USMV Options History — September 2014

In September 2014, USMV traded between $37.53 and $38.36. ATM implied volatility averaged 8.0%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.9% (HV 20d: 6.1%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2014-09-12: Highest Volume — 34 contracts
2014-09-24: Largest IV spike — 25.7% change
2014-09-25: Highest IV Rank — 5.1%
2014-09-30: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.01	$37.53	$38.36	$38.11	$37.68
Max Pain	$37.00	$37.00	$37.00	$37.00	$37.00
ATM IV	8.0%	6.8%	9.8%	8.0%	9.2%
Expected Move	3.2%	3.0%	3.5%	3.2%	3.5%
HV 20d	6.1%	4.8%	7.5%	7.3%	7.5%
HV 60d	7.5%	7.2%	8.0%	7.2%	8.0%
IV Rank	3.3%	2.1%	5.1%	3.4%	4.6%
IV Percentile	27.4%	9.1%	58.3%	26.2%	51.2%
Term Structure	1.2%	-0.3%	2.8%	0.6%	1.1%
Skew 25d	4.0%	1.1%	12.9%	12.9%	3.3%
Skew 10d	6.0%	1.7%	22.9%	22.2%	3.3%
Call IV 25d	7.2%	5.5%	9.7%	7.4%	8.7%
Put IV 25d	11.2%	7.6%	20.3%	20.3%	12.0%
Bid-Ask Spread %	95.24	80.42	106.60	97.10	84.72
Gamma HHI	0.47	0.28	0.67	0.53	0.28
Net GEX	51.7K	18.1K	97.1K	57.5K	18.1K
Net DEX	-236.3K	-316.9K	-171.7K	-268.3K	-178.1K
Net VEX	-936	-1.1K	-759	-1.1K	-859
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	1.13	1.13	0.00
Total Volume	2.238	0	34	0	0
Total OI	174.143	133	207	207	133

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
2014-09-02	$38.11	$37.00	8.0%	3.2%	7.3%	3.4%	0.0%	12.9%	0.6%	57.5K	-268.3K	-1.1K	0.00	97.10	N/A	N/A	0	0	152	55
2014-09-03	$38.17	$37.00	7.9%	3.3%	5.9%	3.2%	0.0%	1.6%	1.3%	55.0K	-288.9K	-1.1K	0.00	97.90	N/A	N/A	0	0	152	55
2014-09-04	$38.14	$37.00	6.8%	3.2%	6.0%	2.1%	0.0%	11.9%	2.0%	67.7K	-274.4K	-1.1K	0.00	95.78	N/A	N/A	0	0	151	55
2014-09-05	$38.36	$37.00	7.2%	3.2%	5.7%	2.5%	0.0%	4.4%	0.5%	80.0K	-316.9K	-1.0K	0.00	98.93	N/A	N/A	0	0	151	55
2014-09-08	$38.27	$37.00	7.2%	3.1%	4.8%	2.5%	0.0%	5.1%	0.9%	67.3K	-299.2K	-1.0K	0.00	92.17	N/A	N/A	0	0	151	55
2014-09-09	$38.05	$37.00	7.5%	3.2%	5.4%	2.9%	0.0%	3.8%	1.3%	70.2K	-259.9K	-1.1K	0.00	92.09	N/A	N/A	0	0	151	55
2014-09-10	$38.06	$37.00	7.4%	3.1%	5.4%	2.7%	0.0%	3.6%	1.6%	77.4K	-256.4K	-1.0K	0.00	101.95	N/A	N/A	0	3	151	55
2014-09-11	$38.11	$37.00	8.5%	3.0%	5.2%	3.8%	0.0%	3.4%	0.9%	97.1K	-265.0K	-985	0.00	102.79	N/A	N/A	0	0	151	55
2014-09-12	$37.79	$37.00	7.9%	3.2%	5.9%	3.2%	0.0%	3.1%	1.5%	66.5K	-208.9K	-1.0K	1.13	93.40	N/A	N/A	16	18	151	55
2014-09-15	$37.85	$37.00	8.2%	3.1%	5.9%	3.5%	0.0%	3.6%	1.3%	58.7K	-191.6K	-953	0.00	98.41	N/A	N/A	0	2	135	39
2014-09-16	$38.11	$37.00	8.9%	3.1%	5.9%	4.2%	0.0%	4.7%	1.2%	57.6K	-240.4K	-904	0.00	96.65	N/A	N/A	0	0	135	39
2014-09-17	$38.11	$37.00	7.6%	3.1%	5.6%	2.9%	0.0%	1.1%	1.5%	61.9K	-242.6K	-885	0.00	104.26	N/A	N/A	0	0	135	39
2014-09-18	$38.22	$37.00	7.8%	3.0%	5.7%	3.1%	0.0%	1.5%	1.5%	66.6K	-287.9K	-759	0.00	106.60	N/A	N/A	0	0	135	39
2014-09-19	$38.25	$37.00	7.8%	3.1%	5.6%	3.2%	0.0%	2.2%	1.5%	60.2K	-276.5K	-841	0.00	101.30	N/A	N/A	8	0	135	39
2014-09-22	$38.04	$37.00	7.9%	3.1%	5.8%	3.2%	0.0%	1.2%	1.1%	21.0K	-197.1K	-828	0.00	104.10	N/A	N/A	0	0	105	28
2014-09-23	$37.84	$37.00	6.8%	3.2%	6.0%	2.2%	0.0%	5.0%	2.8%	21.0K	-180.4K	-857	0.00	101.60	N/A	N/A	0	0	105	28
2014-09-24	$37.95	$37.00	8.6%	3.2%	6.1%	3.9%	0.0%	3.1%	0.5%	20.7K	-197.3K	-823	0.00	80.42	N/A	N/A	0	0	105	28
2014-09-25	$37.53	$37.00	9.8%	3.2%	7.2%	5.1%	0.0%	2.3%	-0.3%	19.3K	-171.7K	-875	0.00	81.77	N/A	N/A	0	0	105	28
2014-09-26	$37.73	$37.00	7.7%	3.2%	7.5%	3.1%	0.0%	3.3%	1.0%	21.8K	-181.3K	-831	0.00	84.34	N/A	N/A	0	0	105	28
2014-09-29	$37.74	$37.00	8.8%	3.3%	7.5%	4.1%	0.0%	3.5%	0.5%	20.5K	-179.9K	-833	0.00	83.75	N/A	N/A	0	0	105	28
2014-09-30	$37.68	$37.00	9.2%	3.5%	7.5%	4.6%	0.0%	3.3%	1.1%	18.1K	-178.1K	-859	0.00	84.72	N/A	N/A	0	0	105	28