SUSA Options History — November 2023

In November 2023, SUSA traded between $87.69 and $95.59. ATM implied volatility averaged 14.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.9% (HV 20d: 16.2%). Max pain ranged from $92.00 to $92.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2023-11-16: Highest Volume — 4 contracts
2023-11-08: Largest IV drop — 29.2% change
2023-11-07: Highest IV Rank — 28.4%
2023-11-01: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.79	$87.69	$95.59	$87.69	$95.59
Max Pain	$92.00	$92.00	$92.00	$92.00	$92.00
ATM IV	14.3%	11.8%	18.7%	17.1%	13.5%
Expected Move	3.9%	3.3%	4.9%	4.9%	3.9%
HV 20d	16.2%	13.0%	19.0%	15.6%	13.0%
HV 60d	14.5%	13.3%	15.3%	13.3%	14.4%
IV Rank	15.9%	9.0%	28.4%	24.0%	13.7%
IV Percentile	24.2%	4.8%	60.7%	47.6%	18.7%
Term Structure	-0.6%	-7.1%	4.7%	0.6%	-2.3%
Skew 25d	2.2%	-2.5%	9.7%	9.7%	2.4%
Skew 10d	0.0%	-4.3%	3.2%	2.7%	-4.1%
Call IV 25d	10.5%	7.3%	12.4%	9.1%	11.8%
Put IV 25d	12.6%	9.6%	18.8%	18.8%	14.1%
Bid-Ask Spread %	133.67	130.83	138.10	132.20	138.10
Gamma HHI	0.98	0.53	1.00	1.00	1.00
Net GEX	2.0K	837	3.5K	837	1.5K
Net DEX	-14.6K	-35.0K	-1.5K	-1.5K	-22.8K
Net VEX	-48	-104	-3	-6	-99
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	0.19	0	4	0	0
Total OI	2.952	2	6	2	4

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2023-11-01	$87.69	$92.00	17.1%	4.9%	15.6%	24.0%	0.0%	9.7%	0.6%	837	-1.5K	-6	132.20	N/A	N/A	0	2
2023-11-02	$89.38	$0.00	16.5%	3.3%	17.1%	22.2%	0.0%	-0.4%	4.7%	1.6K	-3.7K	-10	130.83	N/A	N/A	0	2
2023-11-03	$90.59	$0.00	15.1%	3.8%	17.2%	18.2%	0.0%	3.8%	1.2%	2.1K	-6.2K	-13	130.89	N/A	N/A	0	2
2023-11-06	$90.29	$0.00	17.9%	4.2%	17.2%	26.2%	0.0%	4.2%	-1.9%	2.0K	-5.4K	-11	133.28	N/A	N/A	0	2
2023-11-07	$90.87	$0.00	18.7%	3.9%	17.1%	28.4%	0.0%	2.3%	0.7%	2.5K	-6.3K	-11	132.54	N/A	N/A	0	2
2023-11-08	$90.94	$0.00	13.2%	3.8%	17.1%	13.0%	0.0%	3.8%	1.5%	2.2K	-6.8K	-11	136.66	N/A	N/A	0	2
2023-11-09	$90.10	$0.00	14.7%	4.2%	17.1%	17.0%	0.0%	2.7%	-5.8%	2.1K	-4.0K	-8	133.33	N/A	N/A	0	2
2023-11-10	$91.52	$0.00	12.5%	3.6%	17.8%	10.8%	0.0%	3.7%	2.1%	2.7K	-8.1K	-10	133.72	N/A	N/A	0	2
2023-11-13	$91.50	$0.00	11.9%	3.4%	17.1%	9.1%	0.0%	1.9%	-3.3%	3.1K	-7.7K	-7	134.70	N/A	N/A	0	2
2023-11-14	$93.71	$0.00	11.8%	3.4%	19.0%	9.0%	0.0%	-0.7%	2.8%	2.2K	-14.5K	-5	135.42	N/A	N/A	0	2
2023-11-15	$93.91	$0.00	12.8%	3.7%	17.9%	11.9%	0.0%	1.5%	0.2%	2.1K	-15.1K	-4	134.52	N/A	N/A	0	2
2023-11-16	$93.86	$0.00	12.4%	3.5%	17.3%	10.5%	0.0%	2.2%	3.1%	2.2K	-15.4K	-3	133.14	N/A	N/A	4	2
2023-11-17	$93.89	$0.00	13.2%	3.8%	16.6%	12.8%	0.0%	4.2%	2.5%	3.5K	-35.0K	-104	134.36	N/A	N/A	0	6
2023-11-20	$94.78	$0.00	12.9%	3.7%	16.6%	12.1%	0.0%	3.4%	0.2%	1.6K	-21.1K	-103	135.79	N/A	N/A	0	4
2023-11-21	$94.53	$0.00	12.8%	3.7%	16.8%	11.8%	0.0%	1.0%	-1.6%	1.5K	-21.3K	-103	132.45	N/A	N/A	0	4
2023-11-22	$95.02	$0.00	13.3%	3.8%	14.9%	13.3%	0.0%	2.8%	-1.5%	1.6K	-22.1K	-102	131.97	N/A	N/A	0	4
2023-11-24	$95.01	$0.00	13.9%	4.0%	14.2%	14.9%	0.0%	2.5%	-2.1%	1.6K	-22.4K	-101	134.48	N/A	N/A	0	4
2023-11-27	$95.06	$0.00	14.8%	4.2%	13.4%	17.4%	0.0%	-1.8%	-3.1%	1.6K	-22.2K	-101	131.77	N/A	N/A	0	4
2023-11-28	$94.98	$0.00	14.5%	4.1%	13.2%	16.5%	0.0%	-2.5%	-3.2%	1.6K	-22.2K	-100	132.66	N/A	N/A	0	4
2023-11-29	$95.32	$0.00	16.4%	4.7%	13.2%	21.9%	0.0%	-1.3%	-7.1%	1.5K	-23.3K	-99	134.28	N/A	N/A	0	4
2023-11-30	$95.59	$0.00	13.5%	3.9%	13.0%	13.7%	0.0%	2.4%	-2.3%	1.5K	-22.8K	-99	138.10	N/A	N/A	0	4