USMV Options History — September 2015

In September 2015, USMV traded between $39.06 and $40.49. ATM implied volatility averaged 17.4%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 4.2% (HV 20d: 21.6%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2015-09-18: Highest Volume — 2,799 contracts
  • 2015-09-02: Largest IV drop — 39.9% change
  • 2015-09-01: Highest IV Rank — 37.4%
  • 2015-09-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.76$39.06$40.49$39.06$39.62
Max Pain$38.67$36.00$40.00$40.00$40.00
ATM IV17.4%14.4%26.7%26.7%16.2%
Expected Move4.9%4.1%7.7%7.7%4.6%
HV 20d21.6%16.3%24.5%21.4%16.3%
HV 60d15.7%14.8%16.3%14.8%16.3%
IV Rank20.6%15.2%37.4%37.4%18.4%
IV Percentile92.1%83.7%98.8%98.8%91.7%
Term Structure-0.7%-6.0%0.8%-6.0%-0.3%
VWIV19.0%10.8%27.8%24.8%15.1%
Skew 25d5.6%0.8%9.4%5.2%6.2%
Skew 10d9.8%-2.3%18.5%3.2%7.0%
Call IV 25d14.6%9.6%21.9%21.9%14.6%
Put IV 25d20.2%15.4%27.1%27.1%20.9%
Bid-Ask Spread %97.6190.52104.9195.73101.09
Gamma HHI0.650.330.930.830.39
Net GEX522.4K67.3K1.9M497.5K95.7K
Net DEX-1.1M-2.5M-293.6K-1.6M-397.6K
Net VEX-5.8K-9.5K-3.7K-9.5K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.000.590.450.42
Total Volume53522,799510420
Total OI2,239.9057533,1623,151763

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$39.06$40.0026.7%7.7%21.4%37.4%24.8%5.2%-6.0%497.5K-1.6M-9.5K0.4595.73N/AN/A3521582,926225
2015-09-02$39.55$40.0016.1%4.6%21.8%18.2%19.1%6.7%0.7%585.5K-1.2M-8.0K0.4599.04N/AN/A3531602,926225
2015-09-03$39.79$36.0018.6%5.0%22.1%22.9%26.0%6.2%-1.0%791.9K-2.1M-9.5K0.4592.15N/AN/A3531602,927228
2015-09-04$39.32$36.0022.1%5.6%22.3%29.0%24.9%6.9%-0.8%533.5K-1.2M-7.5K0.4590.52N/AN/A3531602,928228
2015-09-08$40.02$36.0019.0%4.4%23.3%23.4%0.0%7.0%0.5%886.3K-2.2M-8.4K0.0094.09N/AN/A1002,918217
2015-09-09$39.41$36.0019.3%5.5%23.7%24.1%24.8%5.8%-2.4%669.6K-1.7M-7.5K0.4792.80N/AN/A3431602,928228
2015-09-10$39.51$36.0016.1%4.6%23.7%18.2%27.8%7.9%-0.2%628.3K-1.3M-6.9K0.4392.43N/AN/A3431482,930228
2015-09-11$39.75$36.0015.7%4.5%23.9%17.6%26.5%6.6%0.4%616.6K-1.1M-6.0K0.4392.49N/AN/A3431482,930229
2015-09-14$39.65$36.0016.9%4.8%23.7%19.7%25.2%5.0%-0.8%611.1K-1.0M-5.4K0.4394.35N/AN/A3431492,930229
2015-09-15$40.09$40.0014.5%4.2%24.1%15.5%10.8%9.4%-0.2%987.9K-1.6M-5.7K0.0099.23N/AN/A022,920219
2015-09-16$40.42$40.0015.6%4.5%24.4%17.3%14.3%5.2%-0.5%1.5M-2.1M-5.9K0.4499.57N/AN/A3421502,930231
2015-09-17$40.49$40.0015.2%4.4%24.5%16.6%14.6%3.3%-0.5%1.9M-2.5M-5.5K0.59104.91N/AN/A3422022,930231
2015-09-18$40.13$40.0015.6%4.5%24.3%17.4%14.2%4.4%-0.2%95.2K-661.2K-4.3K0.08101.19N/AN/A2,5952042,930232
2015-09-21$40.34$40.0015.1%4.3%22.8%16.5%14.5%3.5%0.8%98.5K-578.8K-4.4K0.4399.13N/AN/A294125587167
2015-09-22$39.78$40.0015.0%4.3%20.0%16.3%13.8%6.7%0.6%87.0K-458.5K-4.1K0.43101.17N/AN/A294125586167
2015-09-23$40.05$40.0014.4%4.1%19.3%15.2%13.0%7.3%-0.2%98.3K-462.3K-4.0K0.43101.25N/AN/A294125586167
2015-09-24$40.00$40.0014.8%4.2%18.1%15.9%13.5%5.4%0.3%94.7K-439.4K-4.0K0.43102.00N/AN/A294125586167
2015-09-25$39.81$40.0016.8%4.8%17.1%19.5%17.2%4.2%-0.7%86.5K-485.9K-4.1K0.4399.51N/AN/A294125586167
2015-09-28$39.06$40.0021.6%6.2%18.3%28.2%20.2%0.8%-2.8%67.3K-305.5K-3.7K0.4397.87N/AN/A294125586167
2015-09-29$39.12$40.0020.3%5.8%18.2%25.8%18.8%4.2%-2.2%68.3K-293.6K-3.7K0.4199.23N/AN/A303125586167
2015-09-30$39.62$40.0016.2%4.6%16.3%18.4%15.1%6.2%-0.3%95.7K-397.6K-3.8K0.42101.09N/AN/A295125596167