USMV Options History — June 2013 In June 2013, USMV traded between $32.04 and $33.49. ATM implied volatility averaged 13.1%. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.4% (HV 20d: 13.5%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days.
Notable Days 2013-06-21 : Largest IV spike — 179.3% change2013-06-21 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $32.78 $32.04 $33.49 $33.02 $32.57 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 13.1% 6.8% 39.7% 11.9% 10.0% Expected Move 3.8% 1.9% 11.4% 3.4% 2.9% HV 20d 13.5% 10.3% 17.0% 10.3% 16.3% HV 60d 11.7% 10.7% 13.0% 10.8% 12.9% Term Structure 2.1% -1.7% 31.6% -0.7% 1.4% Skew 25d 4.2% -0.2% 7.8% 1.8% 2.1% Skew 10d 2.9% -6.6% 7.2% 2.5% 2.5% Call IV 25d 16.9% 7.5% 87.9% 9.0% 10.4% Put IV 25d 21.1% 9.9% 91.7% 10.8% 12.5% Bid-Ask Spread % 72.75 38.04 176.26 57.47 61.61 Gamma HHI 0.60 0.43 0.87 0.45 0.86 Net GEX 14.2K 8.7K 22.9K 17.9K 11.5K Net DEX -76.4K -175.8K -39.2K -86.7K -64.8K Net VEX -754 -1.0K -545 -831 -665 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 133 109 141 141 109
Daily Data (20 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 2013-06-03 $33.02 $33.00 11.9% 3.4% 10.3% 0.0% 0.0% 1.8% -0.7% 17.9K -86.7K -831 0.00 57.47 N/A N/A 0 0 137 4 2013-06-04 $32.89 $33.00 11.9% 3.4% 10.3% 0.0% 0.0% -0.2% -0.2% 17.1K -78.6K -818 0.00 51.94 N/A N/A 0 0 137 4 2013-06-05 $32.50 $33.00 12.0% 3.4% 10.7% 0.0% 0.0% 2.5% 3.4% 13.2K -62.7K -733 0.00 58.68 N/A N/A 0 0 137 4 2013-06-06 $32.85 $33.00 12.0% 3.5% 11.6% 0.0% 0.0% 4.4% -1.7% 15.8K -72.8K -806 0.00 43.96 N/A N/A 0 0 137 4 2013-06-07 $33.14 $0.00 10.5% 3.2% 12.1% 0.0% 0.0% 5.1% 1.1% 18.4K -84.5K -808 0.00 77.51 N/A N/A 0 0 137 4 2013-06-10 $33.10 $0.00 11.3% 3.4% 11.9% 0.0% 0.0% 6.3% 0.5% 18.6K -81.2K -798 0.00 73.34 N/A N/A 0 0 137 4 2013-06-11 $32.85 $0.00 12.3% 3.5% 12.1% 0.0% 0.0% 3.6% 0.3% 15.3K -68.1K -725 0.00 59.62 N/A N/A 0 0 137 4 2013-06-12 $32.72 $0.00 12.6% 3.5% 11.4% 0.0% 0.0% 2.9% 0.7% 12.9K -70.0K -773 0.00 70.91 N/A N/A 0 0 137 4 2013-06-13 $33.18 $0.00 12.1% 3.5% 12.4% 0.0% 0.0% 7.8% 0.8% 18.1K -87.5K -844 0.00 77.84 N/A N/A 0 0 137 4 2013-06-14 $33.11 $0.00 12.0% 3.4% 12.2% 0.0% 0.0% 5.6% 1.0% 17.0K -78.1K -794 0.00 70.52 N/A N/A 0 0 137 4 2013-06-17 $33.32 $0.00 12.8% 3.7% 12.3% 0.0% 0.0% 5.8% -0.1% 22.9K -91.4K -845 0.00 63.81 N/A N/A 0 0 137 4 2013-06-18 $33.49 $0.00 9.0% 2.6% 12.4% 0.0% 0.0% 4.4% -0.6% 14.4K -175.8K -1.0K 0.00 170.40 N/A N/A 0 0 137 4 2013-06-19 $32.92 $0.00 12.1% 3.5% 13.6% 0.0% 0.0% 2.8% 0.4% 10.8K -74.5K -749 0.00 68.32 N/A N/A 0 0 137 4 2013-06-20 $32.06 $0.00 14.2% 4.1% 16.1% 0.0% 0.0% 6.7% 0.3% 9.0K -39.2K -552 0.00 62.98 N/A N/A 0 0 137 4 2013-06-21 $32.28 $0.00 39.7% 11.4% 16.4% 0.0% 0.0% 3.8% 31.6% 8.7K -79.2K -790 0.00 176.26 N/A N/A 0 0 137 4 2013-06-24 $32.04 $0.00 14.6% 4.2% 16.5% 0.0% 0.0% 5.5% -0.3% 8.9K -46.3K -545 0.00 38.04 N/A N/A 0 0 108 1 2013-06-25 $32.31 $0.00 13.4% 3.8% 16.9% 0.0% 0.0% 6.9% 0.3% 9.6K -48.5K -563 0.00 63.80 N/A N/A 0 0 108 1 2013-06-26 $32.65 $0.00 6.8% 1.9% 17.0% 0.0% 0.0% 3.8% 4.2% 12.3K -67.0K -667 0.00 61.06 N/A N/A 0 0 108 1 2013-06-27 $32.67 $0.00 10.9% 3.1% 17.0% 0.0% 0.0% 3.0% 0.7% 12.3K -71.4K -725 0.00 46.91 N/A N/A 0 0 108 1 2013-06-28 $32.57 $0.00 10.0% 2.9% 16.3% 0.0% 0.0% 2.1% 1.4% 11.5K -64.8K -665 0.00 61.61 N/A N/A 0 0 108 1
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