USMV Options History — October 2016

In October 2016, USMV traded between $43.83 and $45.16. ATM implied volatility averaged 13.4%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 10.5%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 9.17.

Notable Days

  • 2016-10-21: Highest Volume — 4,759 contracts
  • 2016-10-18: Largest IV drop — 20.9% change
  • 2016-10-17: Highest IV Rank — 37.0%
  • 2016-10-17: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.42$43.83$45.16$45.16$44.18
Max Pain$44.14$44.00$45.00$45.00$44.00
ATM IV13.4%10.5%15.5%13.2%14.1%
Expected Move3.8%3.0%4.4%3.8%4.0%
HV 20d10.5%7.8%15.2%15.0%7.8%
HV 60d9.9%9.5%10.1%9.5%10.1%
IV Rank27.6%14.3%37.0%25.0%31.2%
IV Percentile75.9%39.7%88.5%77.0%81.0%
Term Structure0.3%-2.0%2.5%2.5%1.6%
VWIV14.1%10.4%15.5%13.5%14.7%
Skew 25d6.0%2.7%9.1%2.7%8.1%
Skew 10d10.8%-0.7%27.0%3.6%27.0%
Call IV 25d10.5%8.3%12.8%11.9%8.9%
Put IV 25d16.5%13.0%18.9%14.6%17.0%
Bid-Ask Spread %101.8995.65108.51103.00108.51
Gamma HHI0.250.230.280.230.24
Net GEX-1.1M-1.6M-629.6K-629.6K-1.6M
Net DEX7.9M4.7M10.1M4.7M10.1M
Net VEX-43.5K-50.3K-36.7K-47.5K-46.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.173.2918.783.2918.78
Total Volume3,777.9523,1524,7593,5874,490
Total OI7,958.4767,3809,1207,3809,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$45.16$45.0013.2%3.8%15.0%25.0%13.5%2.7%2.5%-629.6K4.7M-47.5K3.29103.00N/AN/A8372,7502,8694,511
2016-10-04$44.67$45.0010.5%3.0%15.2%14.3%10.4%3.0%0.8%-798.5K6.2M-45.6K3.54105.02N/AN/A7832,7702,8714,521
2016-10-05$44.58$45.0012.2%3.5%15.2%21.2%11.7%3.4%0.3%-888.6K6.5M-44.5K4.77103.78N/AN/A5712,7262,8974,579
2016-10-06$44.59$44.0012.2%3.5%15.2%21.1%14.2%6.2%-0.3%-1.0M7.2M-42.7K4.8399.04N/AN/A5642,7262,9414,594
2016-10-07$44.61$44.0013.1%3.6%12.4%24.6%14.3%5.8%0.2%-944.7K7.1M-42.9K5.0096.86N/AN/A5452,7262,9414,594
2016-10-10$44.76$44.0012.5%3.6%11.3%22.3%14.5%5.8%0.3%-967.4K6.5M-41.8K5.0098.68N/AN/A5452,7262,9434,594
2016-10-11$44.23$44.0013.5%4.1%10.6%28.7%14.3%4.7%0.1%-1.0M7.0M-42.9K5.00100.17N/AN/A5452,7262,9454,594
2016-10-12$44.48$44.0013.6%3.9%10.8%29.2%13.9%6.3%-2.0%-1.2M7.4M-42.2K5.03103.77N/AN/A5452,7442,9454,594
2016-10-13$44.52$44.0012.3%3.5%10.3%23.6%15.0%6.9%1.7%-1.1M7.6M-41.4K6.6297.85N/AN/A5663,7482,9464,612
2016-10-14$44.51$44.0013.5%3.9%10.2%28.6%15.5%9.1%0.6%-1.2M8.5M-50.3K6.56100.67N/AN/A5713,7482,9665,612
2016-10-17$44.36$44.0015.5%4.4%10.2%37.0%15.4%8.2%0.0%-1.3M9.4M-45.1K6.6598.83N/AN/A5613,7302,9755,612
2016-10-18$44.54$44.0012.2%3.5%10.3%23.2%13.1%7.7%-0.6%-1.5M8.2M-46.7K6.62104.22N/AN/A5613,7122,9765,604
2016-10-19$44.53$44.0012.7%3.7%9.2%25.3%15.1%7.8%1.5%-1.4M8.7M-44.2K6.62100.86N/AN/A5613,7122,9765,604
2016-10-20$44.33$44.0014.9%4.3%8.6%34.4%15.4%7.0%1.0%-1.3M9.4M-43.4K6.80103.65N/AN/A5463,7122,9765,604
2016-10-21$44.24$44.0015.0%4.3%8.5%35.0%15.0%6.7%-0.2%-1.4M9.9M-43.3K7.6595.65N/AN/A5504,2092,9765,604
2016-10-24$44.38$44.0014.2%4.1%8.1%31.8%14.4%6.4%0.2%-952.0K7.9M-40.4K16.83103.43N/AN/A1772,9792,9044,816
2016-10-25$44.30$44.0014.1%4.0%7.9%31.2%14.0%5.6%-0.1%-1.0M7.6M-40.9K17.22102.06N/AN/A1732,9792,9044,816
2016-10-26$44.19$44.0014.0%4.0%7.9%30.9%13.9%5.0%-0.3%-1.0M7.6M-45.6K18.47104.09N/AN/A1733,1952,9034,816
2016-10-27$43.83$44.0013.8%4.0%8.1%29.8%13.7%3.3%-0.3%-1.3M9.0M-36.7K18.45102.61N/AN/A1733,1922,9035,032
2016-10-28$43.92$44.0014.1%4.0%7.8%30.9%14.5%5.5%-0.5%-1.3M9.5M-40.3K18.78106.87N/AN/A2274,2632,9035,035
2016-10-31$44.18$44.0014.1%4.0%7.8%31.2%14.7%8.1%1.6%-1.6M10.1M-46.3K18.78108.51N/AN/A2274,2632,9636,157