USMV Options History — October 2014

In October 2014, USMV traded between $36.65 and $39.30. ATM implied volatility averaged 12.8%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.2% (HV 20d: 13.0%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2014-10-15: Highest Volume — 240 contracts
  • 2014-10-07: Largest IV spike — 42.5% change
  • 2014-10-15: Highest IV Rank — 15.9%
  • 2014-10-13: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.78$36.65$39.30$37.39$39.30
Max Pain$36.52$36.00$37.00$37.00$36.00
ATM IV12.8%8.5%20.7%12.9%10.0%
Expected Move3.8%3.2%4.5%3.9%3.4%
HV 20d13.0%7.8%15.6%7.8%15.2%
HV 60d10.0%8.1%11.1%8.1%10.7%
IV Rank8.1%3.9%15.9%8.2%5.3%
IV Percentile69.8%36.1%82.5%77.4%59.1%
Term Structure0.3%-0.9%1.9%-0.3%0.9%
VWIV15.5%13.8%20.5%14.8%14.6%
Skew 25d4.9%0.2%7.1%3.8%4.7%
Skew 10d6.5%0.1%16.4%2.1%5.1%
Call IV 25d9.6%6.8%13.8%8.7%6.8%
Put IV 25d14.5%9.0%20.8%12.5%11.6%
Bid-Ask Spread %80.0073.3690.6981.4980.08
Gamma HHI0.340.180.830.290.29
Net GEX8.7K-7.9K39.7K19.3K277
Net DEX-157.0K-373.7K77.9K-159.2K-373.7K
Net VEX-1.1K-1.6K-810-868-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.001.770.681.06
Total Volume102.739024010223
Total OI228.478133309133300

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$37.39$37.0012.9%3.9%7.8%8.2%0.0%3.8%-0.3%19.3K-159.2K-8680.0081.49N/AN/A01010528
2014-10-02$37.44$37.0012.1%3.8%7.9%7.4%0.0%4.0%0.6%17.4K-140.1K-9160.0090.69N/AN/A0010538
2014-10-03$37.85$37.008.7%3.4%8.6%4.0%0.0%0.2%1.0%17.6K-175.1K-8730.0086.59N/AN/A0010538
2014-10-06$37.83$37.009.4%3.5%8.6%4.7%0.0%5.0%-0.0%17.5K-174.8K-8550.0078.35N/AN/A0010538
2014-10-07$37.41$37.0013.4%3.9%9.2%8.7%0.0%5.0%0.7%16.4K-146.7K-8930.0081.58N/AN/A0010538
2014-10-08$38.05$37.0011.7%3.4%11.2%7.0%14.8%5.6%0.5%17.8K-189.7K-8100.6881.92N/AN/A563810538
2014-10-09$37.42$37.0015.0%3.9%12.6%10.3%0.0%6.5%-0.6%16.5K-149.8K-8870.0077.99N/AN/A0510538
2014-10-10$37.25$37.0014.1%4.1%12.4%9.4%0.0%5.7%-0.7%14.3K-129.5K-9201.0080.11N/AN/A202010543
2014-10-13$36.86$37.0019.3%4.5%12.8%14.5%0.0%5.4%-0.9%22.5K-78.8K-1.0K0.0075.98N/AN/A20012563
2014-10-14$37.25$37.0014.7%4.2%13.2%10.0%17.2%6.5%-0.1%26.0K-91.2K-9740.9776.13N/AN/A868311563
2014-10-15$36.78$37.0020.7%4.2%13.8%15.9%17.1%6.4%0.1%15.0K29.1K-1.2K1.4573.36N/AN/A98142125103
2014-10-16$36.65$37.0015.0%4.3%13.7%10.3%20.5%7.1%-0.1%12.5K77.9K-1.6K0.0076.30N/AN/A100141158
2014-10-17$37.04$36.0014.8%4.0%14.4%10.1%0.0%7.0%-0.5%39.7K-36.6K-1.6K0.0075.76N/AN/A00151158
2014-10-20$37.37$36.0014.0%4.0%14.8%9.2%15.5%6.0%0.7%-6.8K-44.9K-1.5K1.6175.22N/AN/A88142131158
2014-10-21$37.89$36.0010.7%3.5%15.6%6.0%14.7%6.0%1.2%-7.9K-135.3K-1.4K1.6175.79N/AN/A88142131158
2014-10-22$37.82$36.0012.4%3.8%15.6%7.6%15.4%4.8%1.0%-7.4K-142.8K-1.4K1.7777.74N/AN/A80142131158
2014-10-23$38.06$36.0011.7%3.6%15.2%7.0%15.0%2.7%0.7%-7.5K-170.6K-1.4K1.6583.92N/AN/A80132131158
2014-10-24$38.40$36.0013.2%3.6%15.4%8.5%14.0%4.7%-0.4%-7.9K-213.7K-1.2K1.6577.87N/AN/A80132131155
2014-10-27$38.47$36.0013.5%3.9%15.4%8.8%0.0%5.0%-0.0%-7.5K-235.1K-1.1K0.0080.52N/AN/A00131155
2014-10-28$38.72$36.008.5%3.3%15.5%3.9%13.8%3.5%1.9%-5.3K-290.8K-9370.0087.29N/AN/A200131155
2014-10-29$38.62$36.008.7%3.2%15.2%4.0%14.2%3.0%0.7%-3.6K-296.3K-1.2K1.1781.22N/AN/A98115145155
2014-10-30$39.02$36.0010.0%3.3%15.5%5.3%14.5%3.3%0.9%903-342.8K-1.1K1.1784.04N/AN/A98115145155
2014-10-31$39.30$36.0010.0%3.4%15.2%5.3%14.6%4.7%0.9%277-373.7K-1.0K1.0680.08N/AN/A108115145155