USMV Options History — May 2014

In May 2014, USMV traded between $36.25 and $36.95. ATM implied volatility averaged 24.8%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 17.4% (HV 20d: 7.4%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2014-05-21: Highest Volume — 100 contracts
2014-05-14: Largest IV spike — 140.6% change
2014-05-05: Highest IV Rank — 88.6%
2014-05-02: Largest Expected Move — 24.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.56	$36.25	$36.95	$36.52	$36.95
Max Pain	$31.26	$30.00	$34.00	$30.00	$34.00
ATM IV	24.8%	5.9%	94.3%	81.7%	7.4%
Expected Move	6.1%	1.7%	24.6%	23.4%	2.1%
HV 20d	7.4%	6.1%	9.8%	9.7%	6.7%
HV 60d	8.2%	7.7%	8.6%	8.6%	7.7%
IV Rank	18.9%	0.0%	88.6%	76.0%	1.6%
IV Percentile	55.6%	0.0%	99.2%	98.0%	6.0%
Term Structure	-3.7%	-35.8%	3.3%	-35.8%	0.7%
Skew 25d	1.5%	-15.7%	9.9%	9.9%	0.1%
Skew 10d	5.7%	-10.0%	24.6%	24.6%	0.2%
Call IV 25d	24.3%	6.2%	113.7%	109.2%	7.3%
Put IV 25d	25.9%	6.7%	123.3%	119.1%	7.4%
Bid-Ask Spread %	117.62	37.84	181.27	181.27	37.84
Gamma HHI	0.26	0.21	0.32	0.27	0.28
Net GEX	7.0K	-557	13.0K	3.1K	11.5K
Net DEX	-426.8K	-530.3K	-307.8K	-311.1K	-364.8K
Net VEX	-698	-1.2K	-313	-1.1K	-545
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	0.00
Total Volume	7.381	0	100	0	2
Total OI	244	221	271	226	222

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
2014-05-01	$36.52	$0.00	81.7%	23.4%	9.7%	76.0%	0.0%	9.9%	-35.8%	3.1K	-311.1K	-1.1K	0.00	181.27	N/A	N/A	0	0	151	75
2014-05-02	$36.42	$0.00	85.6%	24.6%	9.8%	80.0%	0.0%	9.7%	-32.9%	3.1K	-307.8K	-1.0K	0.00	179.64	N/A	N/A	10	0	151	75
2014-05-05	$36.52	$30.00	94.3%	13.6%	9.3%	88.6%	0.0%	5.8%	-21.4%	5.0K	-342.2K	-1.0K	0.00	167.78	N/A	N/A	0	0	161	75
2014-05-06	$36.25	$30.00	11.3%	3.3%	9.3%	5.3%	0.0%	2.3%	2.2%	897	-457.6K	-418	0.00	133.28	N/A	N/A	0	0	161	75
2014-05-07	$36.47	$30.00	8.9%	3.3%	9.4%	2.9%	0.0%	4.2%	0.8%	4.5K	-474.4K	-313	0.00	136.06	N/A	N/A	16	0	161	75
2014-05-08	$36.45	$30.00	11.4%	2.8%	9.1%	5.4%	0.0%	2.9%	2.9%	5.7K	-501.8K	-537	1.00	141.65	N/A	N/A	1	1	177	75
2014-05-09	$36.50	$30.00	11.9%	3.0%	7.2%	5.9%	0.0%	2.3%	1.5%	10.0K	-508.5K	-477	0.00	140.00	N/A	N/A	10	0	178	76
2014-05-12	$36.68	$30.00	13.3%	2.8%	6.5%	7.3%	0.0%	2.2%	0.6%	12.5K	-524.9K	-559	0.00	138.25	N/A	N/A	0	0	188	76
2014-05-13	$36.73	$30.00	14.2%	2.5%	6.2%	8.2%	0.0%	2.4%	1.1%	7.0K	-518.3K	-630	0.00	135.72	N/A	N/A	1	0	188	76
2014-05-14	$36.64	$30.00	34.1%	5.6%	6.1%	28.2%	0.0%	-5.7%	0.4%	2.4K	-465.1K	-927	0.00	161.55	N/A	N/A	0	0	188	76
2014-05-15	$36.34	$30.00	26.8%	7.7%	6.1%	20.9%	0.0%	-15.7%	-1.8%	1.8K	-457.0K	-879	0.00	163.02	N/A	N/A	0	0	186	76
2014-05-16	$36.51	$30.00	39.8%	11.4%	6.3%	33.9%	0.0%	-5.0%	-5.9%	5.0K	-406.8K	-1.2K	0.00	167.49	N/A	N/A	10	0	186	76
2014-05-19	$36.51	$30.00	19.0%	5.5%	6.3%	13.1%	0.0%	1.8%	3.3%	-557	-489.3K	-894	0.00	145.41	N/A	N/A	0	0	195	76
2014-05-20	$36.29	$30.00	16.3%	4.7%	6.6%	10.3%	0.0%	3.4%	-1.1%	2.1K	-498.3K	-806	0.00	141.18	N/A	N/A	0	0	195	76
2014-05-21	$36.49	$30.00	10.2%	2.9%	6.9%	4.2%	0.0%	2.3%	0.8%	13.0K	-530.3K	-581	0.00	52.16	N/A	N/A	100	0	195	76
2014-05-22	$36.56	$34.00	5.9%	1.7%	6.8%	0.0%	0.0%	3.8%	2.3%	11.2K	-355.9K	-593	0.00	58.48	N/A	N/A	0	0	145	76
2014-05-23	$36.64	$34.00	8.1%	2.3%	6.8%	2.2%	0.0%	1.7%	-0.7%	12.5K	-357.0K	-576	0.00	43.38	N/A	N/A	0	0	145	76
2014-05-27	$36.72	$34.00	6.3%	1.8%	6.6%	0.4%	0.0%	3.0%	1.9%	12.5K	-365.3K	-552	0.00	49.50	N/A	N/A	0	0	145	76
2014-05-28	$36.65	$34.00	6.0%	1.7%	6.6%	0.2%	0.0%	0.5%	1.8%	11.8K	-363.9K	-563	0.00	54.63	N/A	N/A	0	2	145	76
2014-05-29	$36.82	$34.00	7.4%	2.1%	6.6%	1.6%	0.0%	0.3%	1.3%	11.6K	-362.1K	-561	0.00	41.72	N/A	N/A	2	0	145	78
2014-05-30	$36.95	$34.00	7.4%	2.1%	6.7%	1.6%	0.0%	0.1%	0.7%	11.5K	-364.8K	-545	0.00	37.84	N/A	N/A	0	2	144	78