USMV Options History — March 2013

Name: USMV Options Analytics - March 2013
Creator: Options Analysis Suite

In March 2013, USMV traded between $32.14 and $32.76. ATM implied volatility averaged 8.2%. The 30-day expected move averaged 2.3%. Net GEX was positive for 0 of 4 trading days. Term structure was in contango for 3 of 4 days.

Notable Days

2013-03-27: Largest IV drop — 31.5% change
2013-03-25: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.48	$32.14	$32.76	$32.14	$32.76
ATM IV	8.2%	6.5%	9.8%	9.8%	6.9%
Expected Move	2.3%	1.9%	2.8%	2.8%	2.0%
Term Structure	2.1%	-0.1%	3.8%	-0.1%	2.5%
Skew 25d	2.0%	0.9%	3.9%	1.3%	0.9%
Skew 10d	1.2%	1.0%	1.5%	1.5%	1.3%
Call IV 25d	7.6%	6.5%	8.8%	8.8%	7.5%
Put IV 25d	9.6%	8.4%	10.4%	10.1%	8.4%
Bid-Ask Spread %	62.06	46.95	82.75	82.75	50.58
Net GEX	0	0	0	0	0
Net DEX	0	0	0	0	0
Net VEX	0	0	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (4 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2013-03-25	$32.14	$0.00	9.8%	2.8%	0.0%	0.0%	0.0%	1.3%	-0.1%	82.75	N/A	N/A
2013-03-26	$32.48	$0.00	9.5%	2.7%	0.0%	0.0%	0.0%	3.9%	2.1%	46.95	N/A	N/A
2013-03-27	$32.54	$0.00	6.5%	1.9%	0.0%	0.0%	0.0%	0.0%	3.8%	67.95	N/A	N/A
2013-03-28	$32.76	$0.00	6.9%	2.0%	0.0%	0.0%	0.0%	0.9%	2.5%	50.58	N/A	N/A