USMV Options History — August 2015

In August 2015, USMV traded between $38.95 and $42.63. ATM implied volatility averaged 15.4%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.3% (HV 20d: 11.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2015-08-20: Highest Volume — 2,936 contracts
  • 2015-08-24: Largest IV spike — 233.4% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.46$38.95$42.63$41.98$40.09
Max Pain$40.20$40.00$42.00$42.00$40.00
ATM IV15.4%7.0%61.5%8.3%20.0%
Expected Move4.4%2.0%17.6%2.4%5.7%
HV 20d11.1%7.2%19.7%8.7%19.7%
HV 60d10.3%8.7%13.8%9.2%13.8%
IV Rank22.2%3.6%100.0%8.0%25.3%
IV Percentile66.0%6.7%100.0%28.2%96.8%
Term Structure-2.4%-46.3%2.5%2.5%-2.6%
VWIV15.3%7.5%56.9%8.3%20.4%
Skew 25d5.7%0.8%18.7%1.2%7.2%
Skew 10d7.0%1.6%20.8%1.9%9.2%
Call IV 25d13.5%6.1%81.0%7.7%16.2%
Put IV 25d19.2%8.5%99.8%8.9%23.5%
Bid-Ask Spread %99.2368.30158.77107.0395.56
Gamma HHI0.750.590.870.600.87
Net GEX608.8K78.3K1.2M79.2K892.5K
Net DEX-4.8M-10.4M-740.5K-752.4K-3.0M
Net VEX-9.3K-15.9K-3.1K-3.5K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.006.006.000.45
Total Volume1,176.47632,93614510
Total OI2,268.2385223,1565223,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$41.98$0.008.3%2.4%8.7%8.0%8.3%1.2%2.5%79.2K-752.4K-3.5K6.00107.03N/AN/A212392130
2015-08-04$41.90$42.008.5%2.4%8.3%8.9%8.5%0.8%1.8%84.0K-783.1K-3.6K0.26102.95N/AN/A34690404139
2015-08-05$42.20$42.008.5%2.4%7.7%8.8%8.1%2.8%1.9%79.9K-872.3K-3.6K0.26108.11N/AN/A34690404139
2015-08-06$41.96$40.0011.0%3.0%8.1%17.5%8.0%4.7%0.3%78.3K-786.9K-3.6K0.2691.37N/AN/A34690404139
2015-08-07$41.92$40.009.4%3.0%7.6%11.9%10.8%3.9%0.2%90.2K-740.5K-3.5K0.26101.23N/AN/A34890404139
2015-08-10$42.18$40.008.2%2.5%7.5%7.9%8.4%4.0%1.1%107.6K-865.2K-3.3K0.0391.70N/AN/A2,58290407139
2015-08-11$42.12$40.0011.5%3.1%7.5%19.2%10.9%4.7%0.7%1.1M-8.4M-11.6K2.00105.54N/AN/A122,642128
2015-08-12$42.22$40.0010.8%3.1%7.5%16.6%8.8%4.9%0.3%1.2M-8.8M-10.3K0.04101.31N/AN/A2,581992,652138
2015-08-13$42.25$40.009.7%2.8%7.2%13.1%11.9%5.7%0.8%814.9K-8.4M-11.9K0.04101.86N/AN/A2,581992,652158
2015-08-14$42.44$40.0010.8%3.1%7.3%16.7%7.8%5.2%0.7%916.1K-9.2M-9.4K0.04104.31N/AN/A2,581992,652158
2015-08-17$42.63$40.007.0%2.0%7.4%3.6%7.5%4.5%1.3%855.1K-10.4M-3.1K0.0470.92N/AN/A2,581992,652158
2015-08-18$42.62$40.008.5%2.4%7.2%8.9%9.6%4.1%1.5%660.8K-9.1M-9.8K0.0468.30N/AN/A2,581992,652158
2015-08-19$42.47$40.0012.8%3.7%7.3%23.7%13.2%3.1%-1.1%708.6K-8.7M-11.0K0.0086.77N/AN/A26402,642147
2015-08-20$41.89$40.0012.9%3.7%8.8%24.0%16.0%2.9%-0.5%878.9K-8.2M-14.6K0.0399.15N/AN/A2,837992,899158
2015-08-21$40.84$40.0018.4%5.3%12.7%43.1%18.0%7.1%-4.1%846.2K-5.4M-15.9K0.1791.29N/AN/A6031002,899158
2015-08-24$39.51$40.0061.5%17.6%17.2%100.0%56.9%18.7%-46.3%286.4K-4.8M-15.3K0.26158.77N/AN/A353922,906159
2015-08-25$38.95$40.0025.0%7.2%16.9%34.2%23.6%6.6%-4.3%518.6K-1.8M-10.2K0.24106.09N/AN/A383922,905159
2015-08-26$39.71$40.0018.8%5.4%18.4%23.1%22.8%10.2%-3.5%700.9K-2.1M-11.1K0.4093.19N/AN/A3831532,935159
2015-08-27$40.38$40.0020.9%6.0%19.6%27.0%22.1%10.1%0.0%994.7K-3.4M-13.3K0.44105.49N/AN/A3481532,935220
2015-08-28$40.38$40.0020.1%5.8%19.6%25.5%20.1%7.8%-2.1%903.3K-3.9M-13.7K0.4492.95N/AN/A3481532,936220
2015-08-31$40.09$40.0020.0%5.7%19.7%25.3%20.4%7.2%-2.6%892.5K-3.0M-11.9K0.4595.56N/AN/A3521582,936220