USMV Options History — March 2016

In March 2016, USMV traded between $42.26 and $44.01. ATM implied volatility averaged 10.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.3% (HV 20d: 9.4%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2016-03-16: Highest Volume — 917 contracts
  • 2016-03-08: Largest IV spike — 50.1% change
  • 2016-03-08: Highest IV Rank — 17.2%
  • 2016-03-08: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.13$42.26$44.01$42.26$43.99
Max Pain$42.00$39.00$43.00$39.00$43.00
ATM IV10.6%7.6%15.5%11.1%9.5%
Expected Move3.0%2.2%3.9%3.2%2.7%
HV 20d9.4%7.1%12.7%12.7%7.1%
HV 60d14.4%13.2%15.7%15.7%13.2%
IV Rank8.4%3.0%17.2%9.3%6.3%
IV Percentile37.4%5.2%81.0%44.4%22.6%
Term Structure0.7%-2.9%4.0%0.2%-2.9%
VWIV11.0%7.8%15.3%12.2%9.5%
Skew 25d5.5%-0.2%18.7%1.6%0.6%
Skew 10d7.6%-0.4%34.2%2.9%7.4%
Call IV 25d8.9%6.1%14.7%14.7%7.9%
Put IV 25d14.4%7.5%25.7%16.3%8.5%
Bid-Ask Spread %103.9774.03116.93116.93104.04
Gamma HHI0.380.200.670.310.55
Net GEX173.4K24.1K367.8K119.1K266.8K
Net DEX-1.4M-2.8M-765.1K-814.2K-1.9M
Net VEX-5.9K-11.4K-1.9K-2.3K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.124.061.190.44
Total Volume394.182140917140556
Total OI1,033.8186901,5356901,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$42.26$39.0011.1%3.2%12.7%9.3%12.2%1.6%0.2%119.1K-814.2K-2.3K1.19116.93N/AN/A6476388302
2016-03-02$42.42$39.0011.2%3.2%11.9%9.5%9.8%5.7%2.1%88.7K-917.9K-1.9K1.19112.74N/AN/A6476390302
2016-03-03$42.53$42.0012.3%3.0%11.9%11.5%11.1%4.2%0.6%65.9K-765.1K-2.4K1.19102.56N/AN/A6476390302
2016-03-04$42.61$42.0011.1%3.3%11.8%9.3%12.3%2.6%2.0%99.0K-899.4K-2.1K1.19108.20N/AN/A6476390302
2016-03-07$42.53$42.0010.3%3.2%10.5%7.9%11.3%6.1%1.3%96.0K-897.7K-2.0K1.10101.20N/AN/A8796390302
2016-03-08$42.42$42.0015.5%3.9%9.9%17.2%10.4%6.0%-0.4%82.0K-779.7K-2.4K1.10104.75N/AN/A8796410322
2016-03-09$42.53$42.0011.1%3.2%9.9%9.2%11.7%5.7%0.5%82.6K-877.1K-2.3K1.20102.45N/AN/A8096410322
2016-03-10$42.57$42.0010.7%3.1%9.9%8.5%12.5%8.2%1.0%92.3K-850.6K-2.1K1.57103.13N/AN/A6196410322
2016-03-11$43.14$42.0011.2%3.2%9.8%9.4%11.6%6.3%0.6%24.1K-1.1M-2.1K0.12105.55N/AN/A77196411322
2016-03-14$43.14$42.0012.2%3.5%9.5%11.2%13.6%6.9%0.9%367.8K-2.3M-7.8K0.18103.38N/AN/A7711361,120322
2016-03-15$43.11$42.0010.3%2.9%9.2%7.8%11.1%5.5%0.3%332.0K-2.0M-7.8K0.16105.53N/AN/A7711261,120362
2016-03-16$43.36$42.0010.4%3.0%8.7%7.9%15.3%7.0%0.2%318.6K-2.6M-7.8K0.16111.93N/AN/A7911261,141374
2016-03-17$43.58$42.007.6%2.2%8.7%3.0%10.6%6.3%4.0%294.2K-2.7M-8.4K0.1676.20N/AN/A7911261,161374
2016-03-18$43.67$42.008.5%2.4%8.7%4.6%12.3%4.8%2.3%143.2K-2.8M-8.2K0.46106.29N/AN/A2731261,161374
2016-03-21$43.67$42.0011.6%3.3%8.3%10.2%12.8%4.1%-1.0%135.8K-1.1M-8.3K2.67109.81N/AN/A40107761189
2016-03-22$43.56$42.009.2%2.6%8.3%5.8%10.0%2.2%1.1%153.7K-958.5K-7.7K1.09109.00N/AN/A121132761187
2016-03-23$43.33$43.0011.4%3.3%8.7%9.8%9.8%5.8%-0.3%178.9K-1.1M-8.7K3.10106.33N/AN/A42130832212
2016-03-24$43.27$43.0010.1%2.9%8.0%7.5%9.8%18.7%-0.1%201.0K-983.1K-7.7K3.1774.03N/AN/A41130831212
2016-03-28$43.39$43.0012.3%3.5%7.6%11.4%9.1%7.1%-1.0%166.7K-1.1M-8.1K4.06106.26N/AN/A32130832212
2016-03-29$43.88$43.008.6%2.5%7.9%4.7%8.3%6.1%1.0%209.4K-1.4M-7.4K0.36106.97N/AN/A363130834212
2016-03-30$44.01$43.007.6%2.2%7.1%3.0%7.8%-0.2%2.7%296.5K-2.1M-10.6K0.44110.13N/AN/A3851701,127212
2016-03-31$43.99$43.009.5%2.7%7.1%6.3%9.5%0.6%-2.9%266.8K-1.9M-11.4K0.44104.04N/AN/A3861701,142292