USMV Options History — November 2013

In November 2013, USMV traded between $34.74 and $35.50. ATM implied volatility averaged 11.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.8% (HV 20d: 8.7%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.05.

Notable Days

2013-11-12: Highest Volume — 21 contracts
2013-11-15: Largest IV spike — 464.1% change
2013-11-15: Highest IV Rank — 68.2%
2013-11-15: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.17	$34.74	$35.50	$34.90	$35.26
Max Pain	$33.85	$31.00	$34.00	$31.00	$34.00
ATM IV	11.6%	7.0%	58.4%	7.5%	9.7%
Expected Move	3.5%	2.2%	16.7%	2.2%	2.8%
HV 20d	8.7%	7.0%	11.3%	11.3%	7.0%
HV 60d	10.0%	9.7%	10.5%	10.3%	9.7%
IV Rank	7.5%	1.7%	68.2%	2.3%	5.1%
IV Percentile	43.6%	10.7%	97.6%	13.5%	49.4%
Term Structure	-0.5%	-27.5%	2.0%	2.0%	0.2%
VWIV	23.7%	6.0%	41.3%	6.0%	41.3%
Skew 25d	5.1%	0.8%	42.1%	0.8%	3.0%
Skew 10d	2.5%	1.1%	8.4%	1.3%	2.7%
Call IV 25d	7.4%	5.6%	19.1%	7.1%	6.1%
Put IV 25d	12.5%	7.9%	61.3%	7.9%	9.1%
Bid-Ask Spread %	47.98	18.93	162.92	28.54	18.93
Gamma HHI	0.88	0.82	0.91	0.90	0.87
Net GEX	61.3K	48.4K	81.0K	48.4K	79.1K
Net DEX	-337.0K	-439.5K	-207.1K	-220.9K	-412.3K
Net VEX	-881	-1.1K	-660	-683	-974
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.33	0.00	0.00
Total Volume	3.2	0	21	0	0
Total OI	171.05	137	195	137	195

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
2013-11-01	$34.90	$31.00	7.5%	2.2%	11.3%	2.3%	0.0%	0.8%	2.0%	48.4K	-220.9K	-683	0.00	28.54	N/A	N/A	0	0	133	4
2013-11-04	$34.99	$34.00	7.5%	2.8%	10.8%	2.2%	0.0%	4.9%	0.6%	50.1K	-233.1K	-660	0.00	44.31	N/A	N/A	5	0	133	4
2013-11-05	$34.91	$34.00	8.6%	2.7%	10.3%	3.7%	6.0%	4.4%	1.4%	50.8K	-235.6K	-712	0.00	43.32	N/A	N/A	0	1	138	4
2013-11-06	$35.10	$34.00	8.2%	2.8%	10.3%	3.2%	0.0%	4.2%	1.1%	50.9K	-259.7K	-706	0.00	46.59	N/A	N/A	0	0	138	5
2013-11-07	$34.74	$34.00	7.0%	2.9%	10.0%	1.7%	0.0%	2.3%	1.0%	49.9K	-207.1K	-685	0.00	44.88	N/A	N/A	1	0	138	5
2013-11-08	$34.96	$34.00	7.6%	2.8%	10.1%	2.4%	0.0%	4.3%	0.8%	52.7K	-234.2K	-699	0.00	21.86	N/A	N/A	1	0	139	5
2013-11-11	$34.91	$34.00	9.6%	2.8%	10.1%	5.0%	0.0%	4.0%	1.1%	55.4K	-241.1K	-688	0.00	24.56	N/A	N/A	0	0	140	5
2013-11-12	$34.90	$34.00	7.6%	2.9%	9.6%	2.4%	0.0%	5.3%	1.8%	52.0K	-235.8K	-683	0.00	32.12	N/A	N/A	21	0	140	5
2013-11-13	$35.17	$34.00	9.4%	3.0%	8.2%	4.8%	0.0%	5.7%	1.4%	56.9K	-303.0K	-888	0.00	31.89	N/A	N/A	21	0	161	5
2013-11-14	$35.42	$34.00	10.3%	3.0%	7.8%	6.0%	0.0%	0.9%	1.9%	60.4K	-403.3K	-1.0K	0.00	43.70	N/A	N/A	0	0	182	5
2013-11-15	$35.50	$34.00	58.4%	16.7%	7.8%	68.2%	41.3%	42.1%	-27.5%	54.0K	-427.7K	-995	0.33	162.92	N/A	N/A	3	1	182	5
2013-11-18	$35.39	$34.00	9.8%	2.8%	8.0%	5.3%	0.0%	0.9%	1.3%	61.0K	-417.0K	-977	0.00	35.79	N/A	N/A	10	0	182	3
2013-11-19	$35.32	$34.00	10.4%	3.0%	7.5%	6.0%	0.0%	3.4%	1.0%	63.3K	-413.7K	-1.1K	0.00	39.04	N/A	N/A	0	0	192	3
2013-11-20	$35.17	$34.00	10.3%	2.9%	7.6%	5.9%	0.0%	1.1%	0.0%	69.6K	-374.7K	-1.1K	0.00	40.84	N/A	N/A	0	0	192	3
2013-11-21	$35.29	$34.00	10.2%	2.9%	7.7%	5.8%	0.0%	3.1%	0.3%	68.2K	-403.3K	-1.1K	0.00	28.48	N/A	N/A	0	0	192	3
2013-11-22	$35.42	$34.00	11.0%	3.2%	7.7%	6.8%	0.0%	4.5%	-0.9%	72.1K	-421.7K	-1.0K	0.00	92.61	N/A	N/A	0	0	192	3
2013-11-25	$35.39	$34.00	9.1%	2.6%	7.7%	4.4%	0.0%	2.5%	0.8%	77.2K	-439.5K	-993	0.00	120.30	N/A	N/A	0	0	192	3
2013-11-26	$35.31	$34.00	9.3%	2.7%	7.5%	4.7%	0.0%	2.9%	1.0%	73.9K	-432.5K	-993	0.00	39.92	N/A	N/A	0	0	192	3
2013-11-27	$35.33	$34.00	9.4%	2.7%	7.0%	4.8%	0.0%	2.6%	0.8%	81.0K	-423.5K	-989	0.00	18.99	N/A	N/A	0	0	192	3
2013-11-29	$35.26	$34.00	9.7%	2.8%	7.0%	5.1%	0.0%	3.0%	0.2%	79.1K	-412.3K	-974	0.00	18.93	N/A	N/A	0	0	192	3