USMV Options History — April 2015

In April 2015, USMV traded between $40.98 and $41.79. ATM implied volatility averaged 9.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 1.1% (HV 20d: 10.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.43.

Notable Days

2015-04-28: Highest Volume — 156 contracts
2015-04-13: Largest IV spike — 41.5% change
2015-04-07: Highest IV Rank — 8.0%
2015-04-06: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.44	$40.98	$41.79	$41.11	$40.98
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	9.6%	6.2%	12.7%	12.3%	10.3%
Expected Move	2.7%	1.8%	3.5%	3.5%	3.0%
HV 20d	10.7%	7.6%	14.9%	14.9%	8.2%
HV 60d	11.6%	10.7%	12.3%	12.3%	10.7%
IV Rank	5.3%	1.5%	8.0%	7.6%	6.3%
IV Percentile	47.8%	4.4%	76.2%	73.8%	63.1%
Term Structure	1.2%	-0.9%	3.7%	-0.5%	0.3%
VWIV	10.9%	7.9%	14.4%	11.8%	9.9%
Skew 25d	2.9%	-0.4%	5.7%	2.0%	-0.4%
Skew 10d	3.6%	-0.7%	11.3%	3.5%	-0.7%
Call IV 25d	8.7%	6.1%	11.3%	10.1%	10.5%
Put IV 25d	11.6%	9.2%	13.2%	12.2%	10.1%
Bid-Ask Spread %	103.64	93.98	109.05	108.13	108.75
Gamma HHI	0.37	0.25	0.52	0.31	0.29
Net GEX	6.8K	-1.2K	12.6K	370	6.4K
Net DEX	-152.3K	-260.6K	-65.8K	-68.7K	-130.9K
Net VEX	-1.1K	-1.4K	-866	-866	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.85	1.92	1.92	1.20
Total Volume	120.524	0	156	114	156
Total OI	168.81	125	209	125	209

Daily Data (21 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
2015-04-01	$41.11	$40.00	12.3%	3.5%	14.9%	7.6%	11.8%	2.0%	-0.5%	370	-68.7K	-866	1.92	108.13	N/A	N/A	39	75	63	62
2015-04-02	$41.25	$40.00	11.6%	3.1%	14.9%	6.9%	13.3%	3.6%	0.9%	-1.2K	-87.3K	-1.1K	1.92	101.02	N/A	N/A	39	75	72	88
2015-04-06	$41.48	$40.00	12.7%	3.5%	13.5%	7.9%	13.3%	4.7%	0.1%	1.2K	-107.3K	-1.0K	1.92	100.64	N/A	N/A	39	75	72	88
2015-04-07	$41.32	$40.00	12.7%	3.2%	13.5%	8.0%	13.5%	3.8%	1.6%	1.8K	-97.2K	-1.1K	1.92	101.81	N/A	N/A	39	75	72	88
2015-04-08	$41.43	$40.00	11.3%	3.2%	12.6%	6.5%	0.0%	3.1%	0.6%	1.1K	-65.8K	-928	0.00	108.51	N/A	N/A	0	0	57	88
2015-04-09	$41.48	$40.00	9.9%	2.8%	12.5%	5.2%	12.6%	1.9%	2.1%	7.9K	-110.2K	-990	1.92	100.14	N/A	N/A	39	75	72	88
2015-04-10	$41.60	$40.00	6.2%	1.8%	11.7%	1.5%	12.8%	4.8%	2.7%	4.4K	-111.8K	-1.0K	1.92	107.32	N/A	N/A	39	75	72	88
2015-04-13	$41.44	$40.00	8.8%	2.5%	11.7%	4.6%	13.4%	3.6%	3.7%	4.6K	-115.6K	-982	1.53	105.20	N/A	N/A	49	75	72	88
2015-04-14	$41.50	$40.00	10.6%	3.0%	10.6%	6.6%	14.4%	3.5%	1.2%	7.2K	-145.1K	-1.0K	1.83	103.55	N/A	N/A	41	75	82	88
2015-04-15	$41.53	$40.00	7.5%	2.2%	10.5%	3.2%	10.0%	2.7%	0.8%	8.9K	-157.7K	-1.0K	1.83	108.50	N/A	N/A	41	75	84	88
2015-04-16	$41.52	$40.00	7.7%	2.2%	9.5%	3.4%	9.3%	1.6%	-0.9%	10.9K	-164.4K	-999	1.42	108.50	N/A	N/A	53	75	86	88
2015-04-17	$41.09	$40.00	10.2%	2.9%	10.2%	6.1%	9.6%	1.0%	1.3%	6.2K	-100.2K	-970	1.67	97.42	N/A	N/A	45	75	75	88
2015-04-20	$41.45	$40.00	10.0%	2.9%	10.3%	6.0%	8.6%	3.6%	1.8%	8.3K	-128.8K	-927	0.88	93.98	N/A	N/A	68	60	75	73
2015-04-21	$41.45	$40.00	10.7%	3.1%	10.2%	6.7%	9.4%	2.2%	0.6%	9.6K	-221.3K	-1.2K	0.87	98.62	N/A	N/A	69	60	102	73
2015-04-22	$41.58	$40.00	8.0%	2.3%	10.1%	3.7%	10.1%	2.5%	-0.9%	12.6K	-230.9K	-1.2K	0.87	105.40	N/A	N/A	69	60	105	73
2015-04-23	$41.74	$40.00	7.0%	2.0%	8.0%	2.6%	8.6%	5.7%	2.3%	11.8K	-243.9K	-1.1K	0.87	106.88	N/A	N/A	69	60	105	73
2015-04-24	$41.79	$40.00	7.9%	2.3%	7.9%	3.6%	8.6%	3.2%	3.1%	11.2K	-260.6K	-1.1K	0.87	105.08	N/A	N/A	69	60	105	73
2015-04-27	$41.48	$40.00	9.8%	2.8%	8.4%	5.7%	9.6%	2.2%	2.4%	10.5K	-238.3K	-1.1K	0.85	96.22	N/A	N/A	71	60	105	73
2015-04-28	$41.64	$40.00	7.3%	2.1%	7.6%	3.0%	7.9%	5.0%	-0.1%	12.0K	-259.0K	-1.1K	1.20	109.05	N/A	N/A	71	85	110	73
2015-04-29	$41.35	$40.00	9.7%	2.8%	7.6%	5.7%	10.5%	0.7%	3.2%	6.9K	-152.3K	-1.4K	1.20	101.67	N/A	N/A	71	85	111	98
2015-04-30	$40.98	$40.00	10.3%	3.0%	8.2%	6.3%	9.9%	-0.4%	0.3%	6.4K	-130.9K	-1.4K	1.20	108.75	N/A	N/A	71	85	111	98