USMV Options History — April 2016

In April 2016, USMV traded between $43.77 and $44.50. ATM implied volatility averaged 9.6%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.2% (HV 20d: 8.4%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-04-28: Highest Volume — 1,278 contracts
  • 2016-04-07: Largest IV spike — 30.8% change
  • 2016-04-12: Highest IV Rank — 9.7%
  • 2016-04-08: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.04$43.77$44.50$44.31$43.77
Max Pain$44.76$43.00$45.00$43.00$44.00
ATM IV9.6%7.7%11.4%9.3%9.8%
Expected Move2.8%2.4%3.1%2.7%2.8%
HV 20d8.4%7.4%9.2%7.4%8.3%
HV 60d11.3%9.4%13.2%13.2%9.4%
IV Rank6.6%3.2%9.7%6.1%7.0%
IV Percentile24.9%5.6%49.2%21.0%27.4%
Term Structure0.7%-1.1%3.8%3.8%0.2%
VWIV9.0%7.0%11.6%7.0%11.6%
Skew 25d3.4%0.5%5.5%4.8%2.5%
Skew 10d6.3%-2.3%16.4%-2.3%16.4%
Call IV 25d8.1%5.4%12.1%7.1%10.5%
Put IV 25d11.5%10.3%13.0%11.9%13.0%
Bid-Ask Spread %88.7244.35107.57101.5566.65
Gamma HHI0.670.500.740.580.50
Net GEX352.4K229.6K478.9K295.0K229.6K
Net DEX-2.6M-3.6M-1.6M-2.0M-1.6M
Net VEX-15.6K-17.1K-10.9K-10.9K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.274.331.934.33
Total Volume866.9522401,278258741
Total OI2,013.4291,4342,5011,4342,501

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$44.31$43.009.3%2.7%7.4%6.1%7.0%4.8%3.8%295.0K-2.0M-10.9K1.93101.55N/AN/A881701,142292
2016-04-04$44.19$45.009.2%2.9%7.6%5.9%9.5%3.9%0.5%239.8K-2.1M-11.3K2.4382.50N/AN/A701701,142292
2016-04-05$43.82$45.008.5%2.9%8.3%4.5%8.2%3.4%1.1%266.1K-1.8M-11.0K0.3397.08N/AN/A5121701,142292
2016-04-06$44.17$45.007.7%2.9%8.5%3.2%7.8%0.5%0.6%423.1K-3.1M-16.6K0.28103.14N/AN/A6031701,663292
2016-04-07$43.85$45.0010.1%2.9%9.1%7.4%8.5%2.1%1.2%388.0K-2.9M-17.0K0.3097.89N/AN/A5921751,663292
2016-04-08$43.92$45.009.0%3.1%9.1%5.6%8.2%4.2%0.7%383.8K-3.0M-17.1K0.30102.99N/AN/A5891751,674302
2016-04-11$43.83$45.0010.8%3.0%8.0%8.8%9.0%3.0%0.7%423.7K-3.1M-16.7K0.3199.93N/AN/A5891801,674302
2016-04-12$44.06$45.0011.4%2.9%8.2%9.7%8.8%4.8%0.0%463.9K-3.0M-15.5K0.30100.35N/AN/A6101801,674307
2016-04-13$44.09$45.0010.3%2.9%8.1%7.7%8.2%1.5%0.7%447.1K-3.3M-16.5K0.30102.72N/AN/A6051801,690307
2016-04-14$43.99$45.0010.6%3.0%8.0%8.4%8.6%5.5%-1.1%478.9K-3.1M-16.1K0.27103.42N/AN/A6751801,690307
2016-04-15$44.16$45.008.4%2.4%7.9%4.4%7.3%3.6%1.2%354.8K-3.6M-16.2K0.41104.36N/AN/A6752791,745307
2016-04-18$44.43$45.009.2%2.6%8.2%5.8%8.7%5.0%0.5%370.3K-3.1M-16.0K0.4568.17N/AN/A6002701,550393
2016-04-19$44.50$45.009.7%2.8%8.2%6.8%9.2%3.6%0.5%345.3K-3.3M-15.7K0.6499.70N/AN/A6023861,582394
2016-04-20$44.31$45.009.7%2.8%8.3%6.7%7.8%2.9%0.7%327.8K-2.7M-16.7K0.7192.18N/AN/A6024261,590510
2016-04-21$43.78$45.0010.1%2.9%9.2%7.4%10.3%4.0%0.6%340.3K-2.1M-16.5K0.8391.30N/AN/A6024991,590540
2016-04-22$43.90$45.009.3%2.7%9.2%6.1%9.9%1.5%0.2%329.2K-2.0M-16.6K0.8494.44N/AN/A6045091,590629
2016-04-25$43.94$45.008.9%2.6%9.2%5.3%9.4%2.9%1.0%331.1K-1.8M-15.7K0.8055.22N/AN/A6285051,589659
2016-04-26$43.94$45.0010.0%2.9%8.3%7.2%9.8%4.4%-0.9%325.9K-2.0M-16.4K0.7647.57N/AN/A6645051,613679
2016-04-27$44.13$44.009.2%2.6%8.4%5.9%10.0%2.1%2.2%296.0K-2.4M-16.8K0.76107.57N/AN/A6534951,652679
2016-04-28$43.83$44.0010.2%2.9%8.7%7.6%11.1%5.0%-0.9%341.1K-2.0M-16.7K0.9644.35N/AN/A6536251,652699
2016-04-29$43.77$44.009.8%2.8%8.3%7.0%11.6%2.5%0.2%229.6K-1.6M-16.3K4.3366.65N/AN/A1396021,652849