USRT Options History — October 2021 In October 2021, USRT traded between $59.32 and $63.54. ATM implied volatility averaged 20.5%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 7.8% (HV 20d: 12.7%). Max pain ranged from $56.00 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 0.12.
Notable Days 2021-10-22 : Highest Volume — 172 contracts2021-10-13 : Largest IV drop — 55.6% change2021-10-01 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $61.47 $59.32 $63.54 $59.60 $63.29 Max Pain $56.48 $56.00 $61.00 $61.00 $57.00 ATM IV 20.5% 12.8% 35.5% 22.0% 18.1% Expected Move 4.9% 3.7% 6.3% 6.3% 5.2% HV 20d 12.7% 10.1% 14.1% 14.0% 10.1% HV 60d 13.1% 12.0% 15.4% 15.4% 12.1% Term Structure -0.2% -4.2% 6.0% 4.7% -1.3% VWIV 18.3% 10.6% 22.2% 22.0% 20.5% Skew 25d 4.0% -1.9% 9.4% 8.0% 4.7% Skew 10d 4.6% -1.6% 19.3% 2.1% -1.6% Call IV 25d 15.7% 10.8% 21.5% 16.6% 16.5% Put IV 25d 19.7% 16.7% 24.6% 24.6% 21.2% Bid-Ask Spread % 121.65 113.27 136.77 131.03 117.75 Gamma HHI 0.26 0.15 0.40 0.37 0.28 Net GEX 16.0K 4.7K 36.6K 33.1K 8.0K Net DEX -165.0K -308.7K -85.7K -251.6K -134.8K Net VEX -610 -1.4K -192 -1.2K -227 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.12 0.00 1.00 1.00 0.10 Total Volume 72.286 0 172 18 172 Total OI 108.476 63 188 179 65
Daily Data (21 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 2021-10-01 $59.60 $61.00 22.0% 6.3% 14.0% 0.0% 0.0% 8.0% 4.7% 33.1K -251.6K -1.2K 1.00 131.03 N/A N/A 9 9 163 16 2021-10-04 $59.79 $56.00 32.5% 6.2% 14.1% 0.0% 0.0% -1.9% -1.3% 32.1K -308.7K -1.4K 0.00 136.77 N/A N/A 0 0 172 16 2021-10-05 $59.32 $56.00 25.8% 5.3% 14.0% 0.0% 0.0% 1.7% 0.4% 32.0K -244.2K -1.2K 0.00 125.01 N/A N/A 0 0 164 16 2021-10-06 $59.62 $56.00 24.1% 5.3% 14.0% 0.0% 22.0% 5.7% -4.2% 32.3K -241.1K -1.2K 0.00 113.27 N/A N/A 71 0 164 16 2021-10-07 $59.92 $56.00 25.7% 4.9% 12.8% 0.0% 0.0% 1.7% 0.8% 36.6K -304.5K -1.2K 0.00 123.72 N/A N/A 0 0 164 16 2021-10-08 $59.51 $56.00 23.8% 4.4% 12.3% 0.0% 13.4% 2.4% 1.0% 10.2K -97.3K -624 0.00 118.39 N/A N/A 30 0 102 16 2021-10-11 $59.61 $56.00 30.8% 4.9% 12.1% 0.0% 0.0% 0.9% -0.4% 10.6K -85.7K -588 0.00 117.46 N/A N/A 0 0 101 16 2021-10-12 $60.39 $56.00 35.5% 4.6% 13.0% 0.0% 22.2% 5.1% 4.4% 12.2K -110.1K -593 0.00 113.65 N/A N/A 2 0 101 16 2021-10-13 $61.02 $56.00 15.8% 4.5% 13.5% 0.0% 0.0% 2.3% 0.3% 16.2K -138.1K -614 0.00 118.23 N/A N/A 0 3 101 16 2021-10-14 $61.72 $56.00 15.9% 4.5% 14.1% 0.0% 0.0% 8.3% -1.9% 19.4K -168.9K -665 0.00 119.60 N/A N/A 1 0 101 16 2021-10-15 $61.83 $56.00 16.6% 4.8% 13.2% 0.0% 10.6% 7.6% 0.3% 19.7K -174.2K -639 0.10 119.99 N/A N/A 10 1 101 15 2021-10-18 $62.02 $56.00 17.4% 5.0% 13.1% 0.0% 0.0% 2.4% -1.4% 12.4K -153.8K -519 0.00 122.13 N/A N/A 0 0 70 12 2021-10-19 $61.84 $56.00 17.1% 4.9% 13.1% 0.0% 0.0% 4.9% -4.0% 10.2K -144.9K -483 0.00 123.78 N/A N/A 10 0 61 12 2021-10-20 $62.62 $56.00 15.6% 4.5% 13.6% 0.0% 17.4% 9.4% -1.8% 8.9K -125.3K -232 0.09 120.93 N/A N/A 156 14 51 12 2021-10-21 $62.69 $56.00 16.4% 4.7% 13.6% 0.0% 18.9% 5.3% -1.7% 8.8K -123.6K -267 0.09 120.61 N/A N/A 156 14 51 12 2021-10-22 $62.97 $56.00 14.2% 4.1% 12.7% 0.0% 20.0% 2.5% -1.2% 6.5K -127.0K -214 0.10 124.30 N/A N/A 157 15 51 12 2021-10-25 $63.05 $57.00 16.5% 4.7% 11.4% 0.0% 19.6% 2.3% -0.3% 8.6K -129.6K -262 0.10 123.20 N/A N/A 157 15 52 13 2021-10-26 $63.42 $57.00 17.1% 4.9% 11.0% 0.0% 19.3% 2.9% -1.3% 4.7K -133.1K -192 0.10 122.53 N/A N/A 157 15 52 13 2021-10-27 $63.01 $57.00 17.6% 5.1% 11.5% 0.0% 20.9% 2.3% -1.1% 6.4K -128.0K -217 0.10 120.86 N/A N/A 157 15 52 13 2021-10-28 $63.54 $57.00 12.8% 3.7% 10.1% 0.0% 14.6% 4.6% 6.0% 6.1K -141.2K -195 0.10 121.35 N/A N/A 157 15 52 13 2021-10-29 $63.29 $57.00 18.1% 5.2% 10.1% 0.0% 20.5% 4.7% -1.3% 8.0K -134.8K -227 0.10 117.75 N/A N/A 157 15 52 13
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