USMV Options History — February 2017

In February 2017, USMV traded between $45.50 and $47.93. ATM implied volatility averaged 8.0%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.6% (HV 20d: 5.5%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.38.

Notable Days

2017-02-15: Highest Volume — 1,027 contracts
2017-02-24: Largest IV spike — 84.4% change
2017-02-28: Highest IV Rank — 28.3%
2017-02-28: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.78	$45.50	$47.93	$45.50	$47.82
Max Pain	$46.95	$46.00	$47.00	$46.00	$47.00
ATM IV	8.0%	5.5%	10.8%	9.6%	10.8%
Expected Move	2.4%	1.6%	3.1%	2.7%	3.1%
HV 20d	5.5%	5.1%	5.8%	5.1%	5.5%
HV 60d	7.2%	6.8%	7.9%	7.8%	6.8%
IV Rank	10.4%	0.0%	28.3%	18.2%	28.3%
IV Percentile	15.6%	0.0%	63.1%	33.7%	63.1%
Term Structure	1.9%	-1.0%	3.6%	0.9%	0.2%
VWIV	8.6%	6.3%	14.0%	9.4%	14.0%
Skew 25d	3.6%	-0.1%	12.2%	2.9%	-0.1%
Skew 10d	9.7%	2.6%	31.3%	9.1%	10.1%
Call IV 25d	7.3%	5.3%	12.9%	9.4%	12.9%
Put IV 25d	10.9%	8.0%	18.3%	12.3%	12.8%
Bid-Ask Spread %	87.24	37.36	114.41	104.04	114.41
Gamma HHI	0.75	0.41	0.96	0.52	0.96
Net GEX	626.0K	-996.6K	2.0M	-996.6K	1.9M
Net DEX	-995.0K	-4.9M	3.9M	3.9M	-4.2M
Net VEX	-13.2K	-25.3K	-7.7K	-25.3K	-13.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	1.22	1.85	1.27	1.85
Total Volume	954.842	874	1,027	939	905
Total OI	8,677.158	8,598	8,800	8,598	8,661

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$45.50	$46.00	9.6%	2.7%	5.1%	18.2%	9.4%	2.9%	0.9%	-996.6K	3.9M	-25.3K	1.27	104.04	N/A	N/A	414	525	2,657	5,941
2017-02-02	$45.76	$47.00	7.7%	2.7%	5.1%	7.7%	8.8%	4.1%	1.4%	-900.9K	2.7M	-21.1K	1.27	94.60	N/A	N/A	413	525	2,657	5,961
2017-02-03	$46.03	$47.00	8.2%	2.5%	5.4%	10.6%	8.8%	4.2%	1.1%	-791.0K	3.2M	-19.9K	1.27	100.85	N/A	N/A	415	525	2,657	5,961
2017-02-06	$45.85	$47.00	7.2%	2.5%	5.5%	4.8%	8.9%	4.5%	1.8%	-632.0K	2.2M	-19.3K	1.27	91.10	N/A	N/A	415	525	2,709	5,961
2017-02-07	$45.95	$47.00	7.1%	2.4%	5.2%	4.6%	8.2%	3.8%	2.2%	-741.7K	1.3M	-13.2K	1.26	83.76	N/A	N/A	416	525	2,709	5,961
2017-02-08	$46.16	$47.00	8.2%	2.4%	5.3%	10.7%	7.9%	3.9%	3.1%	515.8K	-659.0K	-7.7K	1.27	64.01	N/A	N/A	416	530	2,710	5,961
2017-02-09	$46.36	$47.00	8.2%	2.4%	5.5%	10.6%	7.6%	1.9%	2.8%	499.7K	-1.0M	-8.3K	1.27	88.79	N/A	N/A	416	530	2,710	5,951
2017-02-10	$46.50	$47.00	8.8%	2.5%	5.5%	14.2%	8.0%	2.7%	2.4%	529.5K	-909.5K	-8.0K	1.22	78.77	N/A	N/A	433	530	2,710	5,951
2017-02-13	$46.66	$47.00	7.4%	2.1%	5.6%	6.2%	7.8%	2.0%	2.0%	640.4K	-1.3M	-8.3K	1.27	86.37	N/A	N/A	433	550	2,730	5,951
2017-02-14	$46.67	$47.00	6.9%	2.0%	5.6%	3.0%	7.4%	2.3%	2.9%	581.8K	-1.0M	-7.7K	1.35	37.36	N/A	N/A	433	584	2,730	6,011
2017-02-15	$46.90	$47.00	7.4%	2.1%	5.8%	6.1%	7.5%	2.8%	3.1%	731.4K	-1.2M	-9.9K	1.32	84.61	N/A	N/A	443	584	2,686	6,105
2017-02-16	$47.04	$47.00	7.5%	2.2%	5.2%	6.8%	7.2%	2.5%	1.9%	933.1K	-1.7M	-11.1K	1.32	74.52	N/A	N/A	443	584	2,695	6,105
2017-02-17	$47.10	$47.00	7.5%	2.2%	5.2%	6.6%	6.8%	2.7%	2.1%	1.0M	-1.9M	-11.1K	1.32	75.36	N/A	N/A	443	584	2,692	6,105
2017-02-21	$47.48	$47.00	7.2%	2.1%	5.6%	4.9%	6.3%	12.2%	2.3%	1.5M	-2.4M	-12.4K	1.43	108.59	N/A	N/A	388	556	2,553	6,086
2017-02-22	$47.47	$47.00	8.1%	2.3%	5.6%	9.7%	8.6%	9.8%	3.6%	1.5M	-2.8M	-13.2K	1.43	113.21	N/A	N/A	388	556	2,553	6,091
2017-02-23	$47.70	$47.00	5.5%	1.6%	5.7%	0.0%	6.6%	1.7%	1.7%	1.9M	-3.4M	-13.5K	1.43	52.93	N/A	N/A	388	556	2,553	6,091
2017-02-24	$47.93	$47.00	10.2%	2.9%	5.6%	25.2%	13.6%	3.1%	1.9%	1.7M	-4.7M	-13.7K	1.63	111.95	N/A	N/A	341	556	2,553	6,091
2017-02-27	$47.87	$47.00	9.2%	2.7%	5.7%	20.0%	9.1%	1.0%	-1.0%	2.0M	-4.9M	-13.8K	1.75	92.25	N/A	N/A	318	556	2,566	6,091
2017-02-28	$47.82	$47.00	10.8%	3.1%	5.5%	28.3%	14.0%	-0.1%	0.2%	1.9M	-4.2M	-13.4K	1.85	114.41	N/A	N/A	318	587	2,570	6,091