USMV Options History — January 2017

In January 2017, USMV traded between $45.31 and $45.86. ATM implied volatility averaged 8.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.1% (HV 20d: 6.4%). Max pain ranged from $44.00 to $52.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2017-01-30: Highest Volume — 948 contracts
  • 2017-01-11: Largest IV spike — 45.2% change
  • 2017-01-11: Highest IV Rank — 24.2%
  • 2017-01-09: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.61$45.31$45.86$45.31$45.76
Max Pain$49.10$44.00$52.00$44.00$46.00
ATM IV8.5%6.3%10.7%10.7%7.0%
Expected Move2.5%1.9%3.1%3.1%2.0%
HV 20d6.4%4.7%8.4%8.2%4.7%
HV 60d8.3%7.8%8.7%8.7%7.8%
IV Rank12.1%0.0%24.2%22.2%4.0%
IV Percentile16.9%0.0%46.8%44.4%1.6%
Term Structure0.6%-0.2%2.8%0.1%0.9%
VWIV9.3%6.7%11.0%8.7%8.3%
Skew 25d3.0%0.4%7.0%2.8%3.3%
Skew 10d8.5%-1.7%35.0%-1.7%27.5%
Call IV 25d8.1%6.9%11.0%6.9%8.2%
Put IV 25d11.1%9.4%14.1%9.8%11.5%
Bid-Ask Spread %86.8530.64132.28132.2876.36
Gamma HHI0.500.430.650.520.65
Net GEX-1.0M-1.3M-771.0K-1.3M-982.0K
Net DEX4.5M2.6M5.9M5.0M2.6M
Net VEX-32.3K-43.0K-20.4K-43.0K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.351.221.451.431.24
Total Volume909.35870948870929
Total OI9,428.98,5459,9119,8408,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$45.31$44.0010.7%3.1%8.2%22.2%8.7%2.8%0.1%-1.3M5.0M-43.0K1.43132.28N/AN/A3585122,6917,149
2017-01-04$45.57$44.006.7%1.9%8.4%0.0%6.7%7.0%2.8%-833.8K4.5M-42.2K1.45109.85N/AN/A3585202,6887,169
2017-01-05$45.54$52.006.3%2.6%8.4%0.0%10.6%4.1%0.5%-771.0K4.4M-41.5K1.45100.66N/AN/A3585202,6887,196
2017-01-06$45.72$52.009.2%2.6%7.1%15.9%10.6%4.0%0.6%-1.3M5.6M-37.7K1.3995.38N/AN/A3785272,6887,182
2017-01-09$45.48$52.0010.2%3.1%7.5%21.7%10.8%4.7%0.5%-888.8K5.2M-41.5K1.39100.50N/AN/A3785272,7087,181
2017-01-10$45.45$52.007.3%3.1%7.2%5.6%10.7%3.0%0.2%-1.1M5.1M-39.6K1.39103.40N/AN/A3785272,7087,188
2017-01-11$45.49$52.0010.6%3.0%7.0%24.2%10.6%2.9%0.2%-1.3M5.9M-37.3K1.3998.36N/AN/A3785272,7087,188
2017-01-12$45.54$52.009.3%2.7%6.6%17.0%10.6%2.9%-0.2%-1.3M5.6M-34.9K1.3993.98N/AN/A3785272,7087,188
2017-01-13$45.58$52.008.1%2.3%5.9%10.2%11.0%1.5%1.8%-1.1M5.7M-36.5K1.39104.59N/AN/A3785272,7087,188
2017-01-17$45.63$52.008.8%2.5%5.9%13.7%10.4%3.6%0.2%-1.2M4.5M-28.7K1.3952.40N/AN/A3785272,7087,188
2017-01-18$45.70$52.008.9%2.6%5.9%14.7%9.3%0.4%0.6%-930.8K4.6M-30.5K1.36104.13N/AN/A3885272,7087,188
2017-01-19$45.46$52.0010.6%3.0%6.0%23.9%8.4%4.0%0.4%-1.2M5.4M-30.3K1.3599.48N/AN/A3895272,7237,188
2017-01-20$45.63$52.008.2%2.4%6.2%10.7%8.8%1.7%0.4%-1.1M4.9M-30.3K1.35101.82N/AN/A3905272,7237,188
2017-01-23$45.62$46.008.6%2.5%6.2%12.9%9.0%2.4%0.4%-990.2K4.3M-27.5K1.3238.66N/AN/A3855082,5706,013
2017-01-24$45.75$46.007.8%2.2%5.6%8.3%8.3%2.5%1.4%-852.6K3.5M-23.4K1.2572.49N/AN/A4085092,5976,013
2017-01-25$45.86$46.008.1%2.3%5.6%9.8%8.1%2.3%0.8%-912.5K3.0M-23.0K1.2530.64N/AN/A4085092,6475,924
2017-01-26$45.77$46.008.1%2.3%5.7%9.9%8.2%2.9%0.6%-858.3K3.4M-24.8K1.2263.64N/AN/A4185092,6475,898
2017-01-27$45.80$46.008.0%2.3%5.0%9.6%8.1%2.4%0.8%-832.7K3.4M-25.1K1.2765.89N/AN/A4185292,6575,898
2017-01-30$45.64$46.007.7%2.2%5.1%7.6%9.2%2.3%-0.1%-834.4K3.8M-27.5K1.2992.42N/AN/A4145342,6575,919
2017-01-31$45.76$46.007.0%2.0%4.7%4.0%8.3%3.3%0.9%-982.0K2.6M-20.4K1.2476.36N/AN/A4145152,6575,943