USMV Options History — July 2013 In July 2013, USMV traded between $32.59 and $33.94. ATM implied volatility averaged 9.2%. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 2.9% (HV 20d: 12.1%). 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 21 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2013-07-08 : Highest Volume — 3 contracts2013-07-03 : Largest IV drop — 31.0% change2013-07-01 : Largest Expected Move — 3.3%Monthly Statistics Metric Avg Min Max Open Close Price $33.52 $32.59 $33.94 $32.71 $33.77 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 9.2% 7.3% 11.4% 11.4% 9.2% Expected Move 2.7% 2.1% 3.3% 3.3% 2.6% HV 20d 12.1% 7.2% 16.3% 16.3% 7.3% HV 60d 12.3% 11.8% 12.9% 12.9% 11.8% Term Structure 1.3% -0.1% 4.1% 0.6% 0.5% VWIV 11.6% 9.5% 14.0% 9.5% 14.0% Skew 25d 1.2% -1.2% 5.0% -1.2% -0.5% Skew 10d 2.1% -0.5% 4.4% 3.5% -0.4% Call IV 25d 8.3% 6.9% 10.0% 9.5% 9.3% Put IV 25d 9.5% 6.5% 13.9% 8.3% 8.7% Bid-Ask Spread % 60.70 41.63 140.40 51.95 140.40 Gamma HHI 0.76 0.69 0.87 0.86 0.72 Net GEX 18.6K 11.7K 23.0K 12.1K 21.6K Net DEX -107.4K -133.1K -59.0K -69.3K -126.7K Net VEX -777 -872 -595 -659 -790 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 0.318 0 3 0 0 Total OI 113.682 109 116 109 116
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 2013-07-01 $32.71 $0.00 11.4% 3.3% 16.3% 0.0% 0.0% -1.2% 0.6% 12.1K -69.3K -659 0.00 51.95 N/A N/A 0 0 108 1 2013-07-02 $32.62 $0.00 10.7% 3.1% 16.2% 0.0% 0.0% 3.9% 1.5% 11.8K -63.7K -656 0.00 44.29 N/A N/A 0 0 108 1 2013-07-03 $32.59 $0.00 7.3% 2.1% 15.6% 0.0% 0.0% 5.0% 4.1% 11.7K -59.0K -595 0.00 66.70 N/A N/A 0 0 108 1 2013-07-05 $32.74 $0.00 8.6% 2.9% 15.2% 0.0% 0.0% 4.0% 1.6% 12.4K -63.6K -651 0.00 67.78 N/A N/A 0 0 108 1 2013-07-08 $33.00 $0.00 10.3% 2.8% 15.2% 0.0% 9.5% 3.4% 2.1% 13.7K -75.7K -706 0.00 65.43 N/A N/A 3 0 108 1 2013-07-09 $33.13 $33.00 10.6% 3.2% 15.2% 0.0% 11.2% 0.9% 0.2% 15.5K -85.1K -718 0.00 77.43 N/A N/A 1 0 111 1 2013-07-10 $33.25 $33.00 7.6% 3.1% 15.0% 0.0% 0.0% 2.3% 0.4% 16.6K -92.3K -777 0.00 69.22 N/A N/A 0 0 112 1 2013-07-11 $33.76 $33.00 9.8% 2.8% 15.8% 0.0% 0.0% 1.5% -0.1% 18.6K -120.3K -872 0.00 71.70 N/A N/A 0 0 112 1 2013-07-12 $33.75 $33.00 9.3% 2.7% 15.1% 0.0% 0.0% 2.6% 0.6% 19.2K -116.3K -869 0.00 55.78 N/A N/A 0 0 112 1 2013-07-15 $33.86 $33.00 10.2% 2.9% 15.1% 0.0% 14.0% -0.9% 0.1% 19.6K -118.4K -844 0.00 47.12 N/A N/A 3 0 112 1 2013-07-16 $33.74 $33.00 9.8% 2.8% 15.0% 0.0% 0.0% 3.2% 1.1% 19.6K -122.0K -851 0.00 54.03 N/A N/A 0 0 115 1 2013-07-17 $33.76 $33.00 9.8% 2.8% 14.9% 0.0% 0.0% 3.1% 1.1% 19.8K -128.2K -865 0.00 46.83 N/A N/A 0 0 115 1 2013-07-18 $33.85 $33.00 9.5% 2.7% 13.4% 0.0% 0.0% 0.4% 1.2% 21.1K -129.2K -862 0.00 52.89 N/A N/A 0 0 115 1 2013-07-19 $33.93 $33.00 8.9% 2.6% 8.5% 0.0% 0.0% -0.4% 1.5% 21.7K -130.4K -836 0.00 53.11 N/A N/A 0 0 115 1 2013-07-22 $33.94 $33.00 7.7% 2.2% 8.4% 0.0% 0.0% 0.5% 2.4% 22.3K -133.1K -833 0.00 55.80 N/A N/A 0 0 115 1 2013-07-23 $33.90 $33.00 8.6% 2.5% 7.6% 0.0% 0.0% -0.9% 1.2% 21.8K -129.6K -835 0.00 43.15 N/A N/A 0 0 115 1 2013-07-24 $33.68 $33.00 8.7% 2.5% 8.0% 0.0% 0.0% -0.6% 1.0% 21.0K -112.5K -782 0.00 55.92 N/A N/A 0 0 115 1 2013-07-25 $33.81 $33.00 7.9% 2.3% 7.4% 0.0% 0.0% 1.9% 4.0% 21.6K -115.7K -770 0.00 61.65 N/A N/A 0 0 115 1 2013-07-26 $33.88 $33.00 8.6% 2.5% 7.4% 0.0% 0.0% -0.6% 1.1% 23.0K -125.8K -774 0.00 41.63 N/A N/A 0 0 115 1 2013-07-29 $33.83 $33.00 8.5% 2.4% 7.3% 0.0% 0.0% -0.1% 1.3% 21.5K -127.1K -779 0.00 58.68 N/A N/A 0 0 115 1 2013-07-30 $33.87 $33.00 9.7% 2.8% 7.2% 0.0% 0.0% -0.3% 0.5% 22.8K -117.8K -762 0.00 53.83 N/A N/A 0 0 115 1 2013-07-31 $33.77 $33.00 9.2% 2.6% 7.3% 0.0% 0.0% -0.5% 0.5% 21.6K -126.7K -790 0.00 140.40 N/A N/A 0 0 115 1
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