USMV Options History — October 2015

In October 2015, USMV traded between $39.33 and $42.23. ATM implied volatility averaged 13.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.7% (HV 20d: 14.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2015-10-07: Highest Volume — 439 contracts
  • 2015-10-09: Largest IV spike — 178.1% change
  • 2015-10-09: Highest IV Rank — 47.4%
  • 2015-10-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.26$39.33$42.23$39.33$42.04
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.1%8.0%32.3%18.4%11.3%
Expected Move3.6%2.3%5.3%5.3%3.2%
HV 20d14.8%10.7%17.4%15.9%10.7%
HV 60d17.1%16.3%17.4%16.3%17.3%
IV Rank12.9%3.7%47.4%22.4%9.5%
IV Percentile64.0%14.3%99.2%92.5%60.3%
Term Structure0.3%-6.4%8.7%0.3%0.2%
VWIV14.1%8.5%29.4%13.4%11.8%
Skew 25d4.4%1.6%6.4%5.2%2.1%
Skew 10d9.5%0.2%25.4%4.4%1.5%
Call IV 25d13.6%9.3%57.9%15.3%11.1%
Put IV 25d18.0%13.2%62.7%20.5%13.2%
Bid-Ask Spread %117.9592.82143.28100.67132.31
Gamma HHI0.410.390.450.390.42
Net GEX151.8K85.4K217.3K85.4K185.8K
Net DEX-1.1M-1.6M-393.1K-393.1K-1.5M
Net VEX-4.0K-4.5K-3.4K-3.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.200.440.420.20
Total Volume395.0913439420410
Total OI752.455711788763736

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$39.33$40.0018.4%5.3%15.9%22.4%13.4%5.2%0.3%85.4K-393.1K-3.8K0.42100.67N/AN/A295125596167
2015-10-02$40.04$40.0014.5%4.2%17.1%15.4%14.3%6.2%0.1%113.9K-534.7K-4.1K0.42101.55N/AN/A301125603167
2015-10-05$40.71$0.009.4%3.9%17.4%6.2%0.0%6.4%-0.0%134.9K-703.6K-4.2K0.0096.60N/AN/A03593167
2015-10-06$40.43$0.0013.1%4.3%16.6%12.9%15.5%3.7%0.6%124.4K-679.4K-4.2K0.4293.83N/AN/A308130603170
2015-10-07$40.66$40.0010.9%3.9%15.5%8.9%15.3%5.4%0.1%127.9K-770.1K-4.3K0.4292.82N/AN/A309130610172
2015-10-08$41.00$40.0011.6%4.2%15.7%10.2%14.8%3.1%0.7%122.0K-927.3K-4.3K0.42109.95N/AN/A309130611172
2015-10-09$41.03$40.0032.3%4.9%15.6%47.4%29.4%4.8%8.7%100.4K-924.3K-4.5K0.42143.28N/AN/A309130611177
2015-10-12$41.21$40.0016.6%3.6%15.6%19.1%15.3%6.1%0.9%158.0K-926.7K-4.2K0.42120.15N/AN/A309130611177
2015-10-13$41.01$40.0014.6%3.6%15.4%15.6%14.7%5.2%0.8%133.6K-916.5K-4.3K0.42121.91N/AN/A309130600177
2015-10-14$40.74$40.0011.1%3.2%15.4%9.3%17.4%5.5%0.7%142.2K-756.6K-4.1K0.43124.64N/AN/A303130600177
2015-10-15$41.24$40.0010.8%3.1%15.9%8.7%16.1%3.1%-0.0%184.4K-884.7K-3.9K0.44126.00N/AN/A303133600177
2015-10-16$41.49$40.0013.3%3.8%15.6%13.2%15.0%2.1%-3.4%143.0K-1.1M-4.3K0.43127.46N/AN/A304130600181
2015-10-19$41.56$40.008.0%2.3%15.5%3.7%12.3%6.2%-0.2%174.7K-1.0M-4.0K0.22124.11N/AN/A30867593118
2015-10-20$41.48$40.0016.7%4.8%14.5%19.3%15.1%5.2%-6.4%166.3K-1.1M-4.1K0.22109.37N/AN/A30867598118
2015-10-21$41.36$40.0012.2%3.5%14.5%11.2%12.4%4.6%1.3%149.2K-1.1M-4.2K0.22106.39N/AN/A30867598118
2015-10-22$41.97$40.0010.6%3.1%15.2%8.4%10.0%3.9%-0.9%182.1K-1.3M-4.0K0.21123.22N/AN/A31567598118
2015-10-23$42.01$40.009.6%2.8%14.9%6.6%9.2%3.6%2.3%160.7K-1.4M-4.0K0.21121.68N/AN/A31567606118
2015-10-26$42.04$40.009.3%2.7%12.6%5.9%8.5%5.2%2.5%217.3K-1.5M-3.5K0.21132.94N/AN/A31567606118
2015-10-27$41.97$40.0010.7%3.1%12.7%8.5%10.3%3.8%0.7%202.3K-1.5M-3.4K0.20122.86N/AN/A34167606118
2015-10-28$42.18$40.0010.5%3.0%12.3%8.3%10.9%4.4%-1.0%162.0K-1.5M-3.8K0.20131.34N/AN/A34167621113
2015-10-29$42.23$40.0013.8%4.0%11.7%14.1%13.6%1.6%-0.3%169.4K-1.6M-3.6K0.20131.82N/AN/A34169621113
2015-10-30$42.04$40.0011.3%3.2%10.7%9.5%11.8%2.1%0.2%185.8K-1.5M-3.7K0.20132.31N/AN/A34169621115