USMV Options History — March 2015

In March 2015, USMV traded between $40.52 and $42.00. ATM implied volatility averaged 9.5%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 2.0% (HV 20d: 11.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2015-03-04: Highest Volume — 209 contracts
2015-03-25: Largest IV spike — 54.7% change
2015-03-31: Highest IV Rank — 6.8%
2015-03-31: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.34	$40.52	$42.00	$41.88	$41.28
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	9.5%	7.0%	11.6%	9.4%	11.6%
Expected Move	2.7%	2.0%	3.3%	2.7%	3.3%
HV 20d	11.5%	8.0%	15.0%	8.7%	15.0%
HV 60d	12.1%	11.5%	12.6%	11.5%	12.5%
IV Rank	4.8%	2.4%	6.8%	4.7%	6.8%
IV Percentile	45.0%	11.5%	67.1%	48.0%	67.1%
Term Structure	1.3%	-0.9%	4.1%	-0.9%	0.3%
VWIV	10.3%	5.8%	14.3%	10.6%	10.9%
Skew 25d	3.0%	0.2%	5.6%	4.0%	2.5%
Skew 10d	4.2%	1.0%	13.3%	13.3%	1.2%
Call IV 25d	8.6%	6.8%	13.5%	8.3%	8.9%
Put IV 25d	11.6%	8.0%	14.4%	12.3%	11.4%
Bid-Ask Spread %	106.02	99.33	112.51	102.86	110.82
Gamma HHI	0.37	0.29	0.53	0.44	0.32
Net GEX	-14.7K	-36.8K	8.0K	-8.6K	3.0K
Net DEX	-118.2K	-273.3K	6.6K	-273.3K	-84.3K
Net VEX	-776	-901	-572	-835	-857
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.00	1.58	1.28	1.58
Total Volume	58.409	0	209	194	80
Total OI	198.773	95	260	245	124

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
2015-03-02	$41.88	$40.00	9.4%	2.7%	8.7%	4.7%	10.6%	4.0%	-0.9%	-8.6K	-273.3K	-835	1.28	102.86	N/A	N/A	85	109	116	129
2015-03-03	$41.72	$40.00	8.2%	2.4%	8.6%	3.5%	9.8%	2.7%	2.3%	-9.7K	-267.7K	-793	1.28	107.97	N/A	N/A	85	109	116	129
2015-03-04	$41.54	$40.00	9.2%	2.6%	8.1%	4.5%	11.4%	1.7%	-0.5%	-15.8K	-226.5K	-860	1.46	102.96	N/A	N/A	85	124	116	129
2015-03-05	$41.70	$40.00	8.3%	2.6%	8.0%	3.6%	12.7%	3.7%	0.7%	-16.0K	-245.9K	-872	1.46	100.67	N/A	N/A	85	124	116	144
2015-03-06	$40.94	$40.00	9.7%	2.9%	9.8%	5.0%	11.1%	0.3%	2.4%	-30.2K	-166.2K	-901	1.46	100.67	N/A	N/A	85	124	116	144
2015-03-09	$41.14	$40.00	10.8%	2.9%	9.3%	6.1%	0.0%	5.0%	0.6%	-32.4K	-87.6K	-810	0.00	103.69	N/A	N/A	0	0	92	144
2015-03-10	$40.61	$40.00	8.8%	2.9%	10.3%	4.1%	0.0%	2.3%	0.7%	-33.6K	-4.8K	-889	0.00	103.53	N/A	N/A	0	0	92	144
2015-03-11	$40.52	$40.00	9.9%	2.8%	9.5%	5.2%	0.0%	4.2%	0.9%	-34.9K	6.6K	-886	0.00	104.39	N/A	N/A	0	0	92	144
2015-03-12	$41.05	$40.00	10.5%	3.0%	10.7%	5.8%	0.0%	5.6%	0.9%	-24.8K	-64.3K	-824	0.00	99.33	N/A	N/A	0	0	92	144
2015-03-13	$40.85	$40.00	10.2%	2.9%	10.6%	5.5%	0.0%	3.0%	1.0%	-36.8K	-42.9K	-814	0.00	103.23	N/A	N/A	0	0	92	144
2015-03-16	$41.41	$40.00	10.1%	2.9%	11.8%	5.4%	7.3%	4.1%	4.1%	-24.7K	-115.2K	-765	0.00	109.11	N/A	N/A	1	0	92	144
2015-03-17	$41.23	$40.00	11.4%	3.3%	11.9%	6.7%	0.0%	4.7%	0.6%	-29.3K	-86.4K	-814	0.00	100.64	N/A	N/A	0	0	93	144
2015-03-18	$41.73	$40.00	7.7%	2.2%	12.6%	3.1%	0.0%	4.3%	3.5%	-14.8K	-173.1K	-663	0.00	108.44	N/A	N/A	0	0	93	144
2015-03-19	$41.60	$40.00	7.0%	2.0%	12.6%	2.4%	0.0%	4.2%	2.6%	-15.8K	-156.6K	-660	0.00	110.32	N/A	N/A	0	0	93	144
2015-03-20	$41.93	$40.00	8.9%	2.6%	12.7%	4.3%	5.8%	2.9%	4.0%	-17.9K	-190.8K	-629	0.00	112.51	N/A	N/A	28	0	93	144
2015-03-23	$42.00	$40.00	8.1%	2.3%	12.7%	3.4%	0.0%	1.0%	1.1%	7.6K	-88.9K	-572	0.00	109.60	N/A	N/A	0	0	47	48
2015-03-24	$41.75	$40.00	7.3%	2.1%	12.9%	2.7%	0.0%	0.2%	1.9%	4.8K	-73.1K	-622	0.00	111.66	N/A	N/A	2	0	47	48
2015-03-25	$41.05	$40.00	11.3%	3.2%	14.2%	6.6%	0.0%	2.6%	-0.4%	3	-51.1K	-653	0.00	110.02	N/A	N/A	0	0	49	48
2015-03-26	$40.94	$40.00	10.8%	3.1%	14.2%	6.1%	14.3%	0.4%	1.4%	2.4K	-75.5K	-738	1.55	102.12	N/A	N/A	31	48	61	48
2015-03-27	$41.10	$40.00	11.3%	3.3%	14.3%	6.6%	11.2%	2.2%	0.3%	-3.8K	-33.0K	-787	0.00	107.65	N/A	N/A	1	0	49	61
2015-03-30	$41.55	$40.00	7.6%	2.2%	14.8%	3.0%	8.6%	5.1%	0.7%	8.0K	-99.4K	-822	1.55	110.26	N/A	N/A	31	48	63	61
2015-03-31	$41.28	$40.00	11.6%	3.3%	15.0%	6.8%	10.9%	2.5%	0.3%	3.0K	-84.3K	-857	1.58	110.82	N/A	N/A	31	49	63	61