USRT Options History — November 2021 In November 2021, USRT traded between $63.16 and $65.36. ATM implied volatility averaged 18.2%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.2% (HV 20d: 11.0%). Max pain ranged from $49.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.18.
Notable Days 2021-11-02 : Highest Volume — 176 contracts2021-11-03 : Largest IV spike — 24.3% change2021-11-30 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $64.21 $63.16 $65.36 $63.44 $63.16 Max Pain $60.81 $49.00 $65.00 $57.00 $49.00 ATM IV 18.2% 15.9% 21.9% 17.7% 21.9% Expected Move 5.2% 4.4% 6.3% 5.1% 6.3% HV 20d 11.0% 9.3% 15.1% 10.1% 15.1% HV 60d 12.5% 12.0% 13.6% 12.1% 13.6% Term Structure -1.0% -5.3% 2.0% -3.6% -1.3% VWIV 18.5% 15.0% 26.3% 16.8% 26.3% Skew 25d 2.8% 0.6% 8.7% 3.7% 1.5% Skew 10d 2.4% -1.5% 7.4% 1.7% 4.1% Call IV 25d 17.7% 13.5% 24.9% 15.6% 24.9% Put IV 25d 20.5% 17.1% 26.4% 19.3% 26.4% Bid-Ask Spread % 125.09 117.31 129.17 117.31 125.29 Gamma HHI 0.27 0.20 0.36 0.20 0.24 Net GEX 12.5K 1.9K 21.1K 3.2K 2.8K Net DEX -141.9K -207.1K -32.1K -135.7K -40.2K Net VEX -218 -298 -128 -162 -227 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.18 0.09 0.39 0.10 0.39 Total Volume 125.095 28 176 172 39 Total OI 61.571 14 82 65 21
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 2021-11-01 $63.44 $57.00 17.7% 5.1% 10.1% 0.0% 16.8% 3.7% -3.6% 3.2K -135.7K -162 0.10 117.31 N/A N/A 157 15 52 13 2021-11-02 $63.93 $57.00 16.9% 4.9% 9.3% 0.0% 16.2% 8.7% 1.4% 6.1K -139.0K -191 0.09 121.61 N/A N/A 161 15 52 13 2021-11-03 $64.57 $57.00 21.0% 6.0% 9.6% 0.0% 20.9% 1.7% -5.3% 14.2K -180.9K -267 0.11 118.88 N/A N/A 142 15 56 13 2021-11-04 $63.64 $65.00 17.6% 5.0% 11.6% 0.0% 17.6% 1.0% 1.0% 16.6K -169.9K -276 0.11 120.67 N/A N/A 142 15 67 13 2021-11-05 $64.19 $65.00 15.9% 5.3% 11.1% 0.0% 17.8% 3.6% -1.0% 18.6K -190.4K -283 0.11 122.63 N/A N/A 142 16 67 13 2021-11-08 $63.88 $65.00 18.6% 5.2% 11.5% 0.0% 16.9% 0.6% -0.2% 17.5K -179.6K -274 0.11 126.47 N/A N/A 142 16 67 14 2021-11-09 $64.16 $65.00 17.8% 4.4% 11.0% 0.0% 16.6% 5.4% 2.0% 16.1K -183.2K -243 0.11 125.84 N/A N/A 142 16 67 14 2021-11-10 $64.13 $65.00 18.0% 5.2% 10.7% 0.0% 16.6% 2.5% 0.1% 18.3K -188.4K -265 0.12 127.30 N/A N/A 142 17 67 14 2021-11-11 $64.20 $65.00 17.9% 5.1% 10.2% 0.0% 15.9% 2.0% 0.8% 18.5K -188.8K -248 0.12 127.17 N/A N/A 142 17 67 15 2021-11-12 $64.18 $65.00 17.4% 5.0% 10.2% 0.0% 16.2% 1.9% 0.5% 18.4K -187.8K -245 0.12 127.98 N/A N/A 142 17 67 15 2021-11-15 $64.76 $65.00 16.9% 4.8% 10.5% 0.0% 16.8% 3.2% 0.1% 20.9K -207.1K -210 0.12 127.07 N/A N/A 142 17 67 15 2021-11-16 $64.45 $65.00 17.2% 4.9% 10.6% 0.0% 16.4% 1.3% 0.1% 19.4K -194.1K -201 0.12 125.72 N/A N/A 142 17 67 15 2021-11-17 $64.75 $65.00 16.7% 4.8% 10.0% 0.0% 15.0% 1.1% 1.1% 21.1K -205.3K -176 0.12 123.27 N/A N/A 142 17 67 15 2021-11-18 $64.70 $65.00 16.9% 4.8% 10.0% 0.0% 17.2% 1.4% -1.4% 20.7K -202.7K -174 0.12 128.42 N/A N/A 142 17 67 15 2021-11-19 $64.33 $65.00 17.4% 5.0% 10.3% 0.0% 19.5% 1.0% -0.6% 18.7K -184.0K -150 0.12 125.56 N/A N/A 142 17 67 15 2021-11-22 $64.37 $65.00 17.8% 5.1% 10.3% 0.0% 19.3% 6.8% -0.9% 1.9K -32.1K -138 0.22 125.06 N/A N/A 23 5 9 5 2021-11-23 $64.74 $65.00 18.2% 5.2% 10.2% 0.0% 18.0% 5.9% -4.3% 2.0K -34.1K -128 0.25 125.59 N/A N/A 28 7 9 5 2021-11-24 $65.36 $49.00 18.7% 5.4% 10.3% 0.0% 17.8% 2.3% -2.2% 3.3K -57.0K -188 0.39 129.17 N/A N/A 28 11 14 7 2021-11-26 $63.59 $49.00 21.3% 6.1% 14.3% 0.0% 26.2% 1.2% -4.7% 2.1K -33.9K -298 0.39 128.11 N/A N/A 28 11 14 12 2021-11-29 $63.97 $49.00 20.7% 5.9% 14.4% 0.0% 24.8% 2.3% -3.3% 2.8K -45.9K -227 0.39 127.77 N/A N/A 28 11 14 7 2021-11-30 $63.16 $49.00 21.9% 6.3% 15.1% 0.0% 26.3% 1.5% -1.3% 2.8K -40.2K -227 0.39 125.29 N/A N/A 28 11 14 7
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