SUSA Options History — July 2024 In July 2024, SUSA traded between $112.01 and $117.12. ATM implied volatility averaged 13.0%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.0% (HV 20d: 9.0%). Max pain ranged from $103.00 to $112.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 14 of 22 days.
Notable Days 2024-07-26 : Highest Volume — 3 contracts2024-07-10 : Largest IV drop — 29.0% change2024-07-30 : Highest IV Rank — 38.3%2024-07-30 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $114.31 $112.01 $117.12 $112.01 $115.18 Max Pain $104.23 $103.00 $112.00 $112.00 $103.00 ATM IV 13.0% 10.5% 16.3% 12.5% 15.0% Expected Move 3.6% 3.0% 4.7% 3.6% 4.3% HV 20d 9.0% 6.1% 14.6% 6.7% 14.6% HV 60d 9.3% 8.3% 10.2% 9.8% 10.2% IV Rank 21.8% 9.5% 38.3% 19.6% 31.7% IV Percentile 35.8% 2.0% 78.2% 30.2% 65.1% Term Structure 0.3% -2.2% 2.4% -2.1% 0.5% Skew 25d 1.6% 0.1% 3.0% 1.9% 2.7% Skew 10d 2.1% 0.7% 6.1% 0.7% 1.8% Call IV 25d 10.6% 8.8% 13.0% 10.4% 12.0% Put IV 25d 12.2% 9.8% 14.9% 12.3% 14.7% Bid-Ask Spread % 127.14 120.56 156.97 154.70 122.00 Gamma HHI 0.65 0.36 1.00 0.59 0.38 Net GEX -1.3K -4.5K 1.1K -3.0K 116 Net DEX -62.2K -69.2K -47.8K -47.8K -66.2K Net VEX -21 -56 -4 -51 -25 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.136 0 3 0 0 Total OI 8.318 6 9 9 9
Daily Data (22 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 2024-07-01 $112.01 $112.00 12.5% 3.6% 6.7% 19.6% 0.0% 1.9% -2.1% -3.0K -47.8K -51 0.00 154.70 N/A N/A 0 0 6 3 2024-07-02 $112.64 $112.00 12.0% 3.4% 6.8% 16.7% 0.0% 0.8% -2.2% -3.4K -48.4K -51 0.00 153.94 N/A N/A 0 0 6 3 2024-07-03 $113.25 $112.00 12.4% 3.6% 7.0% 19.0% 0.0% 2.6% -1.9% -2.8K -52.0K -56 0.00 156.97 N/A N/A 0 0 6 3 2024-07-05 $113.82 $103.00 12.7% 3.0% 6.2% 20.5% 0.0% 1.9% 2.3% -3.1K -57.6K -33 0.00 123.83 N/A N/A 0 0 6 3 2024-07-08 $114.09 $103.00 14.8% 3.1% 6.2% 31.0% 0.0% 1.8% 2.2% -3.0K -58.9K -29 0.00 125.69 N/A N/A 0 0 6 3 2024-07-09 $114.16 $103.00 14.9% 3.2% 6.1% 31.2% 0.0% 1.3% 1.3% -3.0K -59.3K -26 0.00 125.84 N/A N/A 0 0 6 3 2024-07-10 $115.00 $103.00 10.5% 3.0% 6.5% 9.5% 0.0% 1.3% 2.3% -2.2K -63.4K -18 0.00 123.35 N/A N/A 0 0 6 3 2024-07-11 $115.01 $103.00 10.6% 3.0% 6.4% 9.9% 0.0% 1.1% 2.4% -2.3K -63.9K -17 0.00 121.84 N/A N/A 0 0 6 3 2024-07-12 $116.10 $103.00 10.6% 3.0% 6.4% 9.7% 0.0% 0.5% 1.3% -1.1K -67.3K -9 0.00 120.65 N/A N/A 0 0 6 3 2024-07-15 $116.08 $103.00 11.0% 3.2% 6.5% 11.9% 0.0% 0.1% 0.7% -1.2K -67.0K -9 0.00 122.41 N/A N/A 0 0 6 3 2024-07-16 $117.12 $103.00 11.0% 3.1% 6.7% 11.6% 0.0% 1.4% 1.6% -385 -69.2K -4 0.00 122.33 N/A N/A 0 0 6 3 2024-07-17 $115.77 $103.00 12.1% 3.5% 7.7% 17.2% 0.0% 0.6% 0.2% -1.6K -66.1K -9 0.00 123.31 N/A N/A 0 0 6 3 2024-07-18 $114.67 $103.00 11.5% 3.3% 8.6% 14.4% 0.0% 1.5% 0.6% -2.7K -64.1K -9 0.00 120.57 N/A N/A 0 0 6 3 2024-07-19 $113.67 $103.00 13.0% 3.7% 9.2% 21.9% 0.0% 3.0% 0.1% -4.5K -59.4K -9 0.00 120.65 N/A N/A 0 0 6 3 2024-07-22 $115.18 $103.00 12.9% 3.7% 10.2% 21.2% 0.0% 2.0% 0.7% 609 -68.1K -4 0.00 122.89 N/A N/A 0 0 6 0 2024-07-23 $114.99 $103.00 13.0% 3.7% 10.3% 21.9% 0.0% 1.4% -0.9% 558 -68.0K -5 0.00 125.48 N/A N/A 0 0 6 0 2024-07-24 $112.68 $103.00 13.2% 3.8% 12.8% 22.8% 0.0% 1.5% 0.2% 979 -65.5K -9 0.00 120.80 N/A N/A 0 0 6 0 2024-07-25 $112.65 $103.00 15.7% 4.5% 12.8% 35.5% 0.0% 2.2% -0.6% 1.1K -64.8K -11 0.00 120.56 N/A N/A 0 0 6 0 2024-07-26 $113.64 $103.00 14.3% 4.1% 13.1% 28.5% 0.0% 2.1% -0.6% 915 -66.2K -8 0.00 122.62 N/A N/A 0 3 6 0 2024-07-29 $114.03 $103.00 15.6% 4.5% 13.1% 35.1% 0.0% 1.9% -0.7% 216 -63.8K -35 0.00 124.61 N/A N/A 0 0 6 3 2024-07-30 $113.17 $103.00 16.3% 4.7% 13.4% 38.3% 0.0% 1.5% -0.8% 439 -62.4K -38 0.00 122.02 N/A N/A 0 0 6 3 2024-07-31 $115.18 $103.00 15.0% 4.3% 14.6% 31.7% 0.0% 2.7% 0.5% 116 -66.2K -25 0.00 122.00 N/A N/A 0 0 6 3
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