USMV Options History — November 2016

In November 2016, USMV traded between $43.48 and $44.99. ATM implied volatility averaged 13.9%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.9% (HV 20d: 9.0%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 14.50.

Notable Days

  • 2016-11-10: Highest Volume — 8,886 contracts
  • 2016-11-08: Largest IV drop — 26.8% change
  • 2016-11-04: Highest IV Rank — 67.8%
  • 2016-11-02: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.27$43.48$44.99$43.75$44.54
Max Pain$45.81$44.00$46.00$44.00$46.00
ATM IV13.9%8.9%22.7%17.2%8.9%
Expected Move3.8%2.5%5.5%4.9%2.5%
HV 20d9.0%7.6%9.5%7.7%8.9%
HV 60d10.8%10.2%11.1%10.3%11.1%
IV Rank34.8%11.9%67.8%44.4%11.9%
IV Percentile66.1%13.9%98.8%93.3%13.9%
Term Structure-0.4%-3.1%0.8%0.7%0.3%
VWIV15.2%11.0%19.8%17.4%11.7%
Skew 25d5.3%2.7%10.8%10.8%4.2%
Skew 10d10.6%-2.3%26.6%7.9%8.8%
Call IV 25d11.0%8.2%15.7%9.7%8.5%
Put IV 25d16.3%12.0%21.2%20.6%12.6%
Bid-Ask Spread %93.2880.85107.12107.1288.49
Gamma HHI0.280.220.440.220.22
Net GEX-2.6M-4.8M-1.2M-1.3M-2.1M
Net DEX12.5M8.6M20.4M10.6M11.1M
Net VEX-59.2K-100.1K-41.7K-47.9K-71.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.501.5745.0416.679.60
Total Volume4,895.5247528,8864,0128,149
Total OI15,999.9529,11322,6509,12022,162

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$43.75$44.0017.2%4.9%7.7%44.4%17.4%10.8%0.7%-1.3M10.6M-47.9K16.67107.12N/AN/A2273,7852,9636,157
2016-11-02$43.73$44.0019.1%5.5%7.6%52.6%19.8%5.5%-3.1%-1.2M11.2M-49.7K16.82106.71N/AN/A2253,7852,9636,150
2016-11-03$43.48$46.0020.0%4.9%7.8%56.4%17.1%7.0%-1.7%-1.3M11.7M-46.0K16.8286.99N/AN/A2253,7852,9656,150
2016-11-04$43.50$46.0022.7%5.0%7.8%67.8%17.5%7.7%-2.3%-1.3M12.3M-44.4K18.0284.03N/AN/A2103,7852,9656,150
2016-11-07$44.12$46.0019.2%4.4%9.4%53.1%16.5%6.6%-0.7%-1.5M10.2M-44.6K14.0584.62N/AN/A2203,0912,9906,150
2016-11-08$44.58$46.0014.1%3.7%9.2%31.1%15.5%6.7%0.8%-1.4M8.7M-43.1K16.1890.43N/AN/A1913,0912,9906,156
2016-11-09$44.40$46.0013.9%4.0%9.2%30.3%14.1%5.9%0.6%-1.8M8.6M-42.4K8.1596.24N/AN/A1931,5732,9846,156
2016-11-10$44.13$46.0013.9%4.0%9.4%30.3%18.5%4.0%-0.7%-1.7M9.3M-41.7K45.0495.46N/AN/A1938,6933,0156,226
2016-11-11$44.07$46.0013.1%3.7%9.4%36.2%14.1%5.5%-0.0%-3.0M13.9M-65.9K2.3190.12N/AN/A2545863,01511,494
2016-11-14$43.99$46.0013.7%3.9%9.3%39.8%18.7%5.3%-0.3%-3.4M14.5M-55.2K13.0591.45N/AN/A2933,8253,06611,573
2016-11-15$44.22$46.0013.5%3.9%9.4%38.6%14.1%5.5%-0.6%-4.5M16.1M-68.0K1.5796.47N/AN/A2934593,06714,480
2016-11-16$44.30$46.0012.7%3.6%9.5%33.9%15.7%5.3%-0.3%-4.8M13.7M-57.6K11.5289.11N/AN/A2933,3763,06714,532
2016-11-17$44.39$46.0012.8%3.7%9.4%34.4%16.4%4.7%0.3%-4.8M15.6M-67.1K11.5296.04N/AN/A2933,3763,06717,493
2016-11-18$44.32$46.0013.0%3.7%9.3%35.8%17.5%4.5%0.0%-3.3M14.3M-64.4K14.3097.84N/AN/A4436,3343,06617,493
2016-11-21$44.46$46.0012.4%3.6%9.3%32.6%15.1%4.9%-1.1%-4.4M20.4M-100.1K14.6396.26N/AN/A4306,2923,03119,552
2016-11-22$44.64$46.0010.9%3.1%9.4%23.8%11.0%4.3%-1.3%-3.8M13.4M-73.5K14.4093.67N/AN/A4396,3233,04719,552
2016-11-23$44.52$46.008.9%2.6%9.4%12.1%11.7%2.7%0.3%-2.6M13.8M-65.9K14.4093.22N/AN/A4396,3233,06519,585
2016-11-25$44.76$46.0010.1%2.9%9.0%19.0%11.1%2.9%-0.1%-1.9M11.1M-66.9K14.4097.48N/AN/A4396,3233,06519,585
2016-11-28$44.81$46.0010.8%3.1%9.0%23.1%12.5%3.4%0.3%-1.7M10.8M-66.5K15.5496.27N/AN/A4406,8363,06519,585
2016-11-29$44.99$46.0010.9%3.1%8.9%23.7%12.8%4.7%-0.3%-2.2M11.1M-61.3K15.5480.85N/AN/A4406,8363,06219,100
2016-11-30$44.54$46.008.9%2.5%8.9%11.9%11.7%4.2%0.3%-2.1M11.1M-71.1K9.6088.49N/AN/A7697,3803,06219,100