USRT Options History — September 2021

In September 2021, USRT traded between $58.93 and $63.47. ATM implied volatility averaged 19.2%. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.3% (HV 20d: 12.8%). Max pain ranged from $60.00 to $61.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-09-30: Highest Volume — 16 contracts
  • 2021-09-08: Largest IV drop — 31.8% change
  • 2021-09-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.22$58.93$63.47$63.12$58.93
Max Pain$60.94$60.00$61.00$60.00$61.00
ATM IV19.2%15.0%27.7%16.8%22.0%
Expected Move5.4%4.3%7.9%4.8%6.3%
HV 20d12.8%9.7%14.6%10.8%13.3%
HV 60d14.8%14.3%15.2%14.6%15.2%
Term Structure-1.1%-10.2%2.3%-0.8%-10.2%
VWIV14.7%11.9%18.9%11.9%13.1%
Skew 25d2.5%-5.0%7.8%3.7%-5.0%
Skew 10d2.1%-1.5%9.7%1.2%0.0%
Call IV 25d17.5%9.7%31.3%17.9%22.3%
Put IV 25d20.0%15.6%35.0%21.6%17.3%
Bid-Ask Spread %129.71123.21145.41124.99138.12
Gamma HHI0.300.230.400.260.40
Net GEX49.0K30.4K68.3K63.1K34.5K
Net DEX-470.1K-747.9K-252.2K-684.4K-270.9K
Net VEX-1.4K-1.7K-1.2K-1.5K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.476016016
Total OI197.905172215211179

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$63.12$60.0016.8%4.8%10.8%0.0%0.0%3.7%-0.8%63.1K-684.4K-1.5K0.00124.99N/AN/A0019219
2021-09-02$63.43$0.0018.3%4.3%10.0%0.0%0.0%-1.0%2.3%68.3K-742.7K-1.5K0.00125.88N/AN/A0019319
2021-09-03$63.47$0.0017.6%4.3%10.0%0.0%0.0%2.5%1.7%67.7K-747.9K-1.5K0.00123.21N/AN/A0019319
2021-09-07$62.81$0.0022.1%5.0%10.8%0.0%0.0%3.9%-1.6%60.0K-650.3K-1.5K0.00125.39N/AN/A1019319
2021-09-08$63.07$0.0015.0%4.3%9.7%0.0%0.0%0.4%-1.0%63.7K-685.5K-1.4K0.00129.27N/AN/A1019319
2021-09-09$61.84$61.0015.8%4.5%12.3%0.0%0.0%-1.1%2.1%53.5K-569.3K-1.7K0.00124.93N/AN/A0019519
2021-09-10$61.07$61.0017.9%5.1%13.2%0.0%0.0%3.1%-0.1%50.6K-494.2K-1.6K0.00125.52N/AN/A0019619
2021-09-13$61.40$61.0017.2%4.9%13.1%0.0%0.0%3.3%1.4%56.3K-504.5K-1.5K0.00129.63N/AN/A0019619
2021-09-14$61.07$61.0017.4%5.0%13.3%0.0%0.0%-1.8%-1.9%56.4K-480.9K-1.5K0.00124.77N/AN/A0019619
2021-09-15$61.35$61.0017.7%5.1%13.3%0.0%0.0%5.2%1.3%57.6K-496.8K-1.5K0.00126.81N/AN/A0019619
2021-09-16$61.43$61.0016.6%4.7%13.1%0.0%0.0%5.3%1.9%63.9K-508.8K-1.4K0.00125.58N/AN/A0019619
2021-09-17$60.63$61.0016.9%4.9%14.0%0.0%11.9%5.9%-1.6%40.8K-460.0K-1.4K0.00125.28N/AN/A2019619
2021-09-20$60.42$61.0019.3%5.5%13.6%0.0%18.9%7.8%0.9%38.3K-335.0K-1.4K0.00124.88N/AN/A0516111
2021-09-21$60.71$61.0024.7%7.1%13.6%0.0%0.0%4.9%-7.0%37.1K-371.0K-1.4K0.00145.41N/AN/A1016211
2021-09-22$61.08$61.0019.2%5.5%13.8%0.0%0.0%4.5%2.0%41.5K-363.3K-1.3K0.00124.99N/AN/A0216216
2021-09-23$61.07$61.0018.2%5.2%13.8%0.0%13.1%3.4%-0.5%39.7K-370.3K-1.3K0.00131.99N/AN/A1016316
2021-09-24$60.33$61.0018.8%5.4%14.5%0.0%0.0%1.4%-0.6%36.6K-328.9K-1.3K0.00128.04N/AN/A0016316
2021-09-27$59.55$61.0022.6%6.5%14.6%0.0%0.0%2.4%-3.5%34.4K-298.4K-1.3K0.00139.98N/AN/A0216314
2021-09-28$59.26$61.0027.7%7.9%14.4%0.0%0.0%3.7%-5.0%30.4K-256.4K-1.2K0.00143.30N/AN/A0016314
2021-09-29$59.67$61.0020.5%5.9%14.4%0.0%0.0%0.7%-3.7%35.5K-252.2K-1.2K0.00135.98N/AN/A0016316
2021-09-30$58.93$61.0022.0%6.3%13.3%0.0%0.0%-5.0%-10.2%34.5K-270.9K-1.2K0.00138.12N/AN/A16016316