SUSA Options History — December 2023

In December 2023, SUSA traded between $95.84 and $100.94. ATM implied volatility averaged 15.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 5.4% (HV 20d: 9.7%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-12-27: Highest Volume — 1 contracts
  • 2023-12-13: Largest IV drop — 61.6% change
  • 2023-12-12: Highest IV Rank — 50.1%
  • 2023-12-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.69$95.84$100.94$96.57$100.57
ATM IV15.0%10.1%26.4%13.3%13.3%
Expected Move3.5%2.9%3.8%3.8%3.8%
HV 20d9.7%7.4%12.0%12.0%9.7%
HV 60d14.0%13.2%14.5%14.5%13.2%
IV Rank18.2%4.2%50.1%13.2%13.6%
IV Percentile32.6%2.0%95.2%17.9%21.8%
Term Structure0.2%-1.9%3.1%-1.4%-1.9%
Skew 25d1.5%-2.3%4.3%3.1%-0.1%
Skew 10d0.8%-2.0%2.3%1.2%1.4%
Call IV 25d10.2%7.8%11.8%11.8%11.1%
Put IV 25d11.7%8.2%14.8%14.8%11.0%
Bid-Ask Spread %137.35131.36140.97131.36140.97
Gamma HHI0.960.631.001.000.64
Net GEX1.4K1.2K1.6K1.5K1.6K
Net DEX-29.0K-38.0K-23.7K-24.0K-37.8K
Net VEX-86-100-67-98-99
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.050100
Total OI4.14545

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$96.57$0.0013.3%3.8%12.0%13.2%0.0%3.1%-1.4%1.5K-24.0K-980.00131.36N/AN/A0040
2023-12-04$96.19$0.0017.4%3.4%11.8%24.7%0.0%2.4%1.1%1.5K-23.8K-970.00137.90N/AN/A0040
2023-12-05$95.98$0.0017.9%3.6%11.7%26.2%0.0%2.1%0.4%1.5K-23.7K-960.00136.99N/AN/A0040
2023-12-06$95.84$0.0017.8%3.6%11.7%26.0%0.0%0.9%-0.9%1.5K-24.2K-960.00136.46N/AN/A0040
2023-12-07$96.47$0.0019.4%3.5%11.8%30.5%0.0%2.6%0.9%1.5K-24.2K-960.00138.72N/AN/A0040
2023-12-08$96.93$0.0019.3%3.4%10.9%30.2%0.0%2.8%1.4%1.5K-24.7K-940.00139.07N/AN/A0040
2023-12-11$97.37$0.0025.4%3.4%9.9%47.4%0.0%2.6%0.9%1.5K-25.8K-920.00139.77N/AN/A0040
2023-12-12$97.77$0.0026.4%3.3%9.8%50.1%0.0%3.1%0.7%1.5K-26.5K-890.00138.63N/AN/A0040
2023-12-13$99.17$0.0010.1%2.9%7.5%4.2%0.0%4.3%3.1%1.4K-28.3K-860.00136.65N/AN/A0040
2023-12-14$99.80$0.0011.3%3.2%7.6%7.5%0.0%1.6%0.5%1.3K-30.9K-770.00136.04N/AN/A0040
2023-12-15$99.53$0.0011.6%3.3%7.7%8.6%0.0%1.3%-0.4%1.4K-30.4K-770.00139.10N/AN/A0040
2023-12-18$100.12$0.0012.0%3.4%7.7%9.8%0.0%2.2%-0.5%1.3K-31.1K-770.00139.14N/AN/A0040
2023-12-19$100.44$0.0011.6%3.3%7.4%8.6%0.0%-1.2%-0.9%1.3K-31.7K-710.00139.54N/AN/A0040
2023-12-20$99.08$0.0011.3%3.2%9.3%7.7%0.0%-2.3%1.7%1.3K-30.2K-780.00131.99N/AN/A0040
2023-12-21$99.72$0.0012.4%3.6%9.3%11.0%0.0%2.3%0.9%1.3K-29.4K-830.00136.11N/AN/A0040
2023-12-22$100.11$0.0012.3%3.5%9.3%10.9%0.0%-0.7%0.3%1.2K-31.2K-750.00135.57N/AN/A0040
2023-12-26$100.72$0.0013.0%3.7%9.3%12.8%0.0%1.5%-0.0%1.2K-32.1K-690.00137.12N/AN/A0040
2023-12-27$100.58$0.0013.1%3.7%9.4%13.0%0.0%0.2%-1.7%1.2K-32.6K-670.00138.42N/AN/A1040
2023-12-28$100.94$0.0011.7%3.4%9.4%8.9%0.0%1.3%-0.4%1.6K-38.0K-1000.00137.45N/AN/A0050
2023-12-29$100.57$0.0013.3%3.8%9.7%13.6%0.0%-0.1%-1.9%1.6K-37.8K-990.00140.97N/AN/A0050