SUSA Options History — October 2023

In October 2023, SUSA traded between $85.12 and $91.48. ATM implied volatility averaged 17.0%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.0% (HV 20d: 14.0%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days.

Notable Days

  • 2023-10-11: Largest IV drop — 30.2% change
  • 2023-10-03: Highest IV Rank — 31.4%
  • 2023-10-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.86$85.12$91.48$89.45$86.72
Max Pain$91.86$91.00$92.00$91.00$92.00
ATM IV17.0%12.1%19.8%16.0%17.8%
Expected Move4.8%3.5%5.7%4.6%5.1%
HV 20d14.0%11.0%16.0%11.0%15.6%
HV 60d12.2%11.4%13.1%11.4%13.1%
IV Rank23.5%9.8%31.4%20.8%25.9%
IV Percentile42.8%6.3%63.5%35.3%52.0%
Term Structure-0.3%-10.7%6.4%-0.0%-0.2%
Skew 25d3.7%-0.3%7.3%5.1%4.3%
Skew 10d2.9%-1.5%5.5%5.5%-1.1%
Call IV 25d12.2%8.5%16.0%11.3%14.7%
Put IV 25d15.9%11.0%21.6%16.4%18.9%
Bid-Ask Spread %128.25125.13135.15131.41131.39
Gamma HHI0.670.501.000.531.00
Net GEX1.8K4683.1K1.9K599
Net DEX-7.7K-14.7K-1.0K-9.9K-1.1K
Net VEX-20-31-4-31-5
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI2.6822332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$89.45$91.0016.0%4.6%11.0%20.8%0.0%5.1%-0.0%1.9K-9.9K-310.00131.41N/AN/A0030
2023-10-03$88.27$91.0019.8%5.7%11.5%31.4%0.0%1.1%-10.7%1.8K-8.1K-280.00132.80N/AN/A0030
2023-10-04$89.21$91.0018.5%5.3%12.5%27.8%0.0%7.3%1.1%1.8K-8.9K-290.00135.15N/AN/A0030
2023-10-05$89.00$92.0015.4%4.6%12.5%19.1%0.0%3.4%0.9%1.9K-7.5K-270.00125.57N/AN/A0030
2023-10-06$90.16$92.0016.9%4.7%13.7%23.4%0.0%-0.3%-0.1%2.1K-10.4K-300.00125.77N/AN/A0030
2023-10-09$90.47$92.0018.5%4.8%13.4%27.7%0.0%4.9%0.0%2.5K-11.1K-290.00126.60N/AN/A0030
2023-10-10$91.22$92.0017.4%3.6%13.9%24.6%0.0%0.3%2.2%2.7K-13.6K-300.00126.24N/AN/A0030
2023-10-11$91.48$92.0012.1%3.5%13.9%9.8%0.0%4.4%6.4%3.1K-14.7K-290.00128.06N/AN/A0030
2023-10-12$90.66$92.0014.8%4.2%13.7%17.3%0.0%3.2%-1.1%2.5K-12.3K-280.00127.37N/AN/A0030
2023-10-13$90.02$92.0016.8%4.8%13.2%23.0%0.0%4.0%-1.7%2.5K-10.5K-260.00125.13N/AN/A0030
2023-10-16$91.28$92.0013.5%3.9%14.3%13.6%0.0%3.6%1.5%2.8K-14.3K-250.00128.47N/AN/A0030
2023-10-17$91.12$92.0014.7%4.2%14.3%17.0%0.0%4.9%0.3%3.1K-13.0K-240.00127.86N/AN/A0030
2023-10-18$89.72$92.0015.6%4.5%15.0%19.7%0.0%3.0%-0.1%2.7K-9.6K-220.00126.43N/AN/A0030
2023-10-19$88.73$92.0015.4%4.4%14.4%19.0%0.0%5.1%0.3%2.1K-7.4K-200.00125.32N/AN/A0030
2023-10-20$87.81$92.0018.8%5.4%14.8%28.8%0.0%5.3%-4.1%1.4K-4.1K-150.00128.12N/AN/A0030
2023-10-23$87.63$92.0018.4%5.3%14.8%27.4%0.0%4.8%0.0%954-2.9K-120.00127.04N/AN/A0020
2023-10-24$88.06$92.0019.6%5.6%13.9%31.0%0.0%6.2%-1.2%1.1K-3.7K-130.00125.87N/AN/A0020
2023-10-25$86.56$92.0016.8%4.8%15.1%23.0%0.0%3.8%1.0%806-2.1K-90.00130.86N/AN/A0020
2023-10-26$85.86$92.0018.4%5.3%14.8%27.6%0.0%3.0%-2.0%594-1.5K-60.00126.95N/AN/A0020
2023-10-27$85.12$92.0019.0%5.4%15.0%29.3%0.0%0.9%-2.5%468-1.2K-60.00129.49N/AN/A0020
2023-10-30$86.28$92.0019.0%5.4%16.0%29.3%0.0%3.1%3.0%485-1.0K-40.00129.55N/AN/A0020
2023-10-31$86.72$92.0017.8%5.1%15.6%25.9%0.0%4.3%-0.2%599-1.1K-50.00131.39N/AN/A0020