USMV Options History — August 2013

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

In August 2013, USMV traded between $32.66 and $34.01. ATM implied volatility averaged 14.8%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 7.7% (HV 20d: 7.1%). Max pain ranged from $32.00 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 2.25.

Notable Days

2013-08-06: Highest Volume — 100 contracts
2013-08-20: Largest IV spike — 508.3% change
2013-08-20: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.31	$32.66	$34.01	$34.01	$32.67
Max Pain	$32.23	$32.00	$33.00	$33.00	$33.00
ATM IV	14.8%	6.0%	61.9%	8.8%	11.4%
Expected Move	4.3%	2.2%	17.8%	2.5%	3.3%
HV 20d	7.1%	4.9%	8.6%	7.4%	8.0%
HV 60d	11.6%	10.9%	11.9%	11.9%	10.9%
Term Structure	3.6%	-16.0%	40.4%	1.3%	0.2%
VWIV	10.9%	10.4%	11.5%	10.6%	10.4%
Skew 25d	3.4%	-0.7%	11.7%	2.5%	3.3%
Skew 10d	2.5%	-8.6%	18.5%	3.9%	4.0%
Call IV 25d	18.4%	6.6%	85.7%	7.1%	10.3%
Put IV 25d	21.8%	7.6%	88.8%	9.6%	13.6%
Bid-Ask Spread %	78.49	43.55	176.27	59.82	56.69
Gamma HHI	0.61	0.48	0.90	0.80	0.51
Net GEX	19.8K	8.8K	26.1K	22.5K	16.1K
Net DEX	-111.9K	-161.0K	-52.6K	-134.1K	-56.0K
Net VEX	-668	-869	-447	-806	-447
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.25	0.00	9.00	9.00	0.00
Total Volume	5.091	0	100	0	0
Total OI	122.818	116	126	116	125

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
2013-08-01	$34.01	$33.00	8.8%	2.5%	7.4%	0.0%	0.0%	2.5%	1.3%	22.5K	-134.1K	-806	0.00	59.82	N/A	N/A	0	0	115	1
2013-08-02	$34.01	$33.00	7.6%	2.2%	7.4%	0.0%	0.0%	11.7%	1.5%	22.8K	-126.8K	-749	0.00	52.31	N/A	N/A	0	0	115	1
2013-08-05	$33.98	$32.00	8.0%	2.6%	7.1%	0.0%	0.0%	1.2%	1.3%	21.8K	-134.9K	-802	0.00	79.74	N/A	N/A	0	0	115	1
2013-08-06	$33.89	$32.00	6.8%	2.6%	7.2%	0.0%	10.6%	0.5%	1.5%	22.4K	-129.3K	-763	9.00	71.82	N/A	N/A	10	90	115	1
2013-08-07	$33.77	$32.00	7.5%	2.6%	7.3%	0.0%	0.0%	4.3%	1.6%	25.4K	-143.4K	-788	0.00	90.56	N/A	N/A	0	0	125	1
2013-08-08	$33.90	$32.00	6.4%	2.6%	5.1%	0.0%	0.0%	4.2%	2.0%	24.9K	-159.1K	-797	0.00	67.10	N/A	N/A	0	0	125	1
2013-08-09	$33.83	$32.00	6.0%	2.6%	5.2%	0.0%	0.0%	3.7%	1.6%	25.0K	-149.4K	-774	0.00	70.98	N/A	N/A	0	0	125	1
2013-08-12	$33.78	$32.00	9.0%	2.8%	5.1%	0.0%	0.0%	3.7%	0.9%	24.8K	-144.8K	-760	0.00	74.60	N/A	N/A	0	0	125	1
2013-08-13	$33.74	$32.00	9.9%	2.6%	4.9%	0.0%	0.0%	3.9%	1.7%	24.9K	-142.7K	-764	0.00	56.02	N/A	N/A	0	0	125	1
2013-08-14	$33.57	$32.00	14.6%	2.5%	5.2%	0.0%	0.0%	2.2%	1.6%	26.1K	-125.8K	-679	0.00	57.46	N/A	N/A	3	0	125	1
2013-08-15	$33.12	$32.00	11.5%	3.3%	6.9%	0.0%	11.5%	2.5%	0.9%	23.5K	-90.2K	-615	0.00	66.68	N/A	N/A	3	0	122	1
2013-08-16	$32.92	$32.00	10.8%	3.1%	7.0%	0.0%	11.0%	4.1%	0.6%	20.6K	-73.6K	-506	0.00	75.22	N/A	N/A	4	0	122	1
2013-08-19	$32.76	$32.00	10.2%	2.9%	7.0%	0.0%	0.0%	5.1%	0.9%	16.9K	-61.6K	-474	0.00	62.29	N/A	N/A	0	0	122	1
2013-08-20	$32.98	$32.00	61.9%	17.8%	7.7%	0.0%	0.0%	-0.7%	-16.0%	9.1K	-160.5K	-869	0.00	175.94	N/A	N/A	0	0	122	1
2013-08-21	$32.78	$32.00	10.9%	3.1%	7.6%	0.0%	0.0%	4.3%	0.5%	16.9K	-60.2K	-469	0.00	58.07	N/A	N/A	0	0	122	1
2013-08-22	$32.95	$32.00	38.6%	11.1%	7.8%	0.0%	0.0%	2.3%	33.5%	9.0K	-161.0K	-860	0.00	176.27	N/A	N/A	0	0	122	1
2013-08-23	$33.13	$32.00	9.6%	2.8%	8.0%	0.0%	0.0%	2.0%	1.0%	21.5K	-80.2K	-544	0.00	45.53	N/A	N/A	0	0	122	1
2013-08-26	$32.97	$32.00	9.8%	2.8%	8.1%	0.0%	0.0%	1.2%	1.2%	19.8K	-70.0K	-506	0.00	61.41	N/A	N/A	0	0	122	1
2013-08-27	$32.66	$32.00	10.6%	3.0%	8.6%	0.0%	10.4%	4.3%	0.9%	16.9K	-57.3K	-452	0.00	53.10	N/A	N/A	0	2	122	1
2013-08-28	$32.67	$33.00	10.4%	3.0%	8.6%	0.0%	0.0%	4.9%	0.9%	15.8K	-52.6K	-455	0.00	43.55	N/A	N/A	0	0	122	3
2013-08-29	$32.73	$33.00	44.5%	12.8%	8.1%	0.0%	0.0%	3.1%	40.4%	8.8K	-148.1K	-814	0.00	171.57	N/A	N/A	0	0	122	3
2013-08-30	$32.67	$33.00	11.4%	3.3%	8.0%	0.0%	0.0%	3.3%	0.2%	16.1K	-56.0K	-447	0.00	56.69	N/A	N/A	0	0	122	3