USMV Options History — August 2016

In August 2016, USMV traded between $45.96 and $46.94. ATM implied volatility averaged 9.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.9% (HV 20d: 5.3%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 14.36.

Notable Days

  • 2016-08-04: Highest Volume — 7,108 contracts
  • 2016-08-16: Largest IV spike — 30.7% change
  • 2016-08-29: Highest IV Rank — 16.8%
  • 2016-08-29: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.44$45.96$46.94$46.94$46.00
Max Pain$46.04$46.00$47.00$46.00$46.00
ATM IV9.2%7.9%11.1%8.3%9.6%
Expected Move2.7%2.3%3.2%2.4%2.7%
HV 20d5.3%4.8%6.5%6.1%5.1%
HV 60d8.5%8.0%9.3%9.2%8.2%
IV Rank6.2%2.0%16.8%2.7%10.9%
IV Percentile19.6%4.4%46.0%6.7%25.4%
Term Structure1.0%-0.4%4.2%0.7%1.3%
VWIV10.4%6.6%13.3%8.2%10.5%
Skew 25d3.8%-0.3%6.0%2.5%1.8%
Skew 10d7.4%-0.2%19.9%9.3%2.5%
Call IV 25d7.9%5.7%14.1%7.7%10.4%
Put IV 25d11.8%10.2%14.1%10.2%12.2%
Bid-Ask Spread %82.4557.41103.5996.13103.59
Gamma HHI0.480.400.660.610.49
Net GEX-6.6M-15.0M-2.4M-2.4M-15.0M
Net DEX12.4M3.7M26.3M3.7M24.9M
Net VEX-90.1K-111.0K-73.3K-82.9K-75.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.360.0050.005.346.59
Total Volume3,576.478107,1081,5082,399
Total OI18,147.04312,01823,08112,01823,081

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$46.94$46.008.3%2.4%6.1%2.7%8.2%2.5%0.7%-2.4M3.7M-82.9K5.3496.13N/AN/A2381,2703,6728,346
2016-08-02$46.74$46.008.2%2.3%6.3%2.5%9.2%1.3%-0.4%-2.5M4.2M-87.8K28.6198.81N/AN/A2386,8093,6718,401
2016-08-03$46.52$46.008.6%2.5%6.5%3.2%9.3%1.5%-0.1%-4.1M11.8M-111.0K28.5897.81N/AN/A2386,8033,67113,418
2016-08-04$46.55$46.009.2%2.9%6.3%4.4%13.3%5.9%0.3%-4.3M12.0M-106.0K22.3085.24N/AN/A3056,8033,67113,401
2016-08-05$46.65$46.008.0%2.5%4.8%2.2%11.9%4.7%0.9%-4.7M10.2M-100.7K23.8785.69N/AN/A2856,8033,70513,401
2016-08-08$46.54$46.008.1%3.0%4.9%2.4%12.7%5.3%-0.1%-4.2M11.0M-102.5K25.9773.57N/AN/A2626,8033,70413,401
2016-08-09$46.66$46.008.7%2.5%4.9%3.5%12.2%4.6%0.5%-4.8M9.3M-95.1K25.8778.28N/AN/A2636,8033,71813,401
2016-08-10$46.67$46.009.4%2.7%4.8%4.8%12.8%5.5%-0.2%-4.4M8.8M-95.5K25.2073.92N/AN/A2706,8033,71813,401
2016-08-11$46.78$46.007.9%2.3%4.8%2.0%11.1%4.7%2.0%-5.4M6.2M-85.1K7.2582.99N/AN/A2751,9953,71813,401
2016-08-12$46.72$46.007.9%2.3%4.8%2.0%10.6%4.8%4.2%-5.1M7.8M-92.7K4.6175.65N/AN/A2751,2693,72413,815
2016-08-15$46.63$46.008.1%2.3%4.8%2.3%11.4%4.8%1.8%-5.0M8.4M-91.0K4.7672.95N/AN/A2751,3093,72413,852
2016-08-16$46.28$46.0010.6%3.0%5.5%6.9%10.6%4.2%0.9%-5.5M10.2M-88.4K4.9072.43N/AN/A3391,6603,72413,872
2016-08-17$46.33$46.009.2%2.6%5.4%4.3%9.2%6.0%1.8%-7.5M10.7M-85.6K50.0092.50N/AN/A105003,78714,225
2016-08-18$46.48$46.009.1%2.6%5.6%4.2%0.0%2.4%1.7%-7.7M6.7M-73.3K0.0072.09N/AN/A1003,79714,725
2016-08-19$46.33$46.009.7%2.8%5.1%5.4%10.0%2.7%1.3%-6.7M13.6M-95.4K5.1457.41N/AN/A2611,3423,80414,725
2016-08-22$46.40$46.008.7%2.5%5.1%3.5%8.2%1.8%2.0%-8.3M9.4M-77.3K4.9673.20N/AN/A2541,2603,70614,730
2016-08-23$46.40$46.0010.0%2.9%5.1%5.8%10.2%3.6%0.5%-6.6M9.3M-80.2K4.9687.78N/AN/A2541,2603,74114,731
2016-08-24$46.15$46.0010.6%3.0%5.0%15.0%6.6%5.3%0.0%-7.2M14.2M-83.7K0.0085.77N/AN/A01,6883,73614,731
2016-08-25$46.14$47.009.3%2.7%4.8%9.9%7.4%5.4%1.4%-9.1M22.5M-88.7K1.7889.01N/AN/A9121,6263,74116,419
2016-08-26$45.96$46.009.9%2.8%4.8%12.0%11.2%-0.3%1.4%-9.5M20.9M-93.7K11.7595.83N/AN/A3163,7144,41216,700
2016-08-29$46.21$46.0011.1%3.2%5.3%16.8%11.0%5.5%0.5%-12.2M26.3M-89.9K11.7572.29N/AN/A3163,7144,41218,568
2016-08-30$46.01$46.0011.0%3.2%5.3%16.5%10.5%4.3%0.1%-10.6M23.6M-91.0K11.7573.44N/AN/A3163,7144,51218,569
2016-08-31$46.00$46.009.6%2.7%5.1%10.9%10.5%1.8%1.3%-15.0M24.9M-75.3K6.59103.59N/AN/A3162,0834,51218,569