USMV Options History — May 2013 In May 2013, USMV traded between $32.88 and $34.32. ATM implied volatility averaged 14.1%. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.2% (HV 20d: 9.9%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2013-05-17 : Highest Volume — 110 contracts2013-05-23 : Largest IV spike — 605.6% change2013-05-23 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.76 $32.88 $34.32 $33.39 $32.88 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 14.1% 6.3% 68.0% 10.8% 11.1% Expected Move 4.1% 1.8% 19.5% 3.1% 3.2% HV 20d 9.9% 8.2% 11.8% 11.8% 10.4% HV 60d 10.6% 10.4% 10.9% 10.5% 10.9% Term Structure -2.2% -53.6% 3.4% 0.5% 0.4% VWIV 20.5% 9.5% 63.3% 9.6% 9.8% Skew 25d 2.2% -0.9% 5.1% 2.8% 0.8% Skew 10d 2.5% 1.1% 6.0% 1.7% 1.5% Call IV 25d 14.4% 5.9% 87.1% 8.1% 8.4% Put IV 25d 16.6% 7.4% 89.5% 10.9% 9.2% Bid-Ask Spread % 78.98 34.18 169.75 39.11 48.82 Gamma HHI 0.67 0.45 0.85 0.64 0.45 Net GEX 8.8K 2.7K 25.0K 2.7K 17.8K Net DEX -60.5K -172.8K -10.9K -10.9K -80.9K Net VEX -474 -1.1K -105 -115 -826 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 6.591 0 110 0 0 Total OI 61.682 19 141 19 141
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 2013-05-01 $33.39 $0.00 10.8% 3.1% 11.8% 0.0% 0.0% 2.8% 0.5% 2.7K -10.9K -115 0.00 39.11 N/A N/A 0 0 15 4 2013-05-02 $33.54 $0.00 6.3% 1.8% 11.7% 0.0% 0.0% 1.5% 3.4% 3.1K -12.5K -116 0.00 34.18 N/A N/A 0 0 15 4 2013-05-03 $33.71 $0.00 7.0% 2.0% 11.7% 0.0% 0.0% 0.9% 1.4% 3.7K -15.1K -116 0.00 51.05 N/A N/A 0 0 15 4 2013-05-06 $33.59 $33.00 6.9% 2.4% 11.8% 0.0% 0.0% 2.4% 1.7% 3.4K -13.4K -114 0.00 88.98 N/A N/A 0 0 15 4 2013-05-07 $33.78 $33.00 8.3% 2.4% 11.8% 0.0% 0.0% 3.2% 1.7% 3.8K -16.1K -113 0.00 67.78 N/A N/A 0 0 15 4 2013-05-08 $33.79 $33.00 7.0% 2.4% 11.4% 0.0% 0.0% 3.3% 1.8% 4.1K -16.5K -112 0.00 50.27 N/A N/A 0 0 15 4 2013-05-09 $33.63 $33.00 6.8% 2.5% 11.5% 0.0% 0.0% 1.7% 1.6% 3.6K -13.6K -110 0.00 57.11 N/A N/A 0 0 15 4 2013-05-10 $33.79 $33.00 6.5% 2.4% 11.6% 0.0% 0.0% 3.2% 1.9% 4.1K -16.1K -111 0.00 67.09 N/A N/A 0 0 15 4 2013-05-13 $33.76 $33.00 9.0% 2.5% 9.3% 0.0% 0.0% 3.1% 1.8% 4.0K -16.8K -111 0.00 70.17 N/A N/A 0 0 15 4 2013-05-14 $34.08 $33.00 8.7% 3.1% 8.8% 0.0% 0.0% 1.2% 0.2% 3.7K -22.7K -111 0.00 57.45 N/A N/A 0 0 15 4 2013-05-15 $34.32 $33.00 10.9% 2.8% 8.2% 0.0% 0.0% 2.8% 1.7% 4.4K -27.2K -105 0.00 150.86 N/A N/A 3 0 15 4 2013-05-16 $34.06 $33.00 9.4% 2.7% 8.8% 0.0% 0.0% 0.5% 1.9% 4.8K -25.9K -137 0.00 134.07 N/A N/A 0 0 18 4 2013-05-17 $34.25 $33.00 9.6% 2.8% 8.4% 0.0% 9.6% 3.0% 1.3% 4.8K -31.0K -135 0.00 63.37 N/A N/A 110 0 18 4 2013-05-20 $34.10 $33.00 61.5% 17.6% 8.6% 0.0% 63.3% 3.0% -53.6% 7.1K -172.8K -1.1K 0.00 169.75 N/A N/A 1 0 108 4 2013-05-21 $34.16 $33.00 10.1% 2.9% 8.3% 0.0% 10.1% 2.5% 0.6% 16.1K -128.7K -1.0K 0.00 63.62 N/A N/A 1 0 109 4 2013-05-22 $33.88 $33.00 9.6% 2.8% 8.6% 0.0% 0.0% -0.9% 0.9% 15.0K -119.1K -1.0K 0.00 59.14 N/A N/A 0 0 110 4 2013-05-23 $33.80 $33.00 68.0% 19.5% 8.5% 0.0% 0.0% 2.4% -17.8% 10.5K -145.0K -1.1K 0.00 168.76 N/A N/A 0 0 110 4 2013-05-24 $33.76 $33.00 9.7% 2.8% 8.5% 0.0% 9.5% 2.1% 0.2% 14.4K -111.7K -982 0.00 127.72 N/A N/A 1 0 110 4 2013-05-28 $33.80 $33.00 9.8% 2.8% 8.4% 0.0% 9.8% -0.1% 0.5% 15.2K -116.1K -983 0.00 51.46 N/A N/A 29 0 110 4 2013-05-29 $33.36 $33.00 11.8% 3.4% 9.6% 0.0% 0.0% 5.1% -0.1% 23.0K -105.7K -923 0.00 49.20 N/A N/A 0 0 137 4 2013-05-30 $33.37 $33.00 10.7% 3.1% 9.2% 0.0% 0.0% 4.1% 0.6% 25.0K -113.3K -930 0.00 67.52 N/A N/A 0 0 137 4 2013-05-31 $32.88 $33.00 11.1% 3.2% 10.4% 0.0% 0.0% 0.8% 0.4% 17.8K -80.9K -826 0.00 48.82 N/A N/A 0 0 137 4
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