USMV Options History — June 2015

In June 2015, USMV traded between $40.33 and $41.57. ATM implied volatility averaged 9.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.3% (HV 20d: 8.5%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-06-18: Highest Volume — 215 contracts
  • 2015-06-19: Largest IV spike — 67.7% change
  • 2015-06-30: Highest IV Rank — 35.4%
  • 2015-06-30: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.06$40.33$41.57$41.54$40.39
Max Pain$39.00$38.00$42.00$40.00$38.00
ATM IV9.8%6.1%15.3%8.7%15.3%
Expected Move2.8%1.7%4.4%2.5%4.4%
HV 20d8.5%7.2%10.1%9.4%10.1%
HV 60d9.6%8.8%11.2%11.2%9.2%
IV Rank15.0%4.8%35.4%5.6%35.4%
IV Percentile52.2%2.4%97.2%42.5%97.2%
Term Structure0.6%-1.5%3.4%-0.3%-1.5%
VWIV9.3%6.8%13.4%10.7%12.6%
Skew 25d2.3%0.1%4.3%2.4%2.4%
Skew 10d4.3%0.5%9.1%3.6%2.4%
Call IV 25d9.0%7.2%12.4%9.8%12.1%
Put IV 25d11.3%8.1%14.5%12.2%14.5%
Bid-Ask Spread %98.2182.23109.19106.4582.23
Gamma HHI0.250.200.360.360.20
Net GEX4.7K-54011.8K6.0K3.9K
Net DEX-103.6K-212.1K7.0K-160.1K-21.3K
Net VEX-1.5K-1.6K-1.2K-1.4K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.821.351.220.82
Total Volume176.5910215173175
Total OI265.227245290259261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$41.54$40.008.7%2.5%9.4%5.6%10.7%2.4%-0.3%6.0K-160.1K-1.4K1.22106.45N/AN/A7895126133
2015-06-02$41.41$40.0011.2%3.2%9.4%9.1%0.0%3.5%-0.9%-540-118.7K-1.4K0.00107.63N/AN/A00113133
2015-06-03$41.37$40.0010.3%3.0%8.5%7.9%10.9%3.0%0.2%3.7K-140.2K-1.5K1.22109.19N/AN/A7895126133
2015-06-04$41.10$42.0010.5%3.1%8.8%8.0%9.6%1.5%0.1%3.5K-125.4K-1.5K1.2293.84N/AN/A7895126133
2015-06-05$40.90$42.0010.3%2.7%8.6%18.7%10.8%2.1%1.3%1.9K-114.7K-1.4K1.1983.02N/AN/A8095126133
2015-06-08$40.73$42.0011.1%2.9%7.5%21.2%13.4%1.5%0.4%1.8K-75.9K-1.5K1.1993.36N/AN/A8095126133
2015-06-09$40.65$42.0011.3%2.7%7.3%22.2%8.2%3.1%0.5%1.2K-61.6K-1.5K1.35101.98N/AN/A80108126133
2015-06-10$41.01$38.008.8%2.5%8.1%13.7%8.1%2.1%1.3%391-106.4K-1.4K1.35104.47N/AN/A80108126146
2015-06-11$41.17$38.009.0%2.6%8.2%14.5%6.8%3.3%0.8%1.0K-124.5K-1.3K1.14108.28N/AN/A95108126147
2015-06-12$40.95$38.009.2%2.6%7.2%14.9%7.5%4.3%1.8%5.2K-134.6K-1.5K1.1490.52N/AN/A95108143147
2015-06-15$40.72$38.008.5%2.4%7.2%12.8%8.2%3.9%0.4%5.2K-77.0K-1.5K1.14102.98N/AN/A95108143147
2015-06-16$40.98$38.009.0%2.6%7.6%14.5%7.3%3.2%0.9%5.6K-102.8K-1.5K1.1484.59N/AN/A95108143147
2015-06-17$41.15$38.007.0%2.0%7.8%7.7%8.2%1.6%3.4%9.4K-116.8K-1.5K1.14103.52N/AN/A95108143147
2015-06-18$41.56$38.006.1%1.7%8.7%4.8%7.4%4.3%2.0%8.3K-212.1K-1.3K1.01103.32N/AN/A107108143147
2015-06-19$41.44$38.0010.2%2.9%8.7%18.5%10.1%0.2%1.0%5.4K-175.1K-1.6K1.0191.62N/AN/A107108141147
2015-06-22$41.57$38.006.2%1.8%8.8%5.2%7.0%3.6%1.2%9.2K-129.5K-1.3K1.15108.50N/AN/A8699120125
2015-06-23$41.49$38.007.7%2.2%8.2%10.2%7.3%0.8%1.2%11.8K-123.9K-1.2K0.9296.66N/AN/A8679120125
2015-06-24$41.02$38.009.6%2.7%8.8%16.3%9.3%1.4%0.2%5.7K-68.7K-1.5K0.92102.90N/AN/A8679120130
2015-06-25$40.91$38.009.6%2.8%8.8%16.4%9.4%0.1%0.1%6.5K-42.4K-1.5K0.9297.71N/AN/A8679120130
2015-06-26$40.96$38.0010.0%2.9%8.6%17.8%9.8%1.6%-0.1%5.5K-54.0K-1.5K0.92102.72N/AN/A8679120130
2015-06-29$40.33$38.0015.0%4.3%10.1%34.2%13.1%1.6%-1.5%2.7K7.0K-1.6K0.8285.05N/AN/A9679120131
2015-06-30$40.39$38.0015.3%4.4%10.1%35.4%12.6%2.4%-1.5%3.9K-21.3K-1.6K0.8282.23N/AN/A9679130131