USMV Options History — April 2013

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

In April 2013, USMV traded between $32.64 and $33.67. ATM implied volatility averaged 8.9%. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 3.2% (HV 20d: 12.1%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.30.

Notable Days

2013-04-30: Highest Volume — 10 contracts
2013-04-26: Largest IV spike — 64.5% change
2013-04-18: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.14	$32.64	$33.67	$32.70	$33.67
ATM IV	8.9%	5.7%	11.6%	7.2%	7.9%
Expected Move	2.6%	1.6%	3.3%	2.1%	2.3%
HV 20d	12.1%	11.7%	12.7%	12.4%	11.7%
Term Structure	1.2%	-1.1%	3.7%	2.8%	3.7%
Skew 25d	3.0%	-3.9%	8.7%	1.1%	2.1%
Skew 10d	2.7%	-8.6%	12.0%	1.4%	1.4%
Call IV 25d	8.5%	5.6%	26.6%	7.8%	6.8%
Put IV 25d	11.5%	7.6%	22.8%	8.9%	8.9%
Bid-Ask Spread %	66.11	43.76	152.48	49.64	100.31
Gamma HHI	0.48	0.44	0.51	0.51	0.45
Net GEX	-72	-468	0	0	-468
Net DEX	-450	-2.4K	0	0	-2.1K
Net VEX	-15	-73	0	0	-72
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	0.60	0.60	0.00
Total Volume	0.864	0	10	0	10
Total OI	1.909	0	9	0	9

Daily Data (22 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
2013-04-01	$32.70	$0.00	7.2%	2.1%	0.0%	0.0%	0.0%	1.1%	2.8%	0	0	0	0.00	49.64	N/A	N/A	0	0	0	0
2013-04-02	$32.88	$0.00	7.8%	2.2%	0.0%	0.0%	0.0%	0.3%	1.0%	0	0	0	0.00	48.75	N/A	N/A	0	0	0	0
2013-04-03	$32.64	$0.00	7.5%	2.2%	0.0%	0.0%	0.0%	-3.9%	1.5%	0	0	0	0.00	51.37	N/A	N/A	0	0	0	0
2013-04-04	$32.81	$0.00	8.8%	2.5%	0.0%	0.0%	0.0%	1.8%	2.3%	0	0	0	0.00	50.77	N/A	N/A	0	0	0	0
2013-04-05	$32.68	$0.00	7.1%	2.4%	0.0%	0.0%	0.0%	2.9%	1.2%	0	0	0	0.00	62.02	N/A	N/A	0	0	0	0
2013-04-08	$32.82	$0.00	8.6%	2.5%	0.0%	0.0%	0.0%	3.3%	0.6%	0	0	0	0.00	62.55	N/A	N/A	0	0	0	0
2013-04-09	$32.91	$0.00	7.5%	2.4%	0.0%	0.0%	0.0%	8.7%	-1.1%	0	0	0	0.00	105.80	N/A	N/A	0	0	0	0
2013-04-10	$33.23	$0.00	8.3%	2.7%	0.0%	0.0%	0.0%	3.0%	0.7%	0	0	0	0.00	73.56	N/A	N/A	0	0	0	0
2013-04-11	$33.38	$0.00	9.3%	2.7%	0.0%	0.0%	0.0%	3.0%	0.9%	0	0	0	0.00	57.10	N/A	N/A	0	0	0	0
2013-04-12	$33.39	$0.00	9.4%	2.7%	0.0%	0.0%	0.0%	3.7%	1.0%	0	0	0	0.00	57.05	N/A	N/A	0	0	0	0
2013-04-15	$32.79	$0.00	11.4%	3.3%	0.0%	0.0%	0.0%	3.5%	0.1%	0	0	0	0.00	63.88	N/A	N/A	0	0	0	0
2013-04-16	$33.21	$0.00	10.0%	2.9%	12.4%	0.0%	0.0%	2.8%	0.7%	0	0	0	0.00	74.35	N/A	N/A	0	0	0	0
2013-04-17	$32.92	$0.00	11.5%	3.3%	12.7%	0.0%	0.0%	5.8%	-0.3%	0	0	0	0.00	51.07	N/A	N/A	0	0	0	0
2013-04-18	$32.88	$0.00	11.6%	3.3%	12.3%	0.0%	0.0%	5.0%	0.6%	0	0	0	0.00	62.22	N/A	N/A	0	0	0	0
2013-04-19	$33.22	$0.00	11.5%	3.3%	12.4%	0.0%	0.0%	3.7%	-0.2%	0	0	0	0.00	60.99	N/A	N/A	0	0	0	0
2013-04-22	$33.32	$0.00	10.7%	3.1%	12.1%	0.0%	0.0%	3.9%	0.7%	0	0	0	0.00	54.79	N/A	N/A	0	0	0	0
2013-04-23	$33.57	$0.00	5.7%	1.6%	11.9%	0.0%	0.0%	4.8%	2.2%	0	0	0	0.60	54.45	N/A	N/A	5	3	0	0
2013-04-24	$33.37	$0.00	8.6%	2.5%	11.8%	0.0%	0.0%	2.9%	3.3%	-250	-1.4K	-65	0.00	59.09	N/A	N/A	0	0	5	3
2013-04-25	$33.51	$0.00	6.4%	1.8%	11.9%	0.0%	0.0%	4.3%	1.5%	-267	-2.4K	-65	0.00	152.48	N/A	N/A	0	0	5	3
2013-04-26	$33.47	$0.00	10.6%	3.0%	11.8%	0.0%	0.0%	4.0%	0.3%	-228	-2.1K	-65	0.00	43.76	N/A	N/A	0	1	5	3
2013-04-29	$33.63	$0.00	8.1%	2.3%	11.8%	0.0%	0.0%	0.3%	3.0%	-375	-1.9K	-73	0.00	58.47	N/A	N/A	0	0	5	4
2013-04-30	$33.67	$0.00	7.9%	2.3%	11.7%	0.0%	0.0%	2.1%	3.7%	-468	-2.1K	-72	0.00	100.31	N/A	N/A	10	0	5	4