USMV Options History — July 2016

In July 2016, USMV traded between $46.32 and $47.17. ATM implied volatility averaged 9.6%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded below realized volatility by 1.2% (HV 20d: 10.9%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 5.61.

Notable Days

  • 2016-07-26: Highest Volume — 10,330 contracts
  • 2016-07-11: Largest IV spike — 66.9% change
  • 2016-07-11: Highest IV Rank — 19.5%
  • 2016-07-07: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.81$46.32$47.17$46.32$46.93
Max Pain$45.30$44.00$46.00$44.00$46.00
ATM IV9.6%7.5%16.8%8.9%8.2%
Expected Move2.5%2.1%3.2%2.5%2.4%
HV 20d10.9%6.2%12.2%11.6%6.2%
HV 60d9.5%9.2%9.8%9.5%9.2%
IV Rank6.5%2.1%19.5%5.3%2.5%
IV Percentile22.9%2.4%86.9%13.1%6.0%
Term Structure1.0%-0.6%3.5%3.0%1.3%
VWIV9.3%6.0%12.9%6.0%9.1%
Skew 25d3.7%0.9%15.1%15.1%2.5%
Skew 10d5.9%-2.6%32.9%32.9%4.0%
Call IV 25d7.7%5.4%11.3%11.3%7.0%
Put IV 25d11.4%9.5%26.4%26.4%9.5%
Bid-Ask Spread %90.6434.71105.1382.89102.41
Gamma HHI0.350.230.630.340.62
Net GEX-312.8K-2.7M498.4K37.0K-2.6M
Net DEX-2.9M-6.9M5.5M-2.9M3.5M
Net VEX-32.9K-88.8K-12.1K-20.2K-84.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.610.4910.2010.205.21
Total Volume2,337.71,36610,3301,3661,483
Total OI4,939.52,99112,0203,14212,020

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$46.32$44.008.9%2.5%11.6%5.3%6.0%15.1%3.0%37.0K-2.9M-20.2K10.2082.89N/AN/A1221,2441,4231,719
2016-07-05$46.43$44.0010.1%2.9%11.6%7.4%11.7%4.5%2.9%38.9K-3.2M-18.7K10.20103.08N/AN/A1221,2441,4231,719
2016-07-06$46.55$44.0012.3%3.0%11.6%11.4%12.9%4.0%-0.6%46.9K-3.1M-19.2K9.75100.79N/AN/A1281,2481,4231,719
2016-07-07$46.32$44.0013.0%3.2%11.7%12.6%12.1%4.5%1.0%40.2K-2.9M-19.8K9.90100.24N/AN/A1261,2481,4331,723
2016-07-08$46.84$44.0010.1%2.1%12.2%7.4%10.0%4.4%0.5%99.7K-4.1M-14.0K9.3283.43N/AN/A1341,2491,4331,723
2016-07-11$46.88$44.0016.8%2.1%12.0%19.5%9.2%1.5%3.5%-163.9K-4.5M-12.1K8.7197.46N/AN/A1451,2631,4391,718
2016-07-12$46.79$44.0011.5%2.7%11.8%10.0%9.7%1.5%-0.6%-37.9K-3.8M-16.9K8.2894.48N/AN/A1541,2751,4521,740
2016-07-13$46.94$46.008.9%2.6%11.8%5.4%9.3%4.6%0.0%-83.3K-3.6M-18.2K8.1295.61N/AN/A1631,3241,4621,869
2016-07-14$47.00$46.009.0%2.6%11.7%5.6%9.5%5.4%0.5%-116.9K-3.9M-16.3K3.3687.60N/AN/A3881,3041,4831,869
2016-07-15$46.90$46.009.0%2.6%11.7%5.5%9.2%1.1%0.6%-19.7K-3.8M-16.8K2.1299.16N/AN/A5881,2451,6821,877
2016-07-18$46.89$46.009.2%2.6%11.5%5.8%9.3%0.9%0.5%-45.8K-3.2M-17.5K7.38100.42N/AN/A1631,2031,3641,627
2016-07-19$46.93$46.008.5%2.4%11.5%4.5%8.5%3.9%0.8%-88.1K-3.5M-15.1K4.6789.24N/AN/A2551,1901,3741,628
2016-07-20$47.00$46.009.1%2.6%11.4%5.6%9.1%4.2%0.4%-37.3K-3.3M-17.3K0.5034.71N/AN/A2,4261,2191,4461,633
2016-07-21$46.89$46.008.4%2.4%11.5%4.4%8.3%2.4%1.0%421.8K-6.2M-44.6K0.50103.47N/AN/A2,4211,2023,6281,690
2016-07-22$47.17$46.008.3%2.4%11.4%4.3%7.8%2.9%0.8%498.4K-6.9M-44.4K0.49104.51N/AN/A2,4091,1863,6381,704
2016-07-25$47.04$46.007.5%2.2%10.0%2.9%7.4%3.3%1.3%399.1K-6.9M-45.7K0.4944.64N/AN/A2,4081,1823,6471,712
2016-07-26$46.96$46.008.8%2.5%9.3%5.2%8.2%3.6%0.1%409.2K-6.6M-44.7K3.3096.05N/AN/A2,4047,9263,6491,719
2016-07-27$46.67$46.007.7%2.2%9.2%3.1%9.1%2.3%1.1%-2.3M5.5M-88.8K4.47105.13N/AN/A2701,2083,6498,336
2016-07-28$46.84$46.007.8%2.2%8.3%2.1%9.0%2.3%1.0%-2.7M4.4M-83.9K5.1687.42N/AN/A2411,2443,6518,346
2016-07-29$46.93$46.008.2%2.4%6.2%2.5%9.1%2.5%1.3%-2.6M3.5M-84.1K5.21102.41N/AN/A2391,2443,6748,346