USMV Options History — January 2016

In January 2016, USMV traded between $39.42 and $41.61. ATM implied volatility averaged 16.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.6% (HV 20d: 16.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2016-01-19: Highest Volume — 439 contracts
2016-01-08: Largest IV spike — 32.5% change
2016-01-11: Highest IV Rank — 29.2%
2016-01-20: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.38	$39.42	$41.61	$41.24	$41.24
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	16.7%	12.3%	22.1%	15.3%	12.8%
Expected Move	4.5%	3.1%	5.8%	4.0%	3.7%
HV 20d	16.1%	14.5%	19.1%	16.0%	19.1%
HV 60d	13.8%	12.8%	15.4%	12.8%	15.4%
IV Rank	19.3%	11.3%	29.2%	16.7%	12.4%
IV Percentile	88.2%	68.3%	98.0%	87.3%	71.4%
Term Structure	0.0%	-1.5%	3.0%	0.4%	-0.1%
VWIV	14.0%	9.0%	17.3%	13.4%	15.7%
Skew 25d	5.8%	2.4%	11.8%	2.9%	4.1%
Skew 10d	9.5%	1.7%	16.3%	9.1%	7.7%
Call IV 25d	13.2%	8.8%	20.0%	12.8%	9.3%
Put IV 25d	19.1%	13.5%	26.6%	15.7%	13.5%
Bid-Ask Spread %	103.59	98.18	112.46	101.16	109.97
Gamma HHI	0.41	0.33	0.54	0.33	0.54
Net GEX	49.3K	23.2K	107.9K	44.3K	107.9K
Net DEX	-175.2K	-417.9K	-45.4K	-301.7K	-417.9K
Net VEX	-2.4K	-2.9K	-2.1K	-2.8K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.00	2.36	0.39	0.00
Total Volume	282.684	4	439	352	4
Total OI	391.895	336	454	376	450

Daily Data (19 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
2016-01-04	$41.24	$40.00	15.3%	4.0%	16.0%	16.7%	13.4%	2.9%	0.4%	44.3K	-301.7K	-2.8K	0.39	101.16	N/A	N/A	254	98	278	98
2016-01-05	$41.61	$40.00	12.3%	3.3%	14.5%	11.3%	9.0%	6.0%	1.1%	52.5K	-334.5K	-2.7K	1.29	103.16	N/A	N/A	76	98	278	98
2016-01-06	$41.27	$40.00	15.9%	4.2%	14.7%	17.9%	13.0%	2.4%	-1.2%	60.7K	-343.4K	-2.9K	0.38	109.09	N/A	N/A	256	98	300	98
2016-01-07	$40.78	$40.00	15.3%	4.1%	15.2%	16.8%	12.3%	3.0%	1.0%	31.9K	-135.6K	-2.3K	0.38	100.77	N/A	N/A	256	98	240	98
2016-01-08	$40.20	$40.00	20.3%	4.7%	15.6%	25.8%	12.3%	5.0%	-0.8%	29.9K	-120.1K	-2.2K	0.42	103.36	N/A	N/A	256	108	240	98
2016-01-11	$40.34	$40.00	22.1%	4.7%	15.8%	29.2%	13.9%	5.5%	-0.5%	28.4K	-74.4K	-2.2K	0.41	98.27	N/A	N/A	262	108	240	108
2016-01-12	$40.52	$40.00	18.3%	3.1%	15.4%	22.2%	12.3%	4.6%	2.0%	31.6K	-94.8K	-2.1K	0.43	98.70	N/A	N/A	262	112	246	108
2016-01-13	$39.88	$40.00	15.6%	4.5%	16.0%	17.4%	13.6%	5.8%	1.7%	29.8K	-81.9K	-2.1K	0.43	107.17	N/A	N/A	258	112	246	112
2016-01-14	$40.27	$40.00	16.5%	4.7%	16.1%	18.9%	14.1%	10.4%	-0.8%	26.4K	-90.7K	-2.3K	0.43	101.14	N/A	N/A	258	112	248	112
2016-01-15	$39.76	$40.00	15.0%	4.3%	15.3%	16.3%	15.4%	8.0%	3.0%	23.2K	-64.0K	-2.4K	0.44	103.54	N/A	N/A	258	114	248	112
2016-01-19	$40.09	$40.00	17.8%	5.1%	15.6%	21.3%	15.9%	8.1%	-1.2%	30.3K	-51.1K	-2.2K	0.33	102.22	N/A	N/A	329	110	222	114
2016-01-20	$39.42	$40.00	20.3%	5.8%	16.0%	25.8%	17.3%	6.6%	-0.6%	40.8K	-69.8K	-2.5K	0.43	100.35	N/A	N/A	256	111	297	114
2016-01-21	$39.61	$40.00	17.1%	4.9%	16.0%	20.1%	17.1%	5.9%	-1.4%	49.2K	-45.4K	-2.3K	2.36	98.18	N/A	N/A	47	111	298	115
2016-01-22	$40.25	$40.00	15.7%	4.5%	16.9%	17.6%	15.1%	6.8%	-0.9%	56.4K	-166.4K	-2.4K	1.31	104.71	N/A	N/A	85	111	299	115
2016-01-25	$39.94	$40.00	16.0%	4.6%	16.4%	18.1%	14.0%	4.9%	0.0%	77.7K	-187.4K	-2.4K	1.31	103.57	N/A	N/A	85	111	338	116
2016-01-26	$40.40	$40.00	17.4%	5.0%	17.1%	20.7%	12.9%	11.8%	-0.0%	68.2K	-284.4K	-2.9K	1.31	107.33	N/A	N/A	85	111	338	116
2016-01-27	$40.19	$40.00	17.4%	5.0%	17.1%	20.6%	14.0%	5.7%	-1.5%	69.9K	-234.3K	-2.6K	1.31	112.46	N/A	N/A	85	111	338	116
2016-01-28	$40.30	$40.00	16.1%	4.6%	16.8%	18.2%	15.7%	3.4%	0.7%	76.7K	-230.5K	-2.5K	2.06	103.07	N/A	N/A	54	111	338	116
2016-01-29	$41.24	$40.00	12.8%	3.7%	19.1%	12.4%	0.0%	4.1%	-0.1%	107.9K	-417.9K	-2.4K	0.00	109.97	N/A	N/A	4	0	334	116