USMV Options History — May 2015

In May 2015, USMV traded between $40.83 and $41.97. ATM implied volatility averaged 9.9%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.1% (HV 20d: 10.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2015-05-26: Highest Volume — 173 contracts
2015-05-11: Largest IV spike — 45.6% change
2015-05-12: Highest IV Rank — 12.3%
2015-05-12: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.54	$40.83	$41.97	$41.31	$41.48
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	9.9%	7.8%	13.6%	9.8%	9.8%
Expected Move	2.8%	2.2%	3.4%	2.8%	2.8%
HV 20d	10.0%	8.4%	11.3%	8.6%	9.8%
HV 60d	10.9%	10.5%	11.2%	10.8%	11.2%
IV Rank	7.1%	4.3%	12.3%	5.8%	7.1%
IV Percentile	56.9%	27.0%	89.7%	57.5%	59.5%
Term Structure	0.5%	-1.7%	3.3%	2.4%	3.3%
VWIV	9.5%	7.6%	12.9%	12.9%	9.8%
Skew 25d	2.5%	-0.3%	5.5%	-0.3%	1.3%
Skew 10d	7.4%	1.8%	18.3%	2.1%	3.7%
Call IV 25d	8.6%	6.9%	12.1%	12.1%	10.3%
Put IV 25d	11.2%	8.6%	13.0%	11.8%	11.6%
Bid-Ask Spread %	103.65	89.41	109.40	105.88	104.25
Gamma HHI	0.32	0.27	0.42	0.31	0.30
Net GEX	5.7K	1.8K	8.7K	8.0K	2.5K
Net DEX	-167.3K	-249.4K	-94.7K	-163.1K	-136.0K
Net VEX	-1.3K	-1.6K	-914	-1.4K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.10	1.22	1.18	1.22
Total Volume	116.55	0	173	157	173
Total OI	226.85	202	258	214	258

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
2015-05-01	$41.31	$40.00	9.8%	2.8%	8.6%	5.8%	12.9%	-0.3%	2.4%	8.0K	-163.1K	-1.4K	1.18	105.88	N/A	N/A	72	85	116	98
2015-05-04	$41.45	$40.00	9.6%	3.0%	8.4%	5.5%	0.0%	1.4%	0.5%	4.2K	-148.5K	-1.3K	0.00	106.50	N/A	N/A	0	0	104	98
2015-05-05	$41.00	$40.00	10.1%	3.0%	9.2%	6.1%	9.1%	1.6%	0.6%	7.3K	-155.6K	-1.4K	0.97	102.88	N/A	N/A	72	70	117	98
2015-05-06	$40.83	$40.00	13.3%	3.4%	9.2%	12.0%	11.6%	0.8%	-0.9%	6.2K	-94.7K	-1.4K	0.91	97.40	N/A	N/A	77	70	117	108
2015-05-07	$41.12	$40.00	13.0%	3.3%	9.6%	11.5%	12.5%	5.5%	-0.1%	4.7K	-118.7K	-1.5K	0.91	102.30	N/A	N/A	77	70	120	108
2015-05-08	$41.59	$40.00	8.5%	2.3%	10.4%	5.3%	0.0%	3.2%	1.2%	1.8K	-129.8K	-1.4K	0.00	89.41	N/A	N/A	0	0	107	108
2015-05-11	$41.37	$40.00	12.3%	3.2%	10.5%	10.6%	0.0%	1.7%	0.3%	2.2K	-120.9K	-1.4K	0.00	104.75	N/A	N/A	0	0	107	108
2015-05-12	$41.32	$40.00	13.6%	3.4%	10.5%	12.3%	10.0%	4.2%	-0.4%	7.1K	-152.3K	-1.4K	0.91	103.95	N/A	N/A	77	70	120	108
2015-05-13	$41.24	$40.00	10.8%	3.1%	10.5%	8.5%	11.8%	5.3%	0.2%	5.7K	-150.8K	-1.4K	0.91	104.47	N/A	N/A	77	70	120	108
2015-05-14	$41.71	$40.00	7.8%	2.2%	11.3%	4.3%	7.6%	2.3%	1.7%	8.7K	-215.4K	-1.1K	0.91	105.89	N/A	N/A	77	70	120	108
2015-05-15	$41.85	$40.00	8.0%	2.3%	10.6%	4.6%	7.9%	2.7%	1.6%	6.0K	-201.3K	-1.3K	0.96	107.56	N/A	N/A	73	70	120	108
2015-05-18	$41.94	$40.00	9.1%	2.6%	10.2%	6.1%	0.0%	1.6%	-0.6%	6.5K	-172.5K	-914	0.00	107.53	N/A	N/A	0	0	100	107
2015-05-19	$41.97	$40.00	8.3%	2.4%	10.2%	5.0%	0.0%	3.5%	0.4%	5.2K	-131.2K	-1.2K	0.10	94.39	N/A	N/A	10	1	100	107
2015-05-20	$41.97	$40.00	8.8%	2.5%	10.2%	5.7%	7.8%	5.1%	-0.4%	5.6K	-240.6K	-1.3K	0.91	106.07	N/A	N/A	77	70	123	108
2015-05-21	$41.93	$40.00	8.8%	2.5%	10.1%	5.7%	7.8%	1.4%	-0.1%	8.4K	-249.4K	-1.2K	0.85	109.40	N/A	N/A	82	70	123	108
2015-05-22	$41.82	$40.00	8.2%	2.3%	10.2%	4.8%	8.0%	4.1%	0.1%	7.1K	-221.0K	-1.3K	0.85	106.96	N/A	N/A	82	70	123	108
2015-05-26	$41.45	$40.00	10.1%	2.9%	10.3%	7.6%	8.7%	1.5%	2.1%	7.3K	-186.1K	-1.3K	1.22	103.87	N/A	N/A	78	95	123	108
2015-05-27	$41.74	$40.00	9.3%	2.7%	10.5%	6.4%	8.5%	1.3%	-1.7%	4.0K	-180.2K	-1.4K	1.22	104.81	N/A	N/A	78	95	124	133
2015-05-28	$41.71	$40.00	9.4%	2.7%	10.2%	6.6%	9.0%	2.7%	-0.7%	5.3K	-177.3K	-1.4K	1.22	104.71	N/A	N/A	78	95	125	133
2015-05-29	$41.48	$40.00	9.8%	2.8%	9.8%	7.1%	9.8%	1.3%	3.3%	2.5K	-136.0K	-1.6K	1.22	104.25	N/A	N/A	78	95	125	133