USMV Options History — September 2013 In September 2013, USMV traded between $32.62 and $34.28. ATM implied volatility averaged 13.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.5% (HV 20d: 8.8%). 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 16 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-18 : Highest Volume — 6 contracts2013-09-04 : Largest IV drop — 87.9% change2013-09-30 : Highest IV Rank — 8.7%2013-09-03 : Largest Expected Move — 23.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.40 $32.62 $34.28 $32.62 $33.23 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 13.3% 6.5% 82.9% 82.9% 12.4% Expected Move 3.9% 1.9% 23.8% 23.8% 3.6% HV 20d 8.8% 7.5% 9.9% 8.0% 9.6% HV 60d 9.4% 8.1% 10.8% 10.8% 8.7% IV Rank 4.8% 1.0% 8.7% 4.5% 8.7% IV Percentile 47.7% 5.5% 90.1% 38.9% 90.1% Term Structure -0.5% -31.4% 4.0% -31.4% -0.7% Skew 25d 2.4% -4.1% 5.2% -4.1% 3.5% Skew 10d 2.0% -16.0% 10.4% -16.0% 2.6% Call IV 25d 13.0% 6.1% 113.6% 113.6% 8.7% Put IV 25d 15.3% 7.2% 109.5% 109.5% 12.1% Bid-Ask Spread % 68.87 48.69 175.96 175.96 71.34 Gamma HHI 0.66 0.47 0.87 0.76 0.85 Net GEX 22.4K 8.9K 40.1K 8.9K 18.1K Net DEX -93.8K -175.2K -49.2K -143.1K -63.4K Net VEX -525 -781 -392 -781 -437 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 0.55 0 6 0 0 Total OI 121.1 110 131 125 110
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 2013-09-03 $32.62 $33.00 82.9% 23.8% 8.0% 0.0% 0.0% -4.1% -31.4% 8.9K -143.1K -781 0.00 175.96 N/A N/A 0 0 122 3 2013-09-04 $32.76 $33.00 10.0% 2.9% 8.3% 0.0% 0.0% 3.9% 0.8% 18.0K -57.2K -480 0.00 48.69 N/A N/A 0 0 122 3 2013-09-05 $32.70 $33.00 10.1% 2.9% 8.3% 0.0% 0.0% -0.5% 0.2% 17.3K -49.2K -392 0.00 55.42 N/A N/A 0 0 122 3 2013-09-06 $32.78 $0.00 10.8% 3.2% 8.2% 0.0% 0.0% 3.7% 0.7% 18.0K -54.6K -430 0.00 63.13 N/A N/A 5 0 122 3 2013-09-09 $33.04 $0.00 11.4% 3.2% 8.9% 0.0% 0.0% 4.4% 1.2% 20.6K -64.4K -423 0.00 66.09 N/A N/A 0 0 122 3 2013-09-10 $33.25 $0.00 8.6% 3.1% 9.3% 0.0% 0.0% 5.2% 1.0% 25.2K -80.8K -462 0.00 68.35 N/A N/A 0 0 122 3 2013-09-11 $33.39 $0.00 9.0% 3.1% 9.4% 0.0% 0.0% 3.0% 0.8% 22.6K -83.8K -490 0.00 79.50 N/A N/A 0 0 122 3 2013-09-12 $33.31 $0.00 10.9% 3.1% 9.3% 0.0% 0.0% 3.5% 0.6% 23.6K -90.3K -526 0.00 70.11 N/A N/A 0 0 122 3 2013-09-13 $33.44 $0.00 10.8% 3.1% 8.0% 0.0% 0.0% 3.1% 0.9% 22.9K -89.7K -480 0.00 73.12 N/A N/A 0 0 122 3 2013-09-16 $33.62 $0.00 7.2% 2.1% 7.8% 0.0% 0.0% 3.9% 4.0% 24.5K -110.2K -565 0.00 74.27 N/A N/A 0 0 122 3 2013-09-17 $33.72 $0.00 9.0% 2.6% 7.5% 0.0% 0.0% 2.7% 1.9% 24.6K -122.0K -565 0.00 58.68 N/A N/A 0 0 122 3 2013-09-18 $34.28 $0.00 10.0% 2.9% 9.1% 0.0% 0.0% 1.8% 1.1% 26.8K -165.6K -675 0.00 61.04 N/A N/A 6 0 122 3 2013-09-19 $34.20 $0.00 9.9% 2.8% 8.7% 0.0% 0.0% 0.3% 1.1% 32.4K -175.2K -678 0.00 63.13 N/A N/A 0 0 128 3 2013-09-20 $33.97 $0.00 9.3% 2.7% 9.2% 0.0% 0.0% -0.4% 1.5% 40.1K -147.8K -591 0.00 54.32 N/A N/A 0 0 128 3 2013-09-23 $33.88 $0.00 9.2% 2.6% 9.2% 4.5% 0.0% -0.1% 0.6% 22.9K -96.7K -580 0.00 54.63 N/A N/A 0 0 110 0 2013-09-24 $33.52 $0.00 6.5% 1.9% 9.9% 1.0% 0.0% 3.8% 3.8% 22.0K -77.2K -509 0.00 65.32 N/A N/A 0 0 110 0 2013-09-25 $33.40 $0.00 10.8% 3.1% 9.3% 6.5% 0.0% 3.2% -0.2% 20.0K -63.8K -451 0.00 56.81 N/A N/A 0 0 110 0 2013-09-26 $33.52 $0.00 6.6% 1.9% 9.3% 1.1% 0.0% 2.5% 2.9% 20.6K -74.0K -512 0.00 56.29 N/A N/A 0 0 110 0 2013-09-27 $33.38 $0.00 11.3% 3.2% 9.5% 7.2% 0.0% 4.0% -0.1% 19.3K -65.9K -475 0.00 61.12 N/A N/A 0 0 110 0 2013-09-30 $33.23 $0.00 12.4% 3.6% 9.6% 8.7% 0.0% 3.5% -0.7% 18.1K -63.4K -437 0.00 71.34 N/A N/A 0 0 110 0
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