USMV Options History — June 2016

In June 2016, USMV traded between $44.30 and $46.16. ATM implied volatility averaged 11.2%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.0% (HV 20d: 8.1%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 10.48.

Notable Days

  • 2016-06-17: Highest Volume — 2,304 contracts
  • 2016-06-27: Largest IV spike — 37.2% change
  • 2016-06-27: Highest IV Rank — 21.0%
  • 2016-06-27: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.95$44.30$46.16$44.52$46.16
Max Pain$43.95$43.00$44.00$43.00$44.00
ATM IV11.2%6.8%17.6%9.7%9.8%
Expected Move3.2%2.4%5.1%2.8%2.8%
HV 20d8.1%5.0%11.6%9.3%11.6%
HV 60d8.5%8.1%9.7%8.6%9.7%
IV Rank9.4%1.6%21.0%6.8%7.0%
IV Percentile42.8%1.6%89.3%24.6%23.8%
Term Structure0.2%-4.5%3.1%-2.9%0.7%
VWIV11.9%8.8%15.5%10.4%10.6%
Skew 25d4.4%1.3%7.9%2.5%1.9%
Skew 10d7.7%1.6%21.8%6.4%19.8%
Call IV 25d9.8%6.3%13.1%10.1%12.5%
Put IV 25d14.2%10.3%19.8%12.6%14.4%
Bid-Ask Spread %92.3756.60107.9282.0892.98
Gamma HHI0.450.350.560.540.35
Net GEX186.1K65.1K392.5K328.4K65.1K
Net DEX-1.8M-3.0M266.0K-1.5M-2.5M
Net VEX-22.8K-24.1K-19.9K-24.1K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.481.9713.5410.1810.20
Total Volume1,514.7731,2922,3041,5541,366
Total OI3,240.5912,7803,5313,3843,128

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$44.52$43.009.7%2.8%9.3%6.8%10.4%2.5%-2.9%328.4K-1.5M-24.1K10.1882.08N/AN/A1391,4151,7261,658
2016-06-02$44.68$44.006.8%2.5%9.4%1.6%8.8%4.8%1.7%392.5K-1.9M-23.2K10.1878.13N/AN/A1391,4151,7201,658
2016-06-03$44.83$44.008.3%2.4%9.4%4.2%9.6%3.4%1.8%352.7K-2.2M-22.9K10.2197.88N/AN/A1391,4191,7201,658
2016-06-06$44.84$44.009.7%2.7%9.4%6.7%10.6%4.1%0.5%269.4K-2.4M-22.7K8.9567.06N/AN/A1611,4411,7201,668
2016-06-07$44.86$44.007.9%2.7%9.3%3.6%9.9%4.3%2.3%256.5K-2.3M-23.2K8.9595.34N/AN/A1611,4411,7461,691
2016-06-08$45.10$44.009.3%2.7%9.0%6.1%11.9%5.5%3.0%202.1K-2.6M-23.9K10.7565.05N/AN/A1341,4411,7461,691
2016-06-09$45.25$44.009.5%2.7%8.4%6.4%10.1%4.0%0.5%90.3K-3.0M-21.4K10.2356.60N/AN/A1411,4431,7441,706
2016-06-10$45.04$44.0011.8%3.4%8.6%10.6%11.6%2.9%-1.8%205.3K-2.8M-22.6K10.2394.99N/AN/A1391,4221,7521,708
2016-06-13$44.80$44.0011.6%3.3%8.5%10.2%13.0%7.0%-0.8%126.2K-2.6M-22.3K9.37101.08N/AN/A1521,4241,7541,709
2016-06-14$44.86$44.0012.1%3.5%8.1%11.0%14.3%6.6%1.2%195.0K-2.2M-22.4K9.36105.98N/AN/A1521,4231,7621,710
2016-06-15$44.76$44.0013.4%3.8%7.9%13.4%13.2%5.2%-0.3%262.5K-2.1M-23.3K9.98107.92N/AN/A1521,5171,7621,711
2016-06-16$45.01$44.0011.3%3.2%5.7%9.6%11.1%5.6%0.8%225.2K-2.4M-22.2K8.7898.60N/AN/A1691,4841,7621,735
2016-06-17$44.82$44.0010.1%2.9%6.1%7.5%12.5%6.3%3.1%127.1K-2.6M-22.8K1.97102.55N/AN/A7761,5281,7911,740
2016-06-20$45.01$44.0012.6%3.6%6.2%11.9%12.5%4.0%-0.8%123.0K-1.2M-23.4K13.0994.97N/AN/A951,2441,3501,430
2016-06-21$44.96$44.0010.7%3.1%6.0%8.6%10.8%4.8%0.9%136.6K-938.3K-23.3K12.8080.83N/AN/A941,2031,3501,471
2016-06-22$44.94$44.0011.9%3.4%5.0%10.6%14.1%3.6%0.4%126.9K-881.0K-23.5K12.9590.67N/AN/A941,2171,3781,493
2016-06-23$45.28$44.0014.1%4.0%5.6%14.6%13.5%1.3%-3.0%116.5K-1.3M-22.6K12.59101.58N/AN/A961,2091,3811,518
2016-06-24$44.66$44.0012.8%3.7%7.6%12.4%15.5%3.4%-0.8%122.4K-381.6K-23.7K13.54106.63N/AN/A961,3001,3931,523
2016-06-27$44.30$44.0017.6%5.1%8.2%21.0%14.3%7.9%-4.5%112.5K266.0K-23.6K13.20100.61N/AN/A911,2011,3931,639
2016-06-28$44.82$44.0012.8%3.7%9.2%12.4%12.7%3.1%-0.2%151.0K-667.0K-22.7K12.76104.86N/AN/A941,1991,3951,651
2016-06-29$45.42$44.0011.6%3.3%10.3%10.1%11.5%4.3%1.7%106.7K-1.5M-21.8K10.32105.71N/AN/A1201,2391,4001,652
2016-06-30$46.16$44.009.8%2.8%11.6%7.0%10.6%1.9%0.7%65.1K-2.5M-19.9K10.2092.98N/AN/A1221,2441,4141,714