USRT Options History — September 2022

In September 2022, USRT traded between $46.92 and $56.98. ATM implied volatility averaged 29.2%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.3% (HV 20d: 23.0%). Max pain ranged from $53.00 to $62.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2022-09-06: Highest Volume — 77 contracts
2022-09-13: Largest IV spike — 104.1% change
2022-09-13: Highest IV Rank — 92.0%
2022-09-28: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.38	$46.92	$56.98	$54.60	$47.75
Max Pain	$58.64	$53.00	$62.00	$57.00	$53.00
ATM IV	29.2%	17.7%	49.3%	21.6%	35.1%
Expected Move	7.5%	4.2%	10.9%	6.2%	10.1%
HV 20d	23.0%	18.3%	30.6%	18.7%	30.6%
HV 60d	21.3%	18.8%	23.8%	23.8%	23.5%
IV Rank	41.7%	12.7%	92.0%	22.4%	56.4%
IV Percentile	68.2%	17.9%	99.2%	38.5%	91.3%
Term Structure	-1.6%	-11.2%	9.3%	-5.3%	-0.9%
VWIV	38.3%	24.1%	51.2%	24.1%	51.2%
Skew 25d	5.1%	-11.6%	14.1%	-2.2%	11.3%
Skew 10d	6.9%	-5.4%	19.9%	-1.6%	19.9%
Call IV 25d	26.6%	13.0%	47.7%	20.7%	47.7%
Put IV 25d	31.7%	12.4%	59.0%	18.5%	59.0%
Bid-Ask Spread %	113.11	92.63	122.11	122.08	110.53
Gamma HHI	0.26	0.21	0.36	0.33	0.22
Net GEX	-939	-8.3K	14.5K	-5.7K	-1.2K
Net DEX	33.0K	-27.4K	68.5K	25.9K	49.1K
Net VEX	-329	-453	-206	-409	-250
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	1.48	1.26	0.63
Total Volume	27.429	0	77	0	52
Total OI	67.667	40	82	81	53

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
2022-09-01	$54.60	$57.00	21.6%	6.2%	18.7%	22.4%	0.0%	-2.2%	-5.3%	-5.7K	25.9K	-409	0.00	122.08	N/A	N/A	0	0	35	46
2022-09-02	$54.19	$57.00	27.2%	7.8%	18.7%	36.6%	0.0%	-11.6%	-2.7%	-2.8K	34.8K	-446	0.00	121.68	N/A	N/A	0	0	35	46
2022-09-06	$54.75	$0.00	29.5%	6.2%	18.4%	42.2%	0.0%	5.8%	-7.4%	-3.0K	31.2K	-407	1.26	92.63	N/A	N/A	34	43	35	46
2022-09-07	$55.79	$0.00	34.3%	7.1%	19.9%	54.4%	0.0%	7.9%	-6.9%	-417	-1.8K	-400	1.26	108.98	N/A	N/A	34	43	35	46
2022-09-08	$55.73	$0.00	34.8%	7.5%	18.3%	55.7%	0.0%	1.4%	-5.1%	1.5K	247	-453	0.00	122.11	N/A	N/A	0	0	35	46
2022-09-09	$56.54	$0.00	22.3%	4.7%	19.3%	24.1%	0.0%	-3.0%	8.8%	8.8K	-13.4K	-378	0.00	121.73	N/A	N/A	0	0	35	46
2022-09-12	$56.98	$0.00	24.1%	4.2%	18.3%	28.8%	0.0%	4.2%	3.7%	14.5K	-27.4K	-293	0.00	117.82	N/A	N/A	1	0	35	46
2022-09-13	$54.94	$0.00	49.3%	7.1%	21.7%	92.0%	0.0%	4.4%	1.3%	2.0K	-337	-410	1.48	107.64	N/A	N/A	29	43	36	46
2022-09-14	$54.59	$0.00	17.7%	5.1%	21.7%	12.7%	0.0%	9.6%	0.4%	-2.7K	27.3K	-345	0.00	121.09	N/A	N/A	0	0	36	46
2022-09-15	$52.84	$0.00	28.6%	8.2%	23.8%	40.1%	0.0%	1.9%	-11.2%	-5.0K	68.5K	-323	0.00	120.99	N/A	N/A	0	0	36	46
2022-09-16	$53.33	$0.00	28.2%	8.1%	24.4%	39.0%	0.0%	5.7%	-7.1%	-8.3K	62.0K	-302	1.48	108.79	N/A	N/A	29	43	36	46
2022-09-19	$53.14	$0.00	22.8%	6.5%	24.3%	25.4%	24.1%	14.1%	5.6%	-2.0K	31.1K	-288	0.00	114.90	N/A	N/A	17	0	17	23
2022-09-20	$52.19	$62.00	23.6%	6.8%	24.1%	27.5%	0.0%	5.6%	0.0%	-1.8K	33.9K	-324	0.00	118.55	N/A	N/A	0	4	32	23
2022-09-21	$51.31	$62.00	23.7%	6.8%	24.3%	27.7%	0.0%	-1.3%	-1.1%	-1.7K	39.4K	-288	0.00	120.20	N/A	N/A	0	0	32	21
2022-09-22	$50.83	$62.00	26.5%	7.6%	24.0%	34.8%	0.0%	2.8%	1.4%	-2.0K	42.6K	-293	0.00	120.11	N/A	N/A	0	0	32	21
2022-09-23	$49.99	$62.00	26.1%	7.5%	23.4%	33.7%	0.0%	11.5%	9.3%	-2.1K	49.2K	-273	0.00	111.27	N/A	N/A	0	0	32	21
2022-09-26	$48.11	$62.00	34.2%	9.8%	25.4%	54.2%	34.0%	7.3%	-4.8%	-2.0K	57.1K	-245	0.55	99.47	N/A	N/A	31	17	32	21
2022-09-27	$47.19	$62.00	37.6%	10.8%	25.7%	62.8%	35.0%	11.9%	-3.7%	-2.3K	62.3K	-206	0.63	103.70	N/A	N/A	32	20	32	21
2022-09-28	$48.35	$53.00	37.9%	10.9%	28.0%	63.5%	47.0%	13.0%	-3.1%	-1.5K	56.7K	-326	0.63	109.40	N/A	N/A	32	20	33	24
2022-09-29	$46.92	$53.00	28.8%	8.2%	29.2%	40.5%	38.4%	6.4%	-3.8%	-2.1K	64.4K	-254	0.63	101.56	N/A	N/A	32	20	33	23
2022-09-30	$47.75	$53.00	35.1%	10.1%	30.6%	56.4%	51.2%	11.3%	-0.9%	-1.2K	49.1K	-250	0.63	110.53	N/A	N/A	32	20	33	20