.0K	-27	136.90	N/A	N/A	0	2
2023-09-12	$94.19	$0.00	28.5%	3.7%	12.2%	56.2%	0.0%	2.0%	0.3%	1.1K	-13.4K	-28	135.00	N/A	N/A	0	2
2023-09-13	$93.99	$0.00	12.9%	3.7%	11.6%	12.0%	0.0%	3.1%	1.6%	1.1K	-12.9K	-28	135.12	N/A	N/A	0	2
2023-09-14	$94.80	$0.00	12.2%	3.5%	11.7%	10.0%	0.0%	3.8%	-0.3%	1.2K	-14.1K	-25	136.89	N/A	N/A	0	2
2023-09-15	$93.57	$0.00	13.2%	3.8%	12.2%	12.7%	0.0%	3.1%	-1.0%	1.3K	-12.9K	-27	139.96	N/A	N/A	0	2
2023-09-18	$93.56	$0.00	13.0%	3.7%	12.2%	12.2%	0.0%	3.2%	-0.4%	1.3K	-12.6K	-27	138.98	N/A	N/A	0	2
2023-09-19	$93.47	$0.00	13.6%	3.9%	12.1%	13.9%	0.0%	6.3%	1.6%	1.3K	-11.5K	-29	137.40	N/A	N/A	0	2
2023-09-20	$92.72	$0.00	13.6%	3.9%	12.3%	14.1%	0.0%	0.6%	-1.5%	1.3K	-12.0K	-27	134.00	N/A	N/A	0	2
2023-09-21	$91.20	$0.00	14.7%	4.2%	12.6%	17.1%	0.0%	6.4%	-0.5%	1.4K	-9.1K	-29	134.22	N/A	N/A	0	2
2023-09-22	$90.97	$0.00	15.2%	4.4%	12.0%	18.6%	0.0%	4.8%	-1.9%	1.3K	-9.1K	-28	136.80	N/A	N/A	0	2
2023-09-25	$90.94	$0.00	15.8%	4.5%	11.6%	20.3%	0.0%	7.0%	0.5%	1.2K	-8.0K	-27	136.79	N/A	N/A	0	2
2023-09-26	$89.46	$0.00	18.4%	5.3%	12.5%	27.7%	0.0%	11.1%	0.8%	1.2K	-6.7K	-26	126.33	N/A	N/A	0	2
2023-09-27	$89.43	$0.00	16.7%	4.8%	10.7%	22.7%	0.0%	5.5%	-0.4%	1.2K	-6.6K	-26	130.73	N/A	N/A	0	2
2023-09-28	$90.13	$0.00	18.2%	5.2%	11.1%	26.9%	17.2%	6.9%	-3.6%	1.3K	-8.0K	-27	129.08	N/A	N/A	1	2
2023-09-29	$89.90	$91.00	15.5%	4.4%	11.0%	19.3%	0.0%	2.9%	-0.6%	2.2K	-11.0K	-34	135.44	N/A	N/A	0	3