USMV Options History — February 2016

In February 2016, USMV traded between $39.92 and $42.23. ATM implied volatility averaged 15.6%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.7% (HV 20d: 16.2%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.15.

Notable Days

  • 2016-02-19: Highest Volume — 459 contracts
  • 2016-02-08: Largest IV spike — 40.5% change
  • 2016-02-09: Highest IV Rank — 30.5%
  • 2016-02-11: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.07$39.92$42.23$41.42$41.77
Max Pain$38.55$37.00$40.00$40.00$39.00
ATM IV15.6%11.5%22.9%13.0%14.1%
Expected Move4.4%3.3%5.8%3.7%4.0%
HV 20d16.2%12.2%19.0%19.0%12.2%
HV 60d15.6%15.3%15.8%15.4%15.7%
IV Rank17.3%10.0%30.5%12.7%14.7%
IV Percentile78.1%53.2%98.0%72.2%71.8%
Term Structure-0.1%-3.0%3.1%3.1%-2.6%
VWIV16.6%11.5%23.3%11.5%17.0%
Skew 25d4.8%1.5%9.2%5.3%2.5%
Skew 10d7.8%-3.1%15.8%10.0%-1.2%
Call IV 25d13.8%9.2%20.2%11.1%14.5%
Put IV 25d18.5%14.3%23.6%16.4%17.0%
Bid-Ask Spread %103.3787.64116.25109.93116.25
Gamma HHI0.420.220.540.460.22
Net GEX86.6K26.9K159.6K90.9K73.3K
Net DEX-423.9K-845.9K74.2K-487.7K-610.7K
Net VEX-2.4K-2.8K-2.0K-2.5K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.376.042.221.23
Total Volume205.85131459161138
Total OI570.15453690453690

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$41.42$40.0013.0%3.7%19.0%12.7%11.5%5.3%3.1%90.9K-487.7K-2.5K2.22109.93N/AN/A50111337116
2016-02-02$40.96$40.0015.6%4.5%18.5%17.4%15.9%8.3%0.0%83.0K-447.4K-2.7K2.22109.57N/AN/A50111337116
2016-02-03$41.07$40.0014.1%4.0%18.2%14.7%15.3%1.5%-0.7%107.6K-379.5K-2.5K2.22108.44N/AN/A50111337118
2016-02-04$40.92$37.0014.5%3.9%18.0%15.4%17.9%4.7%1.1%96.7K-362.0K-2.4K2.0293.03N/AN/A55111337118
2016-02-05$40.40$37.0015.2%4.7%18.1%16.6%17.8%4.9%0.1%94.3K-290.3K-2.5K1.9599.07N/AN/A61119347118
2016-02-08$40.07$37.0021.3%5.3%17.6%27.7%18.6%2.4%-1.1%65.2K-165.7K-2.3K2.4895.18N/AN/A48119339121
2016-02-09$40.09$37.0022.9%5.2%17.5%30.5%20.9%9.2%-1.0%65.4K-163.1K-2.3K2.4896.50N/AN/A48119337121
2016-02-10$40.21$37.0019.2%5.5%17.5%23.8%21.3%3.9%-1.3%81.3K-224.9K-2.3K2.4894.09N/AN/A48119337121
2016-02-11$39.92$37.0020.3%5.8%16.7%25.8%20.7%7.5%-1.6%61.4K-91.4K-2.2K6.0487.64N/AN/A48290337121
2016-02-12$40.38$39.0018.8%5.4%16.8%23.1%18.3%4.8%-0.5%45.6K74.2K-2.8K5.1398.39N/AN/A56287337292
2016-02-16$40.81$39.0015.4%4.4%16.5%17.0%23.3%4.5%1.3%90.1K-212.7K-2.5K3.4299.78N/AN/A84287341293
2016-02-17$41.27$39.0012.5%3.6%16.7%11.8%15.9%6.6%1.7%148.0K-555.9K-2.2K1.37103.86N/AN/A87119380293
2016-02-18$41.33$39.0015.7%4.5%15.2%17.5%17.3%6.0%-3.0%159.6K-560.9K-2.4K1.3598.56N/AN/A92124382290
2016-02-19$41.36$39.0013.9%4.0%15.2%14.4%13.5%5.0%2.3%26.9K-845.9K-2.0K0.37111.44N/AN/A335124387295
2016-02-22$41.76$39.0013.2%3.8%14.6%13.0%12.2%3.2%1.5%90.3K-591.1K-2.3K1.47108.90N/AN/A5378330289
2016-02-23$41.63$39.0013.6%3.9%14.3%13.8%15.9%4.6%-1.9%49.4K-507.8K-2.8K1.07113.14N/AN/A7378356299
2016-02-24$41.76$39.0011.5%3.3%13.9%10.0%12.5%3.0%1.3%112.8K-575.6K-2.5K1.01108.10N/AN/A7778376299
2016-02-25$42.23$39.0011.8%3.4%14.0%10.5%12.7%4.5%1.9%109.0K-723.1K-2.4K1.24106.73N/AN/A6378375299
2016-02-26$41.97$39.0015.0%4.3%14.4%16.2%14.4%3.3%-1.9%80.5K-756.5K-2.5K1.23108.73N/AN/A6276386299
2016-02-29$41.77$39.0014.1%4.0%12.2%14.7%17.0%2.5%-2.6%73.3K-610.7K-2.7K1.23116.25N/AN/A6276388302