SUSA Options History — February 2024 In February 2024, SUSA traded between $102.52 and $106.12. ATM implied volatility averaged 13.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.6% (HV 20d: 12.4%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days.
Notable Days 2024-02-07 : Largest IV drop — 33.6% change2024-02-06 : Highest IV Rank — 24.1%2024-02-27 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $104.24 $102.52 $106.12 $102.52 $106.12 ATM IV 13.0% 10.9% 16.9% 13.3% 13.9% Expected Move 3.5% 3.1% 4.0% 3.1% 4.0% HV 20d 12.4% 10.1% 15.0% 10.9% 13.5% HV 60d 10.8% 9.5% 11.5% 11.0% 11.4% IV Rank 12.8% 6.7% 24.1% 13.7% 15.5% IV Percentile 25.7% 3.2% 66.3% 27.0% 40.1% Term Structure 0.2% -2.9% 1.7% 1.4% -1.2% Skew 25d 1.8% -0.4% 3.4% 1.7% 2.8% Skew 10d 0.1% -3.2% 2.1% 1.9% -3.2% Call IV 25d 10.6% 9.3% 12.0% 9.7% 11.2% Put IV 25d 12.4% 11.1% 14.4% 11.4% 14.0% Bid-Ask Spread % 137.10 131.31 141.24 131.31 138.19 Gamma HHI 0.38 0.38 0.41 0.38 0.39 Net GEX 2.3K 1.9K 2.6K 2.6K 1.9K Net DEX -59.9K -64.0K -54.8K -54.8K -64.0K Net VEX -89 -112 -70 -112 -70 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 7.6 7 8 8 7
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-02-01 $102.52 $0.00 13.3% 3.1% 10.9% 13.7% 0.0% 1.7% 1.4% 2.6K -54.8K -112 0.00 131.31 N/A N/A 0 0 7 1 2024-02-02 $103.13 $0.00 13.4% 3.5% 10.9% 14.0% 0.0% 1.8% 0.0% 2.4K -57.9K -96 0.00 132.63 N/A N/A 0 0 7 1 2024-02-05 $102.77 $0.00 15.6% 3.4% 11.0% 20.3% 0.0% 2.3% 0.6% 2.5K -57.7K -94 0.00 134.70 N/A N/A 0 0 7 1 2024-02-06 $102.78 $0.00 16.9% 3.3% 10.1% 24.1% 0.0% 2.0% 0.4% 2.6K -57.5K -98 0.00 137.93 N/A N/A 0 0 7 1 2024-02-07 $103.77 $0.00 11.2% 3.2% 10.4% 7.5% 0.0% 2.3% 1.5% 2.2K -60.7K -84 0.00 139.13 N/A N/A 0 0 7 1 2024-02-08 $104.00 $0.00 11.5% 3.3% 10.4% 8.5% 0.0% 2.0% 1.1% 2.3K -59.3K -96 0.00 139.63 N/A N/A 0 0 7 1 2024-02-09 $104.57 $0.00 10.9% 3.1% 10.4% 6.7% 0.0% 2.2% 1.4% 2.2K -60.2K -92 0.00 137.29 N/A N/A 0 0 7 1 2024-02-12 $104.75 $0.00 11.8% 3.4% 10.4% 9.4% 0.0% 1.1% 0.6% 2.2K -60.9K -91 0.00 137.45 N/A N/A 0 0 7 1 2024-02-13 $102.88 $0.00 11.8% 3.4% 12.5% 9.3% 0.0% 0.3% 1.1% 2.5K -56.7K -97 0.00 132.72 N/A N/A 0 0 7 1 2024-02-14 $104.07 $0.00 11.5% 3.3% 12.7% 8.3% 0.0% 3.4% 1.6% 2.3K -58.8K -96 0.00 136.69 N/A N/A 0 0 7 1 2024-02-15 $104.59 $0.00 12.1% 3.5% 12.5% 10.3% 0.0% 2.8% 1.7% 2.2K -60.0K -91 0.00 137.95 N/A N/A 0 0 7 1 2024-02-16 $104.27 $0.00 12.2% 3.5% 12.1% 10.3% 0.0% 0.5% 1.1% 2.3K -59.6K -93 0.00 137.16 N/A N/A 0 0 7 1 2024-02-20 $103.40 $0.00 13.4% 3.8% 12.5% 13.9% 0.0% 1.9% -0.3% 2.5K -57.0K -98 0.00 136.86 N/A N/A 0 0 7 0 2024-02-21 $103.22 $0.00 13.7% 3.9% 12.5% 14.9% 0.0% 3.0% 0.1% 2.5K -56.3K -99 0.00 138.21 N/A N/A 0 0 7 0 2024-02-22 $105.68 $0.00 12.5% 3.6% 14.9% 11.3% 0.0% 2.4% 0.9% 2.0K -62.7K -77 0.00 134.88 N/A N/A 0 0 7 0 2024-02-23 $105.82 $0.00 13.0% 3.7% 14.9% 12.9% 0.0% 0.9% -0.8% 1.9K -63.9K -76 0.00 137.94 N/A N/A 0 0 7 0 2024-02-26 $105.57 $0.00 13.7% 3.9% 15.0% 14.8% 0.0% -0.4% -2.0% 2.0K -63.4K -75 0.00 139.98 N/A N/A 0 0 7 0 2024-02-27 $105.56 $0.00 14.1% 4.0% 14.9% 16.0% 0.0% 1.9% -1.5% 2.0K -63.0K -75 0.00 141.24 N/A N/A 0 0 7 0 2024-02-28 $105.42 $0.00 13.8% 4.0% 14.9% 15.2% 0.0% 1.6% -2.9% 2.0K -63.5K -71 0.00 140.18 N/A N/A 0 0 7 0 2024-02-29 $106.12 $0.00 13.9% 4.0% 13.5% 15.5% 0.0% 2.8% -1.2% 1.9K -64.0K -70 0.00 138.19 N/A N/A 0 0 7 0
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