USMV Options History — December 2014

In December 2014, USMV traded between $39.38 and $41.19. ATM implied volatility averaged 13.1%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 5.1% (HV 20d: 8.0%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2014-12-17: Highest Volume — 339 contracts
2014-12-18: Largest IV spike — 161.4% change
2014-12-19: Highest IV Rank — 30.0%
2014-12-22: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.55	$39.38	$41.19	$40.56	$40.48
Max Pain	$36.27	$36.00	$37.00	$36.00	$37.00
ATM IV	13.1%	7.2%	34.9%	9.0%	12.1%
Expected Move	3.9%	2.8%	8.1%	3.0%	3.9%
HV 20d	8.0%	3.6%	12.3%	3.8%	12.3%
HV 60d	10.8%	10.1%	11.6%	10.3%	11.4%
IV Rank	8.4%	2.5%	30.0%	4.4%	7.4%
IV Percentile	56.7%	11.9%	85.7%	48.0%	69.8%
Term Structure	0.3%	-8.5%	7.4%	-0.8%	1.2%
VWIV	16.1%	6.9%	32.0%	12.7%	6.9%
Skew 25d	3.0%	-5.2%	7.4%	2.9%	1.8%
Skew 10d	5.9%	0.6%	17.9%	2.6%	2.1%
Call IV 25d	12.7%	7.0%	36.8%	9.0%	10.3%
Put IV 25d	15.8%	7.9%	41.1%	11.9%	12.1%
Bid-Ask Spread %	101.11	72.03	172.47	95.59	96.17
Gamma HHI	0.47	0.25	0.78	0.25	0.73
Net GEX	33.7K	767	77.6K	1.4K	50.3K
Net DEX	-376.1K	-540.2K	-171.7K	-377.0K	-171.7K
Net VEX	-851	-1.6K	-279	-369	-976
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	1.06	1.06	0.00
Total Volume	205.091	0	339	159	2
Total OI	282.5	179	417	232	225

Daily Data (22 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
2014-12-01	$40.56	$36.00	9.0%	3.0%	3.8%	4.4%	12.7%	2.9%	-0.8%	1.4K	-377.0K	-369	1.06	95.59	N/A	N/A	77	82	115	117
2014-12-02	$40.66	$36.00	7.9%	2.9%	3.8%	3.2%	14.7%	2.9%	-0.3%	889	-376.9K	-414	1.06	91.22	N/A	N/A	77	82	115	117
2014-12-03	$40.74	$36.00	7.2%	2.8%	3.7%	2.5%	14.3%	2.5%	-0.8%	2.0K	-381.1K	-390	1.06	92.41	N/A	N/A	77	82	115	117
2014-12-04	$40.70	$36.00	8.1%	2.8%	3.6%	3.4%	0.0%	-0.4%	-0.2%	767	-177.7K	-325	0.00	101.33	N/A	N/A	0	0	62	117
2014-12-05	$40.63	$36.00	7.3%	2.8%	3.8%	2.6%	14.1%	3.4%	0.6%	1.0K	-385.0K	-359	1.02	94.75	N/A	N/A	80	82	115	117
2014-12-08	$40.62	$36.00	7.2%	2.9%	3.8%	2.5%	14.9%	3.7%	1.5%	4.7K	-394.6K	-395	1.02	90.81	N/A	N/A	80	82	120	117
2014-12-09	$40.50	$36.00	12.8%	3.6%	3.9%	8.1%	11.6%	4.0%	2.5%	9.1K	-396.7K	-279	1.02	93.59	N/A	N/A	80	82	120	117
2014-12-10	$40.03	$36.00	14.5%	3.8%	5.9%	9.8%	17.1%	7.4%	0.9%	3.8K	-352.9K	-389	0.43	87.69	N/A	N/A	190	82	115	117
2014-12-11	$40.21	$36.00	12.5%	3.7%	6.1%	7.8%	17.9%	4.3%	0.6%	44.8K	-466.6K	-797	0.41	85.17	N/A	N/A	202	82	221	117
2014-12-12	$39.78	$36.00	12.9%	4.1%	7.3%	8.1%	16.9%	5.0%	1.3%	38.9K	-428.8K	-937	0.36	75.05	N/A	N/A	225	82	233	117
2014-12-15	$39.63	$36.00	11.9%	3.8%	7.4%	7.2%	17.0%	6.4%	1.2%	51.3K	-461.5K	-945	0.42	72.03	N/A	N/A	225	95	268	117
2014-12-16	$39.38	$37.00	16.1%	4.5%	7.6%	11.4%	17.1%	6.2%	-0.6%	44.5K	-403.6K	-1.1K	0.48	78.75	N/A	N/A	227	108	268	130
2014-12-17	$40.04	$37.00	11.7%	3.7%	9.6%	7.0%	18.6%	7.1%	1.7%	77.6K	-465.7K	-1.2K	0.49	81.77	N/A	N/A	227	112	270	143
2014-12-18	$40.74	$37.00	30.6%	7.0%	11.4%	25.8%	32.0%	-5.2%	-6.7%	30.2K	-540.2K	-1.6K	0.50	150.65	N/A	N/A	223	112	270	147
2014-12-19	$40.88	$37.00	34.9%	7.4%	11.5%	30.0%	6.9%	4.3%	-8.5%	15.3K	-381.1K	-1.5K	0.00	172.47	N/A	N/A	10	0	207	147
2014-12-22	$41.08	$0.00	24.3%	8.1%	11.5%	19.5%	0.0%	1.7%	7.4%	28.9K	-313.5K	-1.5K	0.41	152.55	N/A	N/A	191	78	185	78
2014-12-23	$41.19	$0.00	9.6%	2.9%	11.5%	4.9%	0.0%	3.8%	0.6%	60.5K	-399.5K	-1.1K	0.41	105.36	N/A	N/A	191	78	185	78
2014-12-24	$40.99	$0.00	9.5%	2.9%	11.7%	4.8%	0.0%	1.2%	0.8%	63.2K	-438.2K	-1.1K	0.41	103.96	N/A	N/A	191	78	195	78
2014-12-26	$41.09	$0.00	9.3%	3.0%	11.7%	4.6%	0.0%	1.4%	1.1%	67.3K	-358.3K	-1.1K	0.41	103.62	N/A	N/A	191	78	171	78
2014-12-29	$41.13	$0.00	9.8%	3.1%	11.5%	5.1%	0.0%	1.6%	0.7%	71.2K	-360.2K	-1.1K	0.41	94.90	N/A	N/A	191	78	171	78
2014-12-30	$40.94	$0.00	8.9%	3.1%	11.6%	4.2%	0.0%	0.9%	1.7%	74.6K	-243.3K	-962	0.00	104.68	N/A	N/A	0	0	147	78
2014-12-31	$40.48	$0.00	12.1%	3.9%	12.3%	7.4%	0.0%	1.8%	1.2%	50.3K	-171.7K	-976	0.00	96.17	N/A	N/A	2	0	147	78