USMV Options History — September 2016

In September 2016, USMV traded between $44.84 and $46.43. ATM implied volatility averaged 12.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.1% (HV 20d: 11.7%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 10.31.

Notable Days

  • 2016-09-09: Highest Volume — 14,717 contracts
  • 2016-09-09: Largest IV spike — 118.2% change
  • 2016-09-09: Highest IV Rank — 67.8%
  • 2016-09-13: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.63$44.84$46.43$45.97$45.56
Max Pain$45.12$45.00$46.00$46.00$45.00
ATM IV12.8%9.0%24.1%11.0%9.4%
Expected Move3.4%2.7%4.8%3.2%2.7%
HV 20d11.7%5.1%14.9%5.1%14.9%
HV 60d9.6%8.1%10.7%8.2%9.6%
IV Rank23.7%8.5%67.8%16.4%10.0%
IV Percentile57.1%15.9%99.2%46.0%24.6%
Term Structure0.7%-2.0%2.6%0.4%0.8%
VWIV12.9%8.8%17.4%10.3%12.3%
Skew 25d5.0%2.9%8.3%5.2%2.9%
Skew 10d11.6%1.9%34.4%34.4%4.0%
Call IV 25d10.6%7.3%13.2%8.1%10.2%
Put IV 25d15.6%11.9%19.7%13.4%13.1%
Bid-Ask Spread %99.0994.04106.91100.07103.99
Gamma HHI0.450.220.910.490.24
Net GEX-6.8M-15.0M-174.1K-12.0M-750.7K
Net DEX23.9M336.1K71.0M26.8M3.8M
Net VEX-62.6K-101.8K-42.0K-86.9K-42.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.312.6148.228.383.30
Total Volume4,932.0952,06314,7172,9633,574
Total OI17,271.7146,20930,26123,5567,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$45.97$46.0011.0%3.2%5.1%16.4%10.3%5.2%0.4%-12.0M26.8M-86.9K8.38100.07N/AN/A3162,6474,51219,044
2016-09-02$46.24$46.009.3%2.7%5.5%9.8%8.8%4.6%2.2%-13.4M18.6M-81.9K9.73100.25N/AN/A3042,9594,51219,577
2016-09-06$46.43$0.009.0%3.3%5.7%8.5%0.0%5.4%0.8%-14.5M14.3M-66.9K9.2194.80N/AN/A3002,7644,51520,453
2016-09-07$46.38$0.009.2%3.2%5.6%9.5%0.0%5.5%0.6%-13.9M15.4M-68.9K9.4295.89N/AN/A3042,8644,20620,384
2016-09-08$46.14$0.0011.0%2.7%5.8%16.6%0.0%5.4%2.4%-15.0M22.3M-71.3K6.3796.99N/AN/A3001,9104,20820,384
2016-09-09$44.99$0.0024.1%3.7%10.4%67.8%11.7%4.8%-2.0%-8.0M55.2M-69.6K48.2294.12N/AN/A29914,4184,20820,490
2016-09-12$45.62$45.0020.7%2.8%11.9%54.4%12.1%4.8%1.7%-14.1M51.5M-101.8K34.8797.36N/AN/A30010,4624,21126,050
2016-09-13$44.88$45.0017.9%4.8%13.0%43.4%17.4%5.6%-1.9%-10.0M69.4M-88.1K11.3197.13N/AN/A3013,4034,21224,958
2016-09-14$44.84$45.0014.2%4.1%12.9%28.9%14.2%7.1%1.8%-9.6M71.0M-84.6K7.3496.82N/AN/A3952,9004,21424,967
2016-09-15$45.24$45.0014.3%4.1%13.4%29.5%14.0%7.3%-0.5%-12.4M64.6M-77.2K4.6996.62N/AN/A8353,9204,30624,821
2016-09-16$45.13$45.0013.8%3.9%13.3%27.3%13.9%6.6%-0.2%-14.9M58.1M-69.8K8.9794.09N/AN/A9578,5814,37922,940
2016-09-19$45.23$45.0013.1%3.7%13.3%24.6%13.4%8.3%1.6%-678.5K5.4M-44.2K14.2094.04N/AN/A4916,9732,7694,139
2016-09-20$45.33$45.0013.6%3.9%13.3%26.5%14.0%6.3%0.5%-579.9K4.9M-44.2K14.9094.85N/AN/A4707,0022,8094,147
2016-09-21$45.87$45.0010.7%3.1%14.1%15.4%13.5%3.8%-0.7%-686.7K3.1M-44.1K3.68103.95N/AN/A5722,1072,8224,179
2016-09-22$46.21$45.0010.6%3.0%14.3%14.7%12.3%3.2%0.9%-428.7K336.1K-47.4K2.61102.43N/AN/A5711,4922,9764,353
2016-09-23$45.99$45.0010.6%3.0%14.4%15.0%12.7%4.0%1.3%-403.0K1.9M-46.8K4.20105.52N/AN/A5712,3972,9774,351
2016-09-26$45.50$45.0013.5%3.9%14.8%26.3%12.7%3.8%0.6%-174.1K1.6M-43.2K4.28102.77N/AN/A8313,5532,8773,332
2016-09-27$45.61$45.0010.1%2.9%14.7%12.8%13.1%4.3%2.6%-510.1K4.1M-47.5K4.26100.70N/AN/A8333,5512,8454,476
2016-09-28$45.65$45.0010.6%3.0%14.6%14.8%12.0%3.3%1.7%-535.0K4.4M-43.3K3.32101.65N/AN/A8272,7482,8544,511
2016-09-29$45.35$45.0013.1%3.7%14.8%24.5%13.3%3.5%0.7%-565.6K4.4M-45.3K3.31106.91N/AN/A8292,7432,8574,511
2016-09-30$45.56$45.009.4%2.7%14.9%10.0%12.3%2.9%0.8%-750.7K3.8M-42.0K3.30103.99N/AN/A8312,7432,8594,511