USMV Options History — April 2014 In April 2014, USMV traded between $35.26 and $36.53. ATM implied volatility averaged 70.1%, placing in the 68.6% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 61.1% (HV 20d: 9.1%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-04-24 : Highest Volume — 10 contracts2014-04-07 : Largest IV spike — 200.4% change2014-04-07 : Highest IV Rank — 100.0%2014-04-03 : Largest Expected Move — 23.9%Monthly Statistics Metric Avg Min Max Open Close Price $36.01 $35.26 $36.53 $36.08 $36.53 ATM IV 70.1% 32.2% 105.6% 78.7% 79.2% Expected Move 18.6% 7.7% 23.9% 22.6% 22.7% HV 20d 9.1% 6.8% 10.2% 6.8% 9.7% HV 60d 10.2% 8.6% 10.9% 10.0% 8.6% IV Rank 68.6% 34.1% 100.0% 93.8% 73.5% IV Percentile 95.8% 91.3% 100.0% 99.2% 97.6% Term Structure -21.2% -35.5% 2.7% -27.6% -35.5% Skew 25d 5.1% -22.7% 9.6% 7.6% 9.6% Skew 10d 13.8% 3.5% 24.0% 17.5% 24.0% Call IV 25d 85.3% 9.4% 111.8% 106.1% 105.9% Put IV 25d 90.5% 11.1% 120.4% 113.7% 115.5% Bid-Ask Spread % 174.25 159.58 181.38 170.51 181.38 Gamma HHI 0.30 0.27 0.34 0.28 0.28 Net GEX 3.1K 1.3K 4.8K 4.0K 2.8K Net DEX -308.4K -455.1K -253.6K -335.3K -324.0K Net VEX -1.1K -1.3K -698 -1.3K -1.0K 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 1.095 0 10 0 0 Total OI 223.81 203 236 236 226
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 2014-04-01 $36.08 $0.00 78.7% 22.6% 6.8% 93.8% 0.0% 7.6% -27.6% 4.0K -335.3K -1.3K 0.00 170.51 N/A N/A 0 0 164 72 2014-04-02 $36.17 $0.00 80.8% 23.2% 6.8% 96.6% 0.0% 8.0% -29.8% 4.1K -337.3K -1.3K 0.00 171.68 N/A N/A 0 0 164 72 2014-04-03 $36.18 $0.00 83.3% 23.9% 6.8% 99.8% 0.0% 8.6% -30.5% 4.1K -338.9K -1.3K 0.00 168.03 N/A N/A 0 0 164 72 2014-04-04 $35.88 $0.00 32.2% 7.7% 7.4% 34.1% 0.0% 1.8% 2.7% 4.6K -326.5K -1.1K 0.00 173.27 N/A N/A 0 0 164 72 2014-04-07 $35.63 $0.00 96.8% 15.2% 7.7% 100.0% 0.0% 5.3% -14.8% 4.1K -322.4K -1.3K 0.00 159.58 N/A N/A 0 0 164 72 2014-04-08 $35.78 $0.00 68.0% 15.9% 7.9% 68.4% 0.0% -22.7% -20.5% 2.9K -455.1K -698 0.00 168.85 N/A N/A 0 0 164 72 2014-04-09 $36.04 $0.00 105.6% 16.1% 8.4% 100.0% 0.0% 5.3% -17.9% 4.0K -363.3K -1.1K 0.00 169.85 N/A N/A 0 0 164 72 2014-04-10 $35.52 $0.00 55.2% 15.8% 9.4% 49.6% 0.0% 5.5% -13.6% 4.4K -308.4K -1.3K 0.00 165.93 N/A N/A 0 0 164 72 2014-04-11 $35.26 $0.00 58.8% 16.8% 9.7% 53.1% 0.0% 5.6% -17.3% 4.4K -303.9K -1.2K 0.00 174.78 N/A N/A 0 0 164 72 2014-04-14 $35.52 $0.00 58.5% 16.8% 9.8% 52.9% 0.0% 5.1% -19.1% 4.8K -308.6K -1.2K 0.00 167.83 N/A N/A 0 0 164 72 2014-04-15 $35.73 $0.00 60.0% 17.2% 9.9% 54.3% 0.0% 5.9% -14.5% 4.5K -311.4K -1.2K 0.00 175.30 N/A N/A 0 0 164 72 2014-04-16 $36.08 $0.00 61.4% 17.6% 10.2% 55.7% 0.0% 5.8% -13.9% 2.4K -253.6K -982 0.00 175.79 N/A N/A 0 0 131 72 2014-04-17 $36.10 $0.00 59.7% 17.1% 10.2% 54.0% 0.0% 5.8% -16.9% 1.7K -275.1K -933 0.00 179.89 N/A N/A 0 3 131 72 2014-04-21 $36.21 $0.00 65.3% 18.7% 10.2% 59.6% 0.0% 6.2% -22.2% 2.1K -260.7K -969 0.00 180.10 N/A N/A 0 0 131 75 2014-04-22 $36.29 $0.00 66.5% 19.1% 10.0% 60.8% 0.0% 7.1% -21.0% 1.4K -270.6K -947 0.00 176.74 N/A N/A 0 0 131 75 2014-04-23 $36.23 $0.00 67.9% 19.5% 10.0% 62.3% 0.0% 7.0% -24.0% 1.8K -262.4K -943 0.00 180.79 N/A N/A 0 0 131 75 2014-04-24 $36.17 $0.00 69.5% 19.9% 10.0% 63.7% 0.0% 6.5% -25.3% 1.3K -271.2K -905 0.00 180.73 N/A N/A 10 0 131 75 2014-04-25 $36.09 $0.00 71.1% 20.4% 10.0% 65.4% 0.0% 6.9% -23.4% 2.2K -273.8K -1.0K 0.00 179.07 N/A N/A 0 0 141 75 2014-04-28 $36.29 $0.00 76.3% 21.9% 10.1% 70.6% 0.0% 8.1% -30.3% 2.3K -280.4K -996 0.00 178.38 N/A N/A 0 0 141 75 2014-04-29 $36.38 $0.00 78.2% 22.4% 9.6% 72.5% 0.0% 8.7% -29.5% 2.1K -293.2K -951 0.00 180.68 N/A N/A 10 0 141 75 2014-04-30 $36.53 $0.00 79.2% 22.7% 9.7% 73.5% 0.0% 9.6% -35.5% 2.8K -324.0K -1.0K 0.00 181.38 N/A N/A 0 0 151 75
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