USMV Options History — December 2015

In December 2015, USMV traded between $41.14 and $42.44. ATM implied volatility averaged 12.1%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 2.3% (HV 20d: 14.4%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-12-18: Highest Volume — 645 contracts
  • 2015-12-31: Largest IV spike — 31.1% change
  • 2015-12-31: Highest IV Rank — 17.0%
  • 2015-12-31: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.92$41.14$42.44$42.32$41.93
Max Pain$41.40$41.00$42.00$41.00$42.00
ATM IV12.1%8.9%15.4%11.9%15.4%
Expected Move3.4%2.6%4.4%3.4%4.4%
HV 20d14.4%11.2%16.1%11.2%15.6%
HV 60d13.1%12.3%13.7%13.0%12.3%
IV Rank11.1%5.3%17.0%10.7%17.0%
IV Percentile62.8%20.2%88.9%65.1%88.9%
Term Structure0.7%-2.8%3.7%-0.4%-2.8%
VWIV11.8%8.9%15.9%15.9%15.3%
Skew 25d4.2%0.1%19.9%0.8%1.2%
Skew 10d8.6%-1.3%31.5%-1.3%1.3%
Call IV 25d10.8%7.1%14.9%9.7%13.8%
Put IV 25d15.0%10.5%27.7%10.5%15.0%
Bid-Ask Spread %111.1470.69150.51150.51110.36
Gamma HHI0.440.270.680.430.29
Net GEX192.3K39.5K420.7K171.2K44.5K
Net DEX-1.4M-2.7M-421.7K-1.6M-421.7K
Net VEX-2.7K-4.1K-1.3K-2.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.071.671.160.39
Total Volume324.18206450352
Total OI667.545277946734376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$42.32$41.0011.9%3.4%11.2%10.7%0.0%0.8%-0.4%171.2K-1.6M-2.3K0.00150.51N/AN/A00616118
2015-12-02$41.90$41.0011.8%3.4%11.7%10.5%15.9%6.4%-1.7%249.6K-1.8M-2.1K1.16112.60N/AN/A105122626118
2015-12-03$41.35$0.0015.0%3.9%12.4%16.3%0.0%0.1%0.1%235.2K-1.2M-2.3K1.16122.90N/AN/A105122626118
2015-12-04$42.20$0.0012.4%2.6%14.6%11.6%0.0%5.6%1.8%194.9K-1.7M-2.0K1.67122.26N/AN/A73122626118
2015-12-07$42.13$0.0012.7%3.1%14.2%12.2%0.0%2.1%0.8%279.4K-1.7M-1.5K0.00126.56N/AN/A01618118
2015-12-08$42.08$0.0011.7%3.4%14.0%10.3%0.0%6.1%0.7%332.9K-1.8M-1.3K0.44129.51N/AN/A273120628117
2015-12-09$41.67$0.0011.4%3.3%14.4%9.8%0.0%5.7%3.2%280.1K-1.9M-4.1K0.44118.01N/AN/A272120828117
2015-12-10$41.62$0.0011.2%3.2%14.3%9.4%0.0%7.0%1.9%332.5K-1.9M-3.9K0.44102.92N/AN/A272120829117
2015-12-11$41.14$0.0014.2%4.1%14.0%14.9%0.0%6.0%0.9%319.5K-1.5M-3.9K0.35101.30N/AN/A27296829117
2015-12-14$41.43$0.0014.2%4.1%13.8%14.8%0.0%2.0%0.9%333.3K-1.5M-3.4K0.35102.17N/AN/A2729682998
2015-12-15$41.81$0.0011.4%3.3%13.3%9.9%0.0%7.8%3.7%336.9K-2.0M-3.3K0.35107.11N/AN/A2729682998
2015-12-16$42.42$0.0011.3%3.2%14.2%9.6%0.0%2.7%2.2%322.5K-2.7M-2.4K0.36106.73N/AN/A2729982998
2015-12-17$42.03$0.0013.1%3.7%14.1%12.8%0.0%5.3%-0.9%420.7K-2.3M-2.9K0.33103.31N/AN/A2979982996
2015-12-18$41.45$0.0011.9%3.4%15.0%10.7%0.0%0.6%2.8%39.5K-1.6M-2.5K0.18105.51N/AN/A5469982792
2015-12-21$41.61$41.0011.4%3.3%15.0%9.9%9.4%1.0%-0.3%41.8K-743.6K-2.4K0.07105.94N/AN/A2341726512
2015-12-22$41.94$41.0012.2%3.5%15.3%11.2%12.2%2.6%-0.6%39.6K-775.8K-2.4K0.10108.80N/AN/A2782826517
2015-12-23$42.36$41.0010.3%3.0%15.7%7.9%10.7%4.5%-2.7%63.5K-874.9K-2.3K0.35111.49N/AN/A2789830928
2015-12-24$42.07$41.0010.9%3.1%15.9%8.9%10.8%1.3%1.4%43.7K-425.6K-3.0K0.35104.54N/AN/A2789827998
2015-12-28$42.07$42.008.9%2.6%15.9%5.3%8.9%19.9%3.6%57.9K-443.0K-2.9K0.3570.69N/AN/A2789827898
2015-12-29$42.44$42.0011.4%3.3%16.1%9.8%11.8%1.5%0.7%44.4K-483.4K-2.8K0.35113.28N/AN/A2789827898
2015-12-30$42.27$42.0011.8%3.4%15.7%10.5%11.6%1.5%1.0%46.4K-501.2K-2.8K0.35108.57N/AN/A2789827898
2015-12-31$41.93$42.0015.4%4.4%15.6%17.0%15.3%1.2%-2.8%44.5K-421.7K-2.8K0.39110.36N/AN/A2549827898