USMV Options History — July 2015

In July 2015, USMV traded between $40.78 and $41.91. ATM implied volatility averaged 10.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.3% (HV 20d: 10.4%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-07-21: Highest Volume — 434 contracts
  • 2015-07-28: Largest IV drop — 48.7% change
  • 2015-07-09: Highest IV Rank — 35.2%
  • 2015-07-09: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.41$40.78$41.91$40.78$41.91
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV10.2%5.9%15.3%11.0%6.8%
Expected Move2.7%1.7%3.9%3.2%2.0%
HV 20d10.4%8.8%11.4%10.8%8.8%
HV 60d9.6%9.3%10.0%9.4%9.3%
IV Rank16.9%0.8%35.2%21.1%3.0%
IV Percentile51.5%0.4%96.8%71.0%4.4%
Term Structure0.1%-1.7%3.5%-1.3%3.5%
VWIV11.6%11.4%11.9%11.4%11.9%
Skew 25d3.5%-0.7%6.7%2.5%1.0%
Skew 10d5.1%0.9%11.5%7.9%1.9%
Call IV 25d8.6%6.9%11.2%11.2%6.9%
Put IV 25d12.1%7.9%15.6%13.7%7.9%
Bid-Ask Spread %98.5581.03108.92107.55107.39
Gamma HHI0.350.190.630.210.58
Net GEX34.0K4.2K102.4K6.1K73.1K
Net DEX-326.6K-744.3K-54.8K-54.8K-744.3K
Net VEX-2.3K-3.9K-1.2K-1.5K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.260.900.820.26
Total Volume288.409175434175434
Total OI375.727261543261543

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$40.78$38.0011.0%3.2%10.8%21.1%11.4%2.5%-1.3%6.1K-54.8K-1.5K0.82107.55N/AN/A9679130131
2015-07-02$40.85$38.0012.2%3.5%10.6%24.9%11.9%0.5%-0.8%5.7K-72.3K-1.6K0.82108.55N/AN/A9679130131
2015-07-06$40.83$0.0012.0%3.1%10.5%24.2%0.0%6.5%1.3%5.8K-64.3K-1.5K0.7897.73N/AN/A10179130131
2015-07-07$41.21$0.0012.6%3.4%10.9%26.2%0.0%5.1%0.9%6.8K-159.7K-1.6K0.7899.53N/AN/A10179145131
2015-07-08$40.84$0.0014.8%3.7%11.4%33.4%0.0%4.4%0.0%6.6K-127.5K-1.6K0.8995.84N/AN/A10190145131
2015-07-09$40.87$0.0015.3%3.9%10.9%35.2%0.0%4.0%-0.3%4.2K-106.5K-1.7K0.8995.30N/AN/A10190145142
2015-07-10$41.26$0.0012.9%3.4%11.4%27.3%0.0%3.5%-0.2%5.8K-146.2K-1.6K0.9097.68N/AN/A10191145142
2015-07-13$41.53$0.0011.6%2.2%11.4%23.1%0.0%4.2%-0.5%6.8K-179.3K-1.4K0.9099.67N/AN/A10191145143
2015-07-14$41.63$0.0013.1%2.7%11.1%28.0%0.0%2.9%-1.6%7.2K-213.0K-1.4K0.90102.45N/AN/A10191145143
2015-07-15$41.58$0.009.1%2.6%11.0%14.6%0.0%3.6%-0.9%6.2K-220.4K-1.4K0.9088.72N/AN/A10191145143
2015-07-16$41.86$0.007.8%2.2%11.1%10.3%0.0%3.3%0.3%8.4K-244.0K-1.2K0.90107.76N/AN/A10191145143
2015-07-17$41.78$0.006.9%2.0%10.6%5.7%0.0%3.5%0.6%5.2K-222.8K-1.3K0.90108.92N/AN/A10191145143
2015-07-20$41.77$0.008.7%2.5%10.6%11.8%0.0%4.0%-1.7%5.5K-220.4K-1.2K0.8681.03N/AN/A10590140141
2015-07-21$41.60$0.008.7%2.5%10.6%11.9%0.0%3.8%0.2%7.1K-229.2K-1.4K0.2683.49N/AN/A34490151141
2015-07-22$41.61$0.007.9%2.3%10.6%9.0%0.0%3.3%-0.5%81.7K-633.6K-3.9K0.26103.53N/AN/A34490402141
2015-07-23$41.39$0.009.0%2.6%9.9%11.8%0.0%-0.7%0.8%78.5K-567.8K-3.7K0.2694.59N/AN/A34490402141
2015-07-24$41.27$0.0010.6%3.0%9.9%17.3%0.0%0.3%0.3%77.6K-526.1K-3.8K0.26101.93N/AN/A34490402141
2015-07-27$41.09$0.0011.6%3.3%10.1%20.1%0.0%5.6%-0.6%71.0K-480.6K-3.7K0.2691.60N/AN/A34490402141
2015-07-28$41.56$0.005.9%1.7%9.0%0.8%0.0%6.7%1.0%90.8K-568.9K-3.6K0.2695.85N/AN/A34490402141
2015-07-29$41.86$0.006.6%1.9%9.2%2.2%0.0%5.1%1.5%84.8K-699.7K-3.7K0.2697.28N/AN/A34490402141
2015-07-30$41.88$0.008.5%2.4%8.8%8.8%0.0%3.1%-0.7%102.4K-703.9K-3.5K0.26101.71N/AN/A34490402141
2015-07-31$41.91$0.006.8%2.0%8.8%3.0%0.0%1.0%3.5%73.1K-744.3K-3.8K0.26107.39N/AN/A34490402141