USMV Options History — November 2015

In November 2015, USMV traded between $40.84 and $42.38. ATM implied volatility averaged 12.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.3%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2015-11-10: Highest Volume — 410 contracts
2015-11-11: Largest IV spike — 225.9% change
2015-11-11: Highest IV Rank — 43.7%
2015-11-11: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.81	$40.84	$42.38	$42.32	$41.87
Max Pain	$40.85	$40.00	$41.00	$40.00	$41.00
ATM IV	12.3%	9.3%	30.2%	10.3%	12.1%
Expected Move	3.6%	2.4%	8.7%	3.0%	3.5%
HV 20d	10.3%	8.8%	12.1%	9.4%	10.8%
HV 60d	16.0%	13.1%	17.7%	17.3%	13.1%
IV Rank	11.3%	6.0%	43.7%	7.8%	11.0%
IV Percentile	59.6%	33.7%	98.4%	47.6%	66.7%
Term Structure	1.2%	-2.8%	12.9%	1.8%	-2.8%
VWIV	12.8%	8.5%	18.6%	9.4%	9.9%
Skew 25d	4.5%	-1.5%	11.3%	3.4%	-1.5%
Skew 10d	5.1%	-0.4%	12.2%	3.4%	2.5%
Call IV 25d	9.6%	6.2%	13.7%	10.3%	13.5%
Put IV 25d	14.1%	11.1%	18.9%	13.7%	12.0%
Bid-Ask Spread %	128.25	102.86	156.48	127.39	156.48
Gamma HHI	0.45	0.42	0.66	0.43	0.44
Net GEX	234.2K	171.8K	540.3K	171.8K	173.4K
Net DEX	-1.4M	-1.7M	-937.8K	-1.6M	-1.4M
Net VEX	-3.0K	-3.6K	-2.3K	-3.4K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	1.16	0.21	1.16
Total Volume	221.9	0	410	390	0
Total OI	748	734	760	736	734

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$42.32	$40.00	10.3%	3.0%	9.4%	7.8%	9.4%	3.4%	1.8%	171.8K	-1.6M	-3.4K	0.21	127.39	N/A	N/A	321	69	621	115
2015-11-03	$42.38	$40.00	10.0%	2.9%	8.8%	7.4%	8.5%	1.8%	3.2%	175.1K	-1.7M	-3.5K	0.21	109.45	N/A	N/A	321	69	621	115
2015-11-04	$42.14	$40.00	11.1%	3.2%	9.2%	9.3%	13.9%	0.9%	-0.9%	196.9K	-1.6M	-3.2K	0.25	130.04	N/A	N/A	321	79	621	115
2015-11-05	$42.13	$41.00	9.4%	3.7%	8.9%	6.3%	9.9%	3.1%	-0.5%	186.7K	-1.5M	-3.5K	0.25	109.52	N/A	N/A	321	79	621	125
2015-11-06	$41.79	$41.00	11.2%	2.4%	9.5%	9.4%	0.0%	5.5%	1.1%	191.2K	-1.3M	-3.6K	0.00	129.37	N/A	N/A	11	0	611	125
2015-11-09	$41.49	$41.00	12.7%	3.7%	9.8%	12.1%	0.0%	6.6%	-0.5%	190.1K	-1.2M	-3.6K	0.00	122.50	N/A	N/A	0	0	622	125
2015-11-10	$41.68	$41.00	9.3%	3.1%	9.7%	6.0%	12.9%	5.4%	3.0%	220.1K	-1.3M	-3.3K	0.24	116.81	N/A	N/A	331	79	632	125
2015-11-11	$41.80	$41.00	30.2%	8.7%	9.3%	43.7%	15.9%	1.3%	12.9%	271.8K	-1.4M	-3.0K	0.24	147.68	N/A	N/A	331	79	635	125
2015-11-12	$41.21	$41.00	12.8%	3.7%	9.9%	12.3%	12.3%	5.7%	1.7%	196.2K	-1.1M	-3.4K	0.24	106.73	N/A	N/A	331	79	635	125
2015-11-13	$40.84	$41.00	12.8%	3.7%	10.1%	12.4%	14.6%	8.1%	0.0%	186.6K	-937.8K	-3.3K	0.24	140.64	N/A	N/A	331	79	635	125
2015-11-16	$41.42	$41.00	12.4%	3.6%	11.4%	11.6%	10.9%	3.3%	2.2%	252.8K	-948.8K	-2.7K	0.00	124.15	N/A	N/A	1	0	625	125
2015-11-17	$41.40	$41.00	13.4%	3.8%	11.4%	13.3%	18.6%	4.3%	-0.9%	205.7K	-1.1M	-3.2K	0.96	142.38	N/A	N/A	82	79	635	125
2015-11-18	$41.88	$41.00	11.9%	3.4%	12.1%	10.7%	16.2%	11.3%	-1.8%	191.5K	-1.4M	-3.1K	0.96	143.04	N/A	N/A	82	79	635	125
2015-11-19	$41.87	$41.00	11.3%	3.2%	10.9%	9.6%	12.9%	6.7%	0.5%	220.6K	-1.4M	-3.1K	0.96	120.09	N/A	N/A	82	79	635	125
2015-11-20	$41.96	$41.00	9.9%	2.9%	10.9%	7.2%	11.0%	7.0%	1.2%	540.3K	-1.6M	-2.7K	0.86	117.61	N/A	N/A	145	124	635	125
2015-11-23	$41.97	$41.00	10.4%	3.0%	10.9%	8.1%	0.0%	3.8%	2.1%	257.0K	-1.5M	-2.7K	0.00	139.03	N/A	N/A	0	0	619	118
2015-11-24	$41.98	$41.00	11.0%	3.2%	10.9%	9.1%	0.0%	6.6%	0.7%	252.6K	-1.5M	-2.7K	0.00	102.86	N/A	N/A	0	0	619	118
2015-11-25	$41.98	$41.00	12.1%	3.5%	10.7%	11.1%	14.4%	2.6%	0.4%	307.4K	-1.5M	-2.4K	1.16	141.51	N/A	N/A	105	122	626	118
2015-11-27	$42.07	$41.00	10.7%	3.1%	10.7%	8.6%	9.9%	4.7%	0.7%	295.8K	-1.7M	-2.3K	1.16	137.78	N/A	N/A	105	122	626	118
2015-11-30	$41.87	$41.00	12.1%	3.5%	10.8%	11.0%	0.0%	-1.5%	-2.8%	173.4K	-1.4M	-2.4K	0.00	156.48	N/A	N/A	0	0	616	118