USMV Options History — May 2016

In May 2016, USMV traded between $43.71 and $44.77. ATM implied volatility averaged 9.8%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 9.0%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 6.68.

Notable Days

  • 2016-05-20: Highest Volume — 1,631 contracts
  • 2016-05-11: Largest IV spike — 45.9% change
  • 2016-05-03: Highest IV Rank — 10.8%
  • 2016-05-03: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.22$43.71$44.77$44.15$44.50
Max Pain$42.95$42.00$44.00$44.00$43.00
ATM IV9.8%7.3%11.9%11.0%8.8%
Expected Move2.9%2.2%3.4%3.1%2.5%
HV 20d9.0%7.5%10.5%8.9%9.5%
HV 60d8.8%8.4%9.5%9.5%8.6%
IV Rank7.0%2.5%10.8%9.0%5.1%
IV Percentile28.0%3.2%56.3%41.7%13.9%
Term Structure1.1%-1.5%3.4%-0.7%2.8%
VWIV10.7%7.7%12.7%10.8%9.5%
Skew 25d4.3%0.1%11.2%1.3%7.5%
Skew 10d9.6%-0.5%33.3%-0.5%33.3%
Call IV 25d8.9%6.9%13.0%10.7%11.0%
Put IV 25d13.2%10.8%21.1%12.0%18.5%
Bid-Ask Spread %84.0536.58110.84102.6991.76
Gamma HHI0.550.430.750.570.59
Net GEX284.6K-13.4K431.1K264.8K414.4K
Net DEX-1.7M-3.4M631.9K-2.3M-1.8M
Net VEX-19.9K-26.6K-14.9K-16.0K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.683.8511.044.3910.56
Total Volume1,038.8576521,6317221,549
Total OI3,013.3812,5393,7912,5393,302

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$44.15$44.0011.0%3.1%8.9%9.0%10.8%1.3%-0.7%264.8K-2.3M-16.0K4.39102.69N/AN/A1345881,652887
2016-05-03$43.99$44.0011.9%3.4%8.4%10.8%12.0%4.4%-1.5%249.5K-2.0M-16.4K4.4236.58N/AN/A1335881,678887
2016-05-04$44.04$44.0011.8%3.4%7.9%10.5%11.7%2.5%0.9%182.8K-2.1M-15.9K4.3999.16N/AN/A1345881,679887
2016-05-05$44.02$42.0010.5%3.4%7.5%8.2%12.7%4.6%0.5%231.3K-2.2M-16.7K4.1499.61N/AN/A1375671,681887
2016-05-06$44.21$42.008.4%3.2%7.6%4.4%10.5%2.3%1.2%411.8K-2.4M-15.5K3.8886.01N/AN/A1375321,684889
2016-05-09$44.40$42.0010.7%3.1%7.7%8.6%11.2%4.4%1.0%306.5K-2.7M-15.5K4.1771.49N/AN/A1305421,684939
2016-05-10$44.77$42.007.3%2.2%8.0%2.5%9.9%5.4%1.4%382.4K-3.4M-15.4K4.0264.90N/AN/A1305221,704999
2016-05-11$44.40$43.0010.7%3.1%8.6%8.6%10.2%4.3%2.0%249.7K-2.9M-16.3K4.4288.67N/AN/A1305751,7041,034
2016-05-12$44.54$43.008.7%2.5%8.6%4.9%10.3%3.9%0.8%319.3K-2.9M-15.6K4.2364.53N/AN/A1305501,7041,144
2016-05-13$44.25$43.0010.7%3.1%8.9%8.5%10.7%4.5%0.9%234.5K-2.5M-16.0K4.0086.02N/AN/A1355401,7041,144
2016-05-16$44.60$43.008.1%2.3%9.1%3.8%11.5%4.2%2.5%359.3K-2.9M-14.9K3.8596.07N/AN/A1355201,7041,164
2016-05-17$44.37$43.0010.8%3.1%9.2%8.7%11.9%3.9%0.7%263.1K-2.7M-15.6K3.8561.14N/AN/A1355201,7041,189
2016-05-18$43.73$43.009.6%2.8%10.5%6.6%12.1%0.1%1.7%89.0K99.9K-26.6K10.7797.50N/AN/A1251,3461,7042,061
2016-05-19$43.75$43.0011.6%3.3%9.6%10.2%12.0%2.1%0.3%-13.4K631.9K-25.9K11.04100.65N/AN/A1251,3801,7242,067
2016-05-20$43.83$43.0010.0%2.9%9.6%7.4%10.9%6.4%1.5%276.0K188.6K-25.3K8.8889.54N/AN/A1651,4661,7242,052
2016-05-23$43.71$43.0010.8%3.1%9.6%8.7%11.1%3.7%-0.5%288.9K239.5K-25.0K8.1989.53N/AN/A1661,3601,6261,541
2016-05-24$44.17$43.007.8%2.2%10.3%3.4%8.8%4.0%2.1%418.3K-620.5K-24.7K10.9396.03N/AN/A1231,3441,6871,577
2016-05-25$44.26$43.009.0%2.6%10.2%5.5%7.7%3.8%-0.9%380.6K-1.1M-25.2K10.0348.65N/AN/A1341,3441,7111,576
2016-05-26$44.37$43.007.7%2.2%9.9%3.2%7.8%11.2%3.4%431.1K-1.4M-24.8K10.0483.68N/AN/A1341,3451,7221,576
2016-05-27$44.48$43.0010.2%2.9%9.9%7.7%11.9%6.4%3.4%236.2K-1.6M-25.4K10.11110.84N/AN/A1331,3451,7221,577
2016-05-31$44.50$43.008.8%2.5%9.5%5.1%9.5%7.5%2.8%414.4K-1.8M-23.9K10.5691.76N/AN/A1341,4151,7251,577