USMV Options History — August 2014

In August 2014, USMV traded between $36.43 and $38.15. ATM implied volatility averaged 8.5%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.1% (HV 20d: 9.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2014-08-19: Highest Volume — 40 contracts
2014-08-07: Largest IV spike — 49.5% change
2014-08-05: Highest IV Rank — 7.0%
2014-08-05: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.41	$36.43	$38.15	$36.69	$38.15
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	8.5%	6.2%	11.8%	9.6%	7.0%
Expected Move	3.3%	2.7%	3.8%	3.4%	3.1%
HV 20d	9.6%	7.3%	10.6%	8.6%	7.3%
HV 60d	7.2%	6.7%	7.4%	6.7%	7.2%
IV Rank	3.9%	1.6%	7.0%	5.0%	2.3%
IV Percentile	31.7%	4.8%	71.4%	50.0%	9.5%
Term Structure	0.7%	-0.2%	2.1%	0.8%	2.1%
VWIV	21.2%	21.2%	21.2%	21.2%	21.2%
Skew 25d	4.8%	0.5%	12.2%	3.8%	11.2%
Skew 10d	6.6%	1.0%	19.8%	3.5%	19.8%
Call IV 25d	7.1%	5.7%	9.4%	9.4%	6.6%
Put IV 25d	11.9%	7.2%	19.1%	13.2%	17.7%
Bid-Ask Spread %	94.02	83.19	101.40	91.69	98.42
Gamma HHI	0.39	0.29	0.56	0.29	0.56
Net GEX	37.9K	21.9K	65.0K	23.7K	65.0K
Net DEX	-206.8K	-310.7K	-113.6K	-132.5K	-310.7K
Net VEX	-1.1K	-1.2K	-1.1K	-1.1K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	1.00	1.00	0.00
Total Volume	2.667	0	40	0	10
Total OI	170.476	152	197	152	197

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
2014-08-01	$36.69	$35.00	9.6%	3.4%	8.6%	5.0%	0.0%	3.8%	0.8%	23.7K	-132.5K	-1.1K	0.00	91.69	N/A	N/A	0	0	132	20
2014-08-04	$36.84	$35.00	8.0%	3.4%	8.8%	3.3%	0.0%	5.2%	0.9%	25.1K	-135.0K	-1.1K	0.00	88.17	N/A	N/A	0	0	132	20
2014-08-05	$36.48	$35.00	11.8%	3.8%	9.3%	7.0%	0.0%	4.2%	0.1%	22.9K	-119.3K	-1.1K	0.00	90.00	N/A	N/A	0	0	132	20
2014-08-06	$36.57	$35.00	7.5%	3.4%	9.3%	2.9%	0.0%	5.3%	1.6%	23.2K	-119.4K	-1.1K	0.00	93.00	N/A	N/A	0	0	132	20
2014-08-07	$36.43	$35.00	11.3%	3.8%	9.3%	6.6%	0.0%	4.8%	-0.1%	21.9K	-113.6K	-1.1K	0.00	87.02	N/A	N/A	0	3	132	20
2014-08-08	$36.86	$35.00	9.9%	3.5%	10.4%	5.2%	0.0%	5.8%	-0.2%	24.8K	-134.7K	-1.1K	0.00	83.19	N/A	N/A	0	0	132	23
2014-08-11	$37.03	$35.00	10.8%	3.5%	10.5%	6.1%	0.0%	5.6%	0.4%	26.3K	-156.6K	-1.1K	0.00	89.82	N/A	N/A	0	0	132	23
2014-08-12	$37.01	$35.00	10.3%	3.5%	10.5%	5.6%	0.0%	5.0%	0.9%	26.3K	-151.3K	-1.1K	0.00	89.49	N/A	N/A	0	0	132	23
2014-08-13	$37.21	$35.00	8.7%	3.4%	10.6%	4.1%	0.0%	4.9%	1.5%	28.7K	-166.6K	-1.1K	0.00	90.05	N/A	N/A	0	0	132	23
2014-08-14	$37.43	$35.00	9.3%	3.4%	10.3%	4.7%	0.0%	7.8%	1.4%	31.7K	-185.2K	-1.1K	0.00	93.53	N/A	N/A	0	0	132	23
2014-08-15	$37.41	$35.00	10.2%	3.4%	9.7%	5.5%	0.0%	5.1%	0.8%	29.6K	-189.5K	-1.1K	0.00	90.79	N/A	N/A	0	2	132	23
2014-08-18	$37.66	$35.00	6.2%	2.9%	9.9%	1.6%	0.0%	4.0%	0.5%	31.3K	-212.7K	-1.1K	0.00	99.42	N/A	N/A	0	0	132	25
2014-08-19	$37.87	$35.00	6.3%	2.7%	10.1%	1.7%	0.0%	11.6%	0.5%	42.6K	-224.0K	-1.1K	1.00	95.84	N/A	N/A	20	20	132	25
2014-08-20	$37.91	$35.00	7.4%	3.0%	10.1%	2.7%	0.0%	0.5%	-0.0%	51.1K	-267.0K	-1.2K	0.00	97.31	N/A	N/A	0	0	152	45
2014-08-21	$38.03	$35.00	7.4%	3.1%	10.1%	2.7%	0.0%	0.8%	0.6%	52.7K	-287.9K	-1.2K	0.00	99.75	N/A	N/A	0	0	152	45
2014-08-22	$37.90	$35.00	7.6%	3.0%	10.1%	3.0%	0.0%	0.5%	0.2%	50.8K	-268.8K	-1.2K	0.00	99.11	N/A	N/A	0	0	152	45
2014-08-25	$38.04	$35.00	7.4%	3.0%	10.1%	2.7%	0.0%	1.1%	0.6%	54.3K	-292.6K	-1.2K	0.00	101.40	N/A	N/A	0	0	152	45
2014-08-26	$38.02	$35.00	7.5%	3.1%	10.0%	2.9%	0.0%	1.1%	0.3%	53.3K	-292.2K	-1.1K	0.00	98.63	N/A	N/A	0	0	152	45
2014-08-27	$38.02	$35.00	7.7%	3.1%	10.0%	3.0%	0.0%	0.7%	0.7%	53.0K	-291.1K	-1.1K	0.00	99.13	N/A	N/A	1	0	152	45
2014-08-28	$38.06	$35.00	7.4%	3.1%	7.3%	2.7%	0.0%	12.2%	1.0%	58.4K	-291.8K	-1.1K	0.00	98.64	N/A	N/A	0	0	152	45
2014-08-29	$38.15	$35.00	7.0%	3.1%	7.3%	2.3%	21.2%	11.2%	2.1%	65.0K	-310.7K	-1.1K	0.00	98.42	N/A	N/A	0	10	152	45