USMV Options History — December 2013 In December 2013, USMV traded between $34.52 and $35.50. ATM implied volatility averaged 9.2%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.9% (HV 20d: 8.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-12-18 : Highest Volume — 3 contracts2013-12-23 : Largest IV spike — 20.9% change2013-12-09 : Highest IV Rank — 7.2%2013-12-31 : Largest Expected Move — 3.0%Monthly Statistics Metric Avg Min Max Open Close Price $35.03 $34.52 $35.50 $35.13 $35.50 Max Pain $34.00 $34.00 $34.00 $34.00 $34.00 ATM IV 9.2% 7.1% 11.3% 9.6% 10.4% Expected Move 2.6% 2.0% 3.0% 2.8% 3.0% HV 20d 8.3% 7.0% 9.7% 7.1% 9.6% HV 60d 9.7% 9.5% 10.1% 9.7% 9.5% IV Rank 4.5% 1.8% 7.2% 5.1% 6.1% IV Percentile 41.6% 10.1% 76.7% 48.6% 68.2% Term Structure 1.1% -0.5% 4.4% 0.4% 0.9% VWIV 9.6% 9.6% 9.6% 9.6% 9.6% Skew 25d 3.9% 0.1% 6.7% 1.8% 4.6% Skew 10d 5.0% -0.9% 10.6% 2.5% 9.3% Call IV 25d 7.5% 5.7% 9.8% 7.2% 7.0% Put IV 25d 11.5% 8.4% 14.3% 9.0% 11.6% Bid-Ask Spread % 68.30 17.85 159.84 56.68 33.30 Gamma HHI 0.76 0.46 0.94 0.88 0.46 Net GEX 80.1K 10.6K 223.7K 86.9K 11.1K Net DEX -266.0K -438.8K -129.3K -382.4K -146.2K Net VEX -695 -956 -477 -956 -477 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 0.333 0 3 2 0 Total OI 158.952 63 198 195 64
Daily Data (21 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 2013-12-02 $35.13 $34.00 9.6% 2.8% 7.1% 5.1% 9.6% 1.8% 0.4% 86.9K -382.4K -956 0.00 56.68 N/A N/A 0 2 192 3 2013-12-03 $35.04 $34.00 9.6% 2.8% 7.1% 5.0% 0.0% 0.1% 0.1% 90.9K -348.2K -947 0.00 17.85 N/A N/A 0 0 192 5 2013-12-04 $34.93 $34.00 9.8% 2.8% 7.2% 5.3% 0.0% 3.8% 0.5% 89.9K -318.2K -937 0.00 63.38 N/A N/A 0 0 192 5 2013-12-05 $34.79 $34.00 9.9% 2.8% 7.0% 5.3% 0.0% 0.4% -0.5% 88.0K -291.4K -919 0.00 79.09 N/A N/A 0 0 192 5 2013-12-06 $35.23 $0.00 10.6% 2.8% 7.4% 6.2% 0.0% 4.3% 1.7% 91.3K -399.7K -888 0.00 57.84 N/A N/A 0 0 192 5 2013-12-09 $35.19 $0.00 11.3% 2.9% 7.2% 7.2% 0.0% 5.7% 0.8% 89.0K -402.2K -855 0.00 36.61 N/A N/A 0 0 192 5 2013-12-10 $35.03 $0.00 10.2% 2.9% 7.3% 5.8% 0.0% 4.9% 1.0% 104.0K -361.4K -849 0.00 48.69 N/A N/A 0 0 192 5 2013-12-11 $34.72 $0.00 9.5% 2.5% 8.0% 4.9% 0.0% 4.6% 0.9% 102.7K -235.8K -786 0.00 136.48 N/A N/A 0 0 192 5 2013-12-12 $34.52 $0.00 8.4% 2.4% 7.7% 3.4% 0.0% 4.5% 0.9% 81.0K -200.7K -741 0.00 48.34 N/A N/A 0 0 192 5 2013-12-13 $34.54 $0.00 8.2% 2.4% 7.1% 3.2% 0.0% 5.5% 2.1% 84.0K -200.9K -724 0.00 113.11 N/A N/A 1 0 192 5 2013-12-16 $34.65 $0.00 8.8% 2.5% 7.2% 4.0% 0.0% 5.0% 1.0% 110.1K -197.0K -663 0.00 106.85 N/A N/A 0 0 193 5 2013-12-17 $34.52 $0.00 8.9% 2.6% 7.2% 4.1% 0.0% 3.8% 1.0% 83.0K -152.8K -591 0.00 41.68 N/A N/A 0 0 193 5 2013-12-18 $35.12 $0.00 8.1% 2.3% 9.7% 3.1% 0.0% 3.4% 1.9% 173.7K -411.2K -641 0.00 38.92 N/A N/A 3 0 193 5 2013-12-19 $35.08 $0.00 7.8% 2.2% 9.6% 2.7% 0.0% 3.5% 2.4% 223.7K -413.6K -597 0.00 53.97 N/A N/A 0 0 193 5 2013-12-20 $35.22 $0.00 7.1% 2.0% 9.6% 1.8% 0.0% 6.7% 4.4% 115.8K -438.8K -565 0.00 159.84 N/A N/A 0 0 193 5 2013-12-23 $35.10 $0.00 8.6% 2.5% 9.6% 3.7% 0.0% 4.2% 0.9% 11.5K -129.3K -503 0.00 143.19 N/A N/A 0 0 63 0 2013-12-24 $35.20 $0.00 8.3% 2.4% 9.7% 3.3% 0.0% 2.5% 0.8% 11.1K -133.5K -499 0.00 32.18 N/A N/A 0 0 63 0 2013-12-26 $35.31 $0.00 8.6% 2.5% 9.7% 3.6% 0.0% 5.6% 1.1% 11.5K -138.2K -485 0.00 21.25 N/A N/A 0 0 63 0 2013-12-27 $35.33 $0.00 9.4% 2.7% 9.7% 4.7% 0.0% 2.4% 0.4% 10.6K -138.8K -488 0.00 125.17 N/A N/A 1 0 63 0 2013-12-30 $35.44 $0.00 9.9% 2.8% 9.7% 5.3% 0.0% 5.3% 0.9% 11.2K -144.7K -482 0.00 19.82 N/A N/A 0 0 64 0 2013-12-31 $35.50 $0.00 10.4% 3.0% 9.6% 6.1% 0.0% 4.6% 0.9% 11.1K -146.2K -477 0.00 33.30 N/A N/A 0 0 64 0
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