USMV Options History — October 2013

In October 2013, USMV traded between $32.78 and $35.10. ATM implied volatility averaged 10.1%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 1.4% (HV 20d: 11.5%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.01.

Notable Days

2013-10-30: Highest Volume — 73 contracts
2013-10-15: Largest IV spike — 33.9% change
2013-10-15: Highest IV Rank — 10.4%
2013-10-08: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.96	$32.78	$35.10	$33.46	$34.80
Max Pain	$31.00	$31.00	$31.00	$31.00	$31.00
ATM IV	10.1%	6.6%	13.8%	9.3%	7.9%
Expected Move	2.9%	1.9%	4.0%	2.7%	2.3%
HV 20d	11.5%	9.8%	12.8%	9.8%	11.3%
HV 60d	9.5%	8.2%	10.3%	8.6%	10.3%
IV Rank	5.7%	1.2%	10.4%	4.6%	2.8%
IV Percentile	51.4%	6.0%	93.0%	40.2%	18.8%
Term Structure	1.1%	-3.0%	10.0%	4.6%	10.0%
VWIV	9.9%	7.6%	12.2%	12.2%	7.6%
Skew 25d	3.7%	-1.3%	9.7%	5.5%	0.5%
Skew 10d	5.6%	-0.7%	25.1%	11.9%	1.2%
Call IV 25d	7.9%	5.9%	10.2%	7.9%	7.4%
Put IV 25d	11.6%	6.7%	17.1%	13.4%	7.8%
Bid-Ask Spread %	67.19	21.97	155.09	73.25	130.30
Gamma HHI	0.84	0.69	0.89	0.86	0.85
Net GEX	28.8K	12.9K	45.4K	20.0K	33.8K
Net DEX	-116.6K	-220.2K	-37.6K	-70.3K	-173.3K
Net VEX	-490	-621	-301	-460	-570
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.04	0.00	0.04
Total Volume	5.913	0	73	0	0
Total OI	114.957	110	137	110	137

Daily Data (23 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
2013-10-01	$33.46	$0.00	9.3%	2.7%	9.8%	4.6%	0.0%	5.5%	4.6%	20.0K	-70.3K	-460	0.00	73.25	N/A	N/A	0	0	110	0
2013-10-02	$33.34	$0.00	11.8%	3.4%	9.9%	7.9%	0.0%	3.0%	0.4%	18.4K	-59.5K	-412	0.00	61.93	N/A	N/A	0	0	110	0
2013-10-03	$33.07	$0.00	12.2%	3.5%	10.4%	8.3%	0.0%	2.5%	0.5%	15.8K	-48.9K	-361	0.00	48.91	N/A	N/A	0	0	110	0
2013-10-04	$33.22	$0.00	12.2%	3.4%	10.5%	8.3%	0.0%	7.2%	0.1%	17.4K	-51.4K	-382	0.00	68.23	N/A	N/A	1	0	110	0
2013-10-07	$33.01	$0.00	13.6%	3.9%	10.4%	10.2%	0.0%	7.6%	0.1%	15.1K	-45.0K	-345	0.00	76.24	N/A	N/A	0	0	111	0
2013-10-08	$32.78	$0.00	13.2%	4.0%	10.4%	9.7%	0.0%	7.8%	-0.2%	14.0K	-45.6K	-320	0.00	66.37	N/A	N/A	0	0	111	0
2013-10-09	$32.80	$0.00	13.3%	3.9%	10.2%	9.8%	0.0%	8.0%	0.3%	12.9K	-37.6K	-301	0.00	69.94	N/A	N/A	0	0	111	0
2013-10-10	$33.37	$0.00	12.9%	3.7%	12.0%	9.3%	0.0%	7.4%	-0.6%	19.7K	-61.3K	-419	0.00	64.01	N/A	N/A	0	0	111	0
2013-10-11	$33.57	$0.00	8.7%	2.5%	12.1%	3.8%	0.0%	3.7%	0.8%	20.9K	-61.4K	-417	0.00	62.17	N/A	N/A	3	0	111	0
2013-10-14	$33.65	$0.00	10.3%	3.0%	12.0%	5.9%	12.2%	3.1%	0.2%	24.4K	-81.7K	-438	0.00	60.79	N/A	N/A	6	0	114	0
2013-10-15	$33.40	$31.00	13.8%	4.0%	12.3%	10.4%	0.0%	2.2%	-0.5%	22.8K	-81.7K	-423	0.00	70.62	N/A	N/A	0	0	117	0
2013-10-16	$33.96	$31.00	10.1%	2.9%	12.3%	5.6%	0.0%	4.1%	0.1%	28.4K	-103.8K	-487	0.00	54.60	N/A	N/A	0	0	117	0
2013-10-17	$34.31	$31.00	10.4%	3.0%	12.8%	6.0%	0.0%	3.3%	0.3%	34.2K	-140.7K	-561	0.00	68.95	N/A	N/A	2	0	117	0
2013-10-18	$34.39	$31.00	8.5%	2.4%	12.6%	3.5%	0.0%	4.8%	1.8%	37.5K	-146.7K	-584	0.00	61.88	N/A	N/A	0	0	119	0
2013-10-21	$34.37	$31.00	8.0%	2.3%	12.5%	3.0%	0.0%	6.5%	3.2%	38.3K	-137.6K	-558	0.00	53.02	N/A	N/A	0	0	116	0
2013-10-22	$34.70	$31.00	8.6%	2.5%	12.1%	3.7%	0.0%	-1.1%	0.5%	40.0K	-181.3K	-621	0.00	36.82	N/A	N/A	0	0	116	0
2013-10-23	$34.64	$31.00	8.2%	2.3%	12.1%	3.1%	0.0%	-0.8%	0.6%	39.8K	-172.6K	-613	0.00	145.57	N/A	N/A	0	0	116	0
2013-10-24	$34.67	$31.00	6.6%	1.9%	12.0%	1.2%	0.0%	1.3%	3.1%	41.1K	-174.5K	-607	0.00	44.46	N/A	N/A	0	0	116	0
2013-10-25	$34.80	$31.00	7.9%	2.3%	11.9%	2.8%	7.6%	-1.3%	1.4%	40.7K	-191.0K	-613	0.00	21.97	N/A	N/A	0	1	116	0
2013-10-28	$34.89	$31.00	8.5%	2.4%	11.6%	3.6%	0.0%	-0.6%	0.8%	41.9K	-203.7K	-606	0.00	26.03	N/A	N/A	0	0	116	1
2013-10-29	$35.10	$31.00	8.3%	2.4%	11.6%	3.3%	0.0%	9.7%	0.6%	45.4K	-220.2K	-594	0.00	24.16	N/A	N/A	50	0	116	1
2013-10-30	$34.86	$31.00	8.9%	2.5%	11.8%	4.1%	0.0%	-0.1%	-3.0%	40.7K	-193.3K	-572	0.04	155.09	N/A	N/A	70	3	113	1
2013-10-31	$34.80	$31.00	7.9%	2.3%	11.3%	2.8%	0.0%	0.5%	10.0%	33.8K	-173.3K	-570	0.00	130.30	N/A	N/A	0	0	133	4