SUSA Options History — September 2024 In September 2024, SUSA traded between $113.40 and $120.03. ATM implied volatility averaged 14.7%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 13.6%). Max pain ranged from $113.00 to $113.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-09-11 : Highest Volume — 14 contracts2024-09-11 : Largest IV drop — 31.8% change2024-09-10 : Highest IV Rank — 42.5%2024-09-09 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $117.57 $113.40 $120.03 $115.41 $119.92 Max Pain $113.00 $113.00 $113.00 $113.00 $113.00 ATM IV 14.7% 11.9% 19.1% 16.3% 13.8% Expected Move 4.1% 3.4% 4.8% 4.7% 4.0% HV 20d 13.6% 12.5% 16.9% 16.9% 13.0% HV 60d 16.0% 15.6% 16.3% 15.6% 16.2% IV Rank 21.7% 8.3% 42.5% 33.8% 17.5% IV Percentile 56.6% 18.3% 92.5% 77.0% 52.4% Term Structure 0.9% -7.9% 3.6% -7.9% 3.0% VWIV 12.3% 12.3% 12.3% 12.3% 12.3% Skew 25d 3.1% 0.7% 9.4% 0.7% 4.6% Skew 10d 4.0% 2.0% 7.3% 3.0% 3.4% Call IV 25d 11.1% 8.6% 13.1% 13.0% 10.3% Put IV 25d 14.2% 12.5% 18.0% 13.7% 14.9% Bid-Ask Spread % 139.78 122.28 153.72 137.21 142.64 Gamma HHI 0.69 0.43 0.89 0.58 0.80 Net GEX -3.0K -15.4K 2.8K -440 2.8K Net DEX 3.4K -19.0K 30.0K 2.0K -18.1K Net VEX -38 -77 -6 -17 -49 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 0.9 0 14 0 0 Total OI 9.55 3 18 3 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 2024-09-03 $115.41 $0.00 16.3% 4.7% 16.9% 33.8% 0.0% 0.7% -7.9% -440 2.0K -17 0.00 137.21 N/A N/A 0 0 0 3 2024-09-04 $115.45 $0.00 15.7% 4.5% 15.6% 26.6% 0.0% 3.0% 0.3% -440 2.0K -17 0.00 138.91 N/A N/A 0 1 0 3 2024-09-05 $114.78 $113.00 16.4% 4.5% 14.9% 29.6% 0.0% 3.0% 1.0% -1.2K 6.1K -31 0.00 130.19 N/A N/A 0 0 0 4 2024-09-06 $113.40 $113.00 16.3% 4.7% 14.2% 29.1% 0.0% 5.1% 1.4% -1.4K 7.4K -37 0.00 122.28 N/A N/A 0 0 0 4 2024-09-09 $114.38 $113.00 18.1% 4.8% 14.4% 37.7% 0.0% 3.5% 0.6% -1.3K 6.9K -33 0.00 133.74 N/A N/A 0 0 0 4 2024-09-10 $114.89 $113.00 19.1% 4.6% 14.3% 42.5% 0.0% 4.3% 1.0% -1.3K 6.7K -33 0.00 133.77 N/A N/A 0 0 0 4 2024-09-11 $115.75 $113.00 13.0% 3.7% 13.2% 13.7% 0.0% 9.4% 1.7% -1.5K 6.8K -37 0.00 130.15 N/A N/A 0 14 0 4 2024-09-12 $117.03 $113.00 14.7% 4.2% 13.6% 21.8% 0.0% 2.6% 1.2% -15.4K 30.0K -77 0.00 135.45 N/A N/A 0 0 0 18 2024-09-13 $117.81 $113.00 13.8% 4.0% 12.7% 17.4% 0.0% 2.3% 1.3% -12.2K 22.4K -60 0.00 143.46 N/A N/A 0 0 0 18 2024-09-16 $118.23 $113.00 14.7% 4.2% 12.8% 21.7% 0.0% 2.4% 0.8% -10.4K 17.0K -42 0.00 142.45 N/A N/A 0 0 0 18 2024-09-17 $118.04 $113.00 14.5% 4.1% 12.5% 20.6% 0.0% 2.2% 1.8% -11.0K 17.8K -40 0.00 137.56 N/A N/A 0 0 0 18 2024-09-18 $118.01 $113.00 15.6% 4.5% 12.5% 25.7% 0.0% 2.5% 0.0% -12.0K 26.2K -39 0.00 149.57 N/A N/A 0 0 0 18 2024-09-19 $119.90 $113.00 12.9% 3.7% 13.6% 13.1% 0.0% 1.1% 1.9% -2.6K 2.9K -9 0.00 139.61 N/A N/A 0 0 0 18 2024-09-20 $119.59 $113.00 11.9% 3.4% 13.3% 8.3% 0.0% 3.7% 3.6% -2.8K 3.4K -13 0.00 143.14 N/A N/A 0 0 0 18 2024-09-23 $119.69 $113.00 12.8% 3.7% 12.8% 12.6% 12.3% 2.6% 2.2% -473 1.1K -6 0.00 147.13 N/A N/A 3 0 0 4 2024-09-24 $120.03 $113.00 12.6% 3.6% 12.8% 11.9% 0.0% 3.1% 2.5% 2.7K -18.0K -54 0.00 145.19 N/A N/A 0 0 3 4 2024-09-25 $119.25 $113.00 12.4% 3.5% 13.1% 10.7% 0.0% 1.6% 1.5% 2.8K -17.3K -53 0.00 143.64 N/A N/A 0 0 3 4 2024-09-26 $120.00 $113.00 15.5% 4.4% 13.1% 25.4% 0.0% 2.8% -0.6% 2.5K -18.8K -53 0.00 153.72 N/A N/A 0 0 3 4 2024-09-27 $119.93 $113.00 13.2% 3.8% 13.1% 14.7% 0.0% 2.0% 1.6% 2.8K -19.0K -50 0.00 145.71 N/A N/A 0 0 3 4 2024-09-30 $119.92 $113.00 13.8% 4.0% 13.0% 17.5% 0.0% 4.6% 3.0% 2.8K -18.1K -49 0.00 142.64 N/A N/A 0 0 3 4
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