USMV Options History — November 2014

In November 2014, USMV traded between $39.31 and $40.68. ATM implied volatility averaged 8.5%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.3% (HV 20d: 8.2%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2014-11-03: Highest Volume — 223 contracts
2014-11-05: Largest IV drop — 26.1% change
2014-11-03: Highest IV Rank — 6.7%
2014-11-04: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.94	$39.31	$40.68	$39.31	$40.68
Max Pain	$36.00	$36.00	$36.00	$36.00	$36.00
ATM IV	8.5%	6.3%	11.5%	11.5%	8.1%
Expected Move	3.1%	2.9%	3.5%	3.4%	2.9%
HV 20d	8.2%	3.9%	15.2%	15.2%	3.9%
HV 60d	10.3%	10.3%	10.5%	10.5%	10.3%
IV Rank	3.9%	1.7%	6.7%	6.7%	3.4%
IV Percentile	35.1%	6.3%	69.8%	69.8%	30.6%
Term Structure	1.2%	-0.5%	3.4%	-0.4%	-0.4%
VWIV	14.7%	12.9%	16.3%	14.6%	12.9%
Skew 25d	3.8%	1.4%	10.6%	3.9%	1.6%
Skew 10d	6.8%	0.9%	18.6%	1.3%	13.5%
Call IV 25d	7.2%	5.6%	9.8%	6.9%	8.1%
Put IV 25d	11.1%	8.4%	17.1%	10.8%	9.6%
Bid-Ask Spread %	91.09	79.79	103.44	86.96	99.96
Gamma HHI	0.28	0.19	0.36	0.31	0.33
Net GEX	3.6K	615	5.4K	4.4K	3.5K
Net DEX	-377.2K	-498.7K	-163.1K	-383.2K	-173.6K
Net VEX	-584	-1.0K	-353	-1.0K	-353
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	1.15	1.06	1.06
Total Volume	161.684	0	223	223	0
Total OI	272.632	179	310	310	179

Daily Data (19 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
2014-11-03	$39.31	$36.00	11.5%	3.4%	15.2%	6.7%	14.6%	3.9%	-0.4%	4.4K	-383.2K	-1.0K	1.06	86.96	N/A	N/A	108	115	155	155
2014-11-04	$39.40	$36.00	11.0%	3.5%	14.4%	6.3%	14.9%	3.2%	-0.5%	4.5K	-392.4K	-1.0K	1.06	82.55	N/A	N/A	108	115	155	155
2014-11-05	$39.60	$36.00	8.2%	3.2%	13.4%	3.5%	15.1%	1.4%	-0.4%	1.9K	-452.8K	-757	1.06	80.38	N/A	N/A	108	115	155	155
2014-11-06	$39.64	$36.00	6.3%	3.2%	11.5%	1.7%	14.5%	3.1%	1.8%	3.0K	-452.3K	-756	1.06	79.79	N/A	N/A	108	115	155	155
2014-11-07	$39.64	$36.00	8.0%	3.1%	11.2%	3.3%	14.2%	3.5%	0.7%	2.6K	-455.1K	-736	1.06	81.31	N/A	N/A	108	115	155	155
2014-11-10	$39.82	$36.00	7.4%	3.0%	10.0%	2.8%	15.0%	2.7%	2.2%	3.9K	-498.7K	-492	1.06	84.21	N/A	N/A	108	115	155	155
2014-11-11	$39.83	$36.00	7.3%	2.9%	9.7%	2.6%	15.8%	4.3%	1.6%	615	-333.8K	-607	1.06	89.24	N/A	N/A	108	115	118	125
2014-11-12	$39.82	$36.00	7.5%	2.9%	7.8%	2.9%	14.6%	3.3%	1.4%	4.1K	-460.6K	-593	1.06	95.90	N/A	N/A	108	115	148	155
2014-11-13	$39.86	$36.00	9.2%	2.9%	7.4%	4.5%	15.0%	3.4%	1.0%	3.4K	-425.4K	-575	1.06	87.10	N/A	N/A	108	115	138	155
2014-11-14	$39.81	$36.00	9.2%	3.0%	7.3%	4.5%	16.3%	2.9%	1.4%	2.8K	-422.3K	-589	0.00	95.11	N/A	N/A	20	0	138	155
2014-11-17	$39.90	$36.00	8.6%	3.2%	7.0%	4.0%	14.7%	4.8%	2.6%	5.3K	-397.9K	-683	1.06	84.94	N/A	N/A	108	115	137	155
2014-11-18	$40.10	$36.00	9.1%	3.1%	5.8%	4.4%	15.3%	4.1%	2.0%	3.8K	-395.0K	-518	1.06	85.75	N/A	N/A	108	115	127	155
2014-11-19	$40.09	$36.00	9.0%	3.1%	5.7%	4.3%	0.0%	3.7%	1.9%	4.1K	-312.6K	-466	0.00	97.11	N/A	N/A	0	0	104	155
2014-11-20	$40.07	$36.00	8.8%	3.0%	5.7%	4.1%	13.8%	3.3%	1.6%	3.2K	-416.2K	-408	1.06	97.77	N/A	N/A	108	115	129	155
2014-11-21	$40.20	$36.00	9.0%	3.0%	5.2%	4.3%	13.3%	3.8%	1.3%	2.4K	-425.1K	-404	1.15	94.23	N/A	N/A	100	115	129	155
2014-11-24	$40.27	$36.00	8.3%	3.0%	5.2%	3.7%	0.0%	2.5%	0.8%	4.4K	-239.6K	-381	0.00	103.44	N/A	N/A	0	2	82	115
2014-11-25	$40.28	$36.00	8.5%	3.1%	5.0%	3.8%	12.9%	10.6%	0.9%	5.3K	-368.1K	-381	1.06	102.21	N/A	N/A	77	82	115	117
2014-11-26	$40.46	$36.00	7.0%	3.0%	4.7%	2.4%	0.0%	6.8%	3.4%	5.4K	-163.1K	-357	0.00	102.69	N/A	N/A	0	0	62	117
2014-11-28	$40.68	$36.00	8.1%	2.9%	3.9%	3.4%	0.0%	1.6%	-0.4%	3.5K	-173.6K	-353	0.00	99.96	N/A	N/A	0	0	62	117