USMV Options History — January 2015

In January 2015, USMV traded between $40.02 and $41.61. ATM implied volatility averaged 12.5%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.2% (HV 20d: 12.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.65.

Notable Days

2015-01-14: Highest Volume — 288 contracts
2015-01-27: Largest IV spike — 112.9% change
2015-01-15: Highest IV Rank — 11.4%
2015-01-15: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.82	$40.02	$41.61	$40.57	$40.29
Max Pain	$40.05	$40.00	$41.00	$41.00	$40.00
ATM IV	12.5%	6.2%	16.1%	9.7%	14.8%
Expected Move	3.6%	1.8%	4.6%	3.1%	4.2%
HV 20d	12.7%	10.8%	14.6%	12.3%	13.3%
HV 60d	10.1%	9.6%	11.1%	11.1%	10.6%
IV Rank	7.7%	1.5%	11.4%	5.0%	10.1%
IV Percentile	64.7%	4.0%	80.2%	55.2%	77.8%
Term Structure	0.4%	-1.0%	4.4%	-0.3%	-0.5%
VWIV	14.4%	8.9%	18.6%	10.8%	11.3%
Skew 25d	5.6%	-1.0%	9.5%	1.5%	1.5%
Skew 10d	4.8%	0.1%	10.1%	1.4%	1.9%
Call IV 25d	9.8%	6.8%	14.0%	11.2%	12.0%
Put IV 25d	15.5%	11.7%	18.3%	12.7%	13.5%
Bid-Ask Spread %	98.23	90.20	108.74	94.88	102.94
Gamma HHI	0.39	0.22	0.71	0.71	0.27
Net GEX	8.0K	-24.1K	77.6K	63.2K	-24.1K
Net DEX	-112.1K	-323.6K	-8.1K	-219.7K	-54.7K
Net VEX	-922	-1.2K	-645	-993	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.38	1.22	0.40	0.95
Total Volume	149.15	0	288	271	205
Total OI	239.9	197	301	249	274

Daily Data (20 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
2015-01-02	$40.57	$0.00	9.7%	3.1%	12.3%	5.0%	10.8%	1.5%	-0.3%	63.2K	-219.7K	-993	0.40	94.88	N/A	N/A	193	78	171	78
2015-01-05	$40.13	$41.00	13.2%	4.3%	12.9%	8.5%	14.9%	4.2%	-0.9%	38.2K	-88.5K	-817	0.00	95.00	N/A	N/A	0	1	149	78
2015-01-06	$40.02	$40.00	15.3%	4.1%	12.9%	10.5%	15.5%	5.2%	0.4%	34.1K	-79.9K	-849	0.00	92.00	N/A	N/A	0	49	149	79
2015-01-07	$40.53	$40.00	10.6%	3.4%	13.8%	5.9%	15.6%	5.9%	0.5%	50.5K	-91.4K	-1.1K	0.00	100.90	N/A	N/A	0	2	149	128
2015-01-08	$41.10	$40.00	11.8%	3.3%	14.6%	7.1%	14.2%	7.7%	0.4%	77.6K	-323.6K	-1.1K	0.40	98.39	N/A	N/A	193	77	173	128
2015-01-09	$40.90	$40.00	11.7%	3.4%	14.0%	7.0%	14.0%	3.1%	0.7%	5.2K	-147.6K	-882	0.40	96.08	N/A	N/A	193	77	97	128
2015-01-12	$40.73	$40.00	15.1%	3.8%	14.1%	10.4%	18.1%	9.5%	-0.8%	4.3K	-120.2K	-918	0.43	92.97	N/A	N/A	198	85	97	127
2015-01-13	$40.61	$40.00	14.4%	3.7%	13.5%	9.6%	14.7%	3.8%	0.9%	5.6K	-119.4K	-995	0.38	90.20	N/A	N/A	198	76	102	137
2015-01-14	$40.52	$40.00	12.5%	3.6%	13.4%	7.7%	15.2%	7.6%	0.4%	944	-93.8K	-946	0.45	96.31	N/A	N/A	198	90	102	136
2015-01-15	$40.47	$40.00	16.1%	4.6%	13.2%	11.4%	16.1%	7.4%	-0.5%	-709	-61.3K	-1.1K	0.45	93.03	N/A	N/A	198	90	102	146
2015-01-16	$40.91	$40.00	13.0%	3.7%	12.4%	8.3%	18.6%	8.7%	0.4%	18.0K	-39.7K	-844	0.00	96.66	N/A	N/A	0	2	78	146
2015-01-20	$40.98	$40.00	13.5%	3.9%	10.8%	8.8%	18.2%	7.7%	0.4%	-21.5K	-8.1K	-826	0.00	99.41	N/A	N/A	0	2	53	145
2015-01-21	$41.05	$40.00	13.7%	3.9%	10.8%	8.9%	0.0%	7.5%	-0.1%	-23.3K	-25.6K	-764	0.00	99.92	N/A	N/A	0	0	53	144
2015-01-22	$41.61	$40.00	7.3%	2.1%	11.7%	2.7%	15.2%	7.1%	2.7%	-9.5K	-171.6K	-645	1.22	101.10	N/A	N/A	73	89	77	144
2015-01-23	$41.43	$40.00	12.0%	3.4%	11.8%	7.3%	8.9%	5.9%	0.1%	-13.4K	-165.9K	-659	0.76	97.55	N/A	N/A	105	80	76	144
2015-01-26	$41.52	$40.00	6.2%	1.8%	11.6%	1.5%	0.0%	4.7%	4.4%	-3.5K	-117.9K	-844	0.00	108.74	N/A	N/A	0	1	84	146
2015-01-27	$41.22	$40.00	13.2%	3.8%	11.9%	8.4%	0.0%	8.8%	-0.8%	-10.4K	-79.8K	-974	0.00	104.78	N/A	N/A	0	20	84	146
2015-01-28	$40.77	$40.00	13.2%	3.8%	12.6%	8.5%	13.9%	-1.0%	1.5%	-20.0K	-102.1K	-1.2K	0.95	100.98	N/A	N/A	105	100	108	166
2015-01-29	$40.95	$40.00	12.0%	3.4%	12.6%	7.3%	9.6%	5.5%	-1.0%	-11.8K	-130.6K	-947	0.95	102.79	N/A	N/A	105	100	108	166
2015-01-30	$40.29	$40.00	14.8%	4.2%	13.3%	10.1%	11.3%	1.5%	-0.5%	-24.1K	-54.7K	-1.2K	0.95	102.94	N/A	N/A	105	100	108	166