USMV Options History — December 2016

In December 2016, USMV traded between $44.04 and $45.79. ATM implied volatility averaged 10.0%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.8% (HV 20d: 9.2%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 8.25.

Notable Days

  • 2016-12-01: Highest Volume — 8,954 contracts
  • 2016-12-22: Largest IV spike — 39.9% change
  • 2016-12-05: Highest IV Rank — 33.4%
  • 2016-12-01: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.19$44.04$45.79$44.04$45.13
Max Pain$44.29$44.00$47.00$47.00$44.00
ATM IV10.0%6.8%12.6%12.4%10.8%
Expected Move2.8%2.0%3.5%3.5%3.1%
HV 20d9.2%8.2%9.9%9.9%8.2%
HV 60d9.4%8.6%11.3%11.3%8.6%
IV Rank18.4%0.2%33.4%32.1%23.1%
IV Percentile33.8%0.4%65.5%63.1%48.8%
Term Structure0.9%-3.1%2.6%-0.9%0.5%
VWIV9.6%6.5%12.0%11.4%8.0%
Skew 25d4.4%0.3%17.0%3.9%2.8%
Skew 10d7.1%-1.2%30.6%-0.2%-0.1%
Call IV 25d8.0%5.2%10.2%10.2%6.7%
Put IV 25d12.4%9.3%22.2%14.2%9.4%
Bid-Ask Spread %116.8984.61137.7087.85126.28
Gamma HHI0.420.290.570.290.51
Net GEX-2.0M-4.1M-959.8K-4.1M-1.2M
Net DEX9.4M4.0M19.5M19.5M7.2M
Net VEX-54.7K-76.8K-37.7K-76.8K-48.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.251.4911.809.501.49
Total Volume5,635.9528668,9548,954893
Total OI17,495.5249,73223,43223,1129,813

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$44.04$47.0012.4%3.5%9.9%32.1%11.4%3.9%-0.9%-4.1M19.5M-76.8K9.5087.85N/AN/A8538,1012,79520,317
2016-12-02$44.22$47.0011.3%3.2%9.7%26.2%11.4%7.3%-1.1%-2.8M17.6M-65.8K9.5384.61N/AN/A7887,5112,87920,333
2016-12-05$44.33$44.0012.6%3.4%9.8%33.4%12.0%5.5%-3.1%-3.1M16.2M-65.3K9.5397.08N/AN/A7887,5112,90920,332
2016-12-06$44.41$44.009.7%3.1%8.4%16.4%10.8%4.8%0.6%-2.8M16.0M-63.2K7.98120.16N/AN/A7896,2982,90920,332
2016-12-07$45.01$44.0010.3%2.6%9.0%20.4%10.5%3.8%1.6%-2.9M9.4M-46.1K7.98124.28N/AN/A7896,2982,91420,332
2016-12-08$45.04$44.0010.1%2.8%8.8%19.0%7.7%4.4%2.2%-2.5M12.2M-58.7K7.50121.79N/AN/A8406,2982,91420,332
2016-12-09$45.30$44.009.3%2.9%8.6%14.4%6.8%6.9%0.7%-2.9M9.9M-60.8K7.47110.27N/AN/A8436,2992,94820,332
2016-12-12$45.51$44.0011.9%2.9%8.6%29.6%10.6%1.9%-0.7%-2.0M9.4M-57.6K7.55105.41N/AN/A8446,3752,94820,346
2016-12-13$45.79$44.0011.0%2.4%8.6%24.1%10.4%4.7%2.4%-1.6M7.8M-55.4K7.74121.83N/AN/A8246,3752,95620,383
2016-12-14$45.40$44.0010.7%3.1%9.3%22.4%10.9%3.7%1.9%-1.7M8.2M-61.5K7.62130.54N/AN/A8386,3822,95920,380
2016-12-15$45.46$44.0010.7%3.1%9.3%22.3%10.2%3.9%0.6%-2.0M9.2M-57.1K7.86124.14N/AN/A8386,5892,97320,412
2016-12-16$45.56$44.008.5%2.4%9.3%9.8%10.5%4.0%1.6%-1.2M7.9M-55.0K8.15110.73N/AN/A8146,6352,97320,459
2016-12-19$45.70$44.0010.1%2.9%9.3%19.1%9.8%2.7%1.9%-1.1M6.4M-54.2K11.33122.32N/AN/A3403,8522,6317,101
2016-12-20$45.74$44.007.3%2.1%9.3%2.7%8.3%4.2%2.6%-959.8K6.8M-55.6K11.64101.09N/AN/A3313,8522,6567,101
2016-12-21$45.64$44.006.8%2.0%9.3%0.2%7.9%4.5%2.3%-1.4M4.0M-37.7K11.71127.86N/AN/A3293,8522,6547,101
2016-12-22$45.31$44.009.6%2.7%9.7%16.0%8.7%2.9%1.2%-1.7M7.1M-46.6K11.80121.93N/AN/A3293,8832,6647,101
2016-12-23$45.36$44.007.2%2.1%9.5%2.0%6.5%17.0%-0.7%-998.4K4.5M-40.5K11.80137.70N/AN/A3293,8832,6647,132
2016-12-27$45.45$44.009.9%2.8%9.5%17.7%9.5%0.3%0.8%-1.3M5.0M-47.4K11.78131.26N/AN/A3313,8992,6647,132
2016-12-28$45.15$44.009.9%2.8%9.8%17.7%10.0%1.9%1.1%-1.3M6.7M-45.4K1.62127.94N/AN/A3315352,6647,148
2016-12-29$45.35$44.0010.0%2.9%9.1%18.3%10.3%1.4%2.4%-1.3M6.0M-48.9K1.62119.65N/AN/A3315352,6647,149
2016-12-30$45.13$44.0010.8%3.1%8.2%23.1%8.0%2.8%0.5%-1.2M7.2M-48.8K1.49126.28N/AN/A3585352,6647,149