USMV Options History — March 2014

In March 2014, USMV traded between $35.61 and $36.24. ATM implied volatility averaged 40.3%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 32.1% (HV 20d: 8.2%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2014-03-07: Highest Volume — 4 contracts
2014-03-06: Largest IV spike — 703.9% change
2014-03-06: Highest IV Rank — 100.0%
2014-03-06: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.95	$35.61	$36.24	$35.68	$36.05
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	40.3%	8.8%	83.5%	9.0%	77.5%
Expected Move	11.6%	2.5%	23.9%	2.6%	22.2%
HV 20d	8.2%	7.0%	11.5%	11.5%	8.4%
HV 60d	10.3%	9.9%	10.9%	10.6%	10.0%
IV Rank	44.5%	4.0%	100.0%	4.3%	92.4%
IV Percentile	83.7%	33.6%	100.0%	39.4%	99.2%
Term Structure	-10.5%	-39.1%	31.9%	-1.1%	-28.3%
Skew 25d	18.0%	-18.6%	80.6%	3.7%	80.6%
Skew 10d	5.5%	-56.6%	72.2%	-9.5%	4.8%
Call IV 25d	35.6%	7.6%	102.1%	9.7%	26.8%
Put IV 25d	53.6%	9.9%	107.4%	13.4%	107.4%
Bid-Ask Spread %	137.00	39.98	179.94	124.31	148.04
Gamma HHI	0.29	0.22	0.62	0.28	0.27
Net GEX	5.9K	763	21.5K	5.3K	4.1K
Net DEX	-421.6K	-574.6K	-295.5K	-439.7K	-344.9K
Net VEX	-1.2K	-1.5K	-496	-1.3K	-1.3K
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	0.381	0	4	0	0
Total OI	258.905	234	270	265	236

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2014-03-03	$35.68	$33.00	9.0%	2.6%	11.5%	4.3%	0.0%	3.7%	-1.1%	5.3K	-439.7K	-1.3K	124.31	N/A	N/A	0	190	75
2014-03-04	$36.17	$33.00	11.5%	3.3%	8.4%	7.5%	0.0%	2.8%	-0.6%	763	-508.5K	-896	39.98	N/A	N/A	1	190	75
2014-03-05	$36.09	$33.00	10.4%	3.0%	8.6%	6.0%	0.0%	1.4%	-0.2%	915	-506.8K	-919	40.69	N/A	N/A	0	191	75
2014-03-06	$36.07	$33.00	83.5%	23.9%	8.5%	100.0%	0.0%	1.8%	-31.8%	6.0K	-404.1K	-1.5K	177.20	N/A	N/A	0	191	75
2014-03-07	$36.16	$0.00	49.1%	15.2%	8.3%	55.8%	0.0%	2.1%	-39.1%	21.5K	-574.6K	-496	113.47	N/A	N/A	4	191	75
2014-03-10	$36.13	$0.00	9.8%	2.6%	7.6%	5.2%	0.0%	1.6%	31.9%	3.6K	-518.7K	-916	124.66	N/A	N/A	0	195	75
2014-03-11	$36.09	$0.00	9.8%	2.9%	7.7%	5.2%	0.0%	4.1%	1.9%	4.2K	-518.7K	-867	65.60	N/A	N/A	0	195	75
2014-03-12	$36.12	$0.00	10.2%	3.0%	7.0%	5.8%	0.0%	4.5%	21.7%	7.4K	-459.6K	-1.4K	64.84	N/A	N/A	0	195	75
2014-03-13	$35.82	$0.00	8.8%	2.5%	7.8%	4.0%	0.0%	4.7%	20.9%	7.6K	-401.2K	-1.5K	142.58	N/A	N/A	0	195	75
2014-03-14	$35.84	$0.00	21.1%	6.0%	7.5%	19.7%	0.0%	6.9%	0.4%	7.4K	-461.1K	-1.2K	133.14	N/A	N/A	1	195	75
2014-03-17	$36.08	$0.00	58.2%	16.7%	7.6%	67.5%	0.0%	5.7%	-24.4%	6.0K	-407.7K	-1.4K	178.88	N/A	N/A	0	195	75
2014-03-18	$36.24	$0.00	59.0%	16.9%	7.7%	68.5%	0.0%	5.7%	-24.6%	5.9K	-417.2K	-1.4K	179.15	N/A	N/A	0	195	75
2014-03-19	$35.96	$0.00	60.1%	17.2%	8.2%	70.0%	0.0%	6.0%	-26.2%	6.0K	-401.8K	-1.4K	177.50	N/A	N/A	0	195	75
2014-03-20	$36.03	$0.00	62.3%	17.9%	7.9%	72.8%	0.0%	6.0%	-24.6%	7.6K	-418.3K	-1.4K	162.98	N/A	N/A	0	195	75
2014-03-21	$35.93	$0.00	20.9%	6.0%	8.0%	19.5%	0.0%	-18.6%	2.3%	9.0K	-455.3K	-1.2K	173.87	N/A	N/A	0	195	75
2014-03-24	$35.78	$0.00	62.4%	17.9%	8.1%	72.9%	0.0%	65.1%	-22.0%	5.4K	-295.5K	-1.4K	156.26	N/A	N/A	0	163	72
2014-03-25	$35.72	$0.00	63.6%	18.2%	8.2%	74.5%	0.0%	67.8%	-19.0%	4.1K	-309.4K	-1.4K	154.01	N/A	N/A	0	162	72
2014-03-26	$35.61	$0.00	23.6%	6.8%	8.2%	23.0%	0.0%	-10.1%	-12.8%	1.9K	-374.7K	-1.0K	176.30	N/A	N/A	0	162	72
2014-03-27	$35.62	$0.00	65.7%	18.8%	8.1%	77.2%	0.0%	63.8%	-22.5%	4.1K	-305.5K	-1.4K	179.94	N/A	N/A	2	162	72
2014-03-28	$35.71	$0.00	69.3%	19.9%	8.1%	81.8%	0.0%	72.1%	-23.3%	4.2K	-329.8K	-1.3K	163.69	N/A	N/A	0	164	72
2014-03-31	$36.05	$0.00	77.5%	22.2%	8.4%	92.4%	0.0%	80.6%	-28.3%	4.1K	-344.9K	-1.3K	148.04	N/A	N/A	0	164	72