USMV Options History — March 2017

In March 2017, USMV traded between $47.65 and $48.35. ATM implied volatility averaged 8.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.7% (HV 20d: 6.3%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 5.15.

Notable Days

  • 2017-03-30: Highest Volume — 4,905 contracts
  • 2017-03-13: Largest IV spike — 38.6% change
  • 2017-03-15: Highest IV Rank — 25.8%
  • 2017-03-15: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.92$47.65$48.35$48.25$47.78
Max Pain$49.30$45.00$60.00$47.00$51.00
ATM IV8.1%6.4%10.3%7.8%7.6%
Expected Move2.3%1.8%3.0%2.2%2.2%
HV 20d6.3%5.5%7.4%6.0%6.0%
HV 60d6.2%5.7%6.6%6.5%5.8%
IV Rank13.7%4.6%25.8%12.0%11.0%
IV Percentile18.0%0.8%57.9%10.3%9.1%
Term Structure1.4%-1.4%2.6%1.7%2.2%
VWIV10.1%6.9%15.1%6.9%9.3%
Skew 25d4.2%0.5%16.9%16.9%1.8%
Skew 10d7.6%0.8%29.3%29.3%16.4%
Call IV 25d6.6%5.0%8.4%6.1%7.1%
Put IV 25d10.9%7.8%23.0%23.0%8.9%
Bid-Ask Spread %56.8028.3891.3128.3842.60
Gamma HHI0.690.280.990.970.28
Net GEX1.6M-754.5K8.2M2.8M-704.5K
Net DEX-1.8M-9.1M4.4M-6.5M3.6M
Net VEX-16.8K-33.2K-7.4K-12.5K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.150.2518.090.254.54
Total Volume2,229.9139474,9053,1023,181
Total OI6,481.4782,37610,3748,6925,331

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$48.25$47.007.8%2.2%6.0%12.0%6.9%16.9%1.7%2.8M-6.5M-12.5K0.2528.38N/AN/A2,4836192,5706,122
2017-03-02$48.10$47.008.0%2.3%5.5%13.2%8.0%1.1%0.6%2.6M-5.7M-14.5K0.2539.25N/AN/A2,4846192,6586,248
2017-03-03$47.99$47.008.3%2.4%5.7%15.0%8.3%0.5%-0.2%2.6M-5.2M-14.1K0.2529.97N/AN/A2,4846192,6596,231
2017-03-06$47.93$47.009.2%2.5%5.7%19.8%10.2%5.4%2.0%2.7M-4.6M-13.3K1.6458.27N/AN/A3786192,6596,231
2017-03-07$47.79$47.008.2%2.5%5.6%14.1%10.1%5.2%1.8%2.9M-3.8M-12.4K1.6360.44N/AN/A3806192,6386,231
2017-03-08$47.65$47.007.8%2.3%5.8%12.2%9.7%4.1%2.2%3.0M-3.9M-12.0K1.6262.69N/AN/A3826192,6386,231
2017-03-09$47.71$47.008.5%2.5%5.7%16.2%10.3%4.2%1.9%2.5M-3.5M-11.8K1.6291.31N/AN/A3826192,6406,231
2017-03-10$47.83$47.006.6%2.5%5.7%5.5%10.0%4.5%2.1%4.1M-3.8M-11.1K1.6260.01N/AN/A3826192,6406,232
2017-03-13$47.93$47.009.1%2.2%5.6%19.1%11.7%3.9%2.6%4.3M-4.5M-9.4K1.4969.82N/AN/A3825692,6406,232
2017-03-14$47.80$45.007.6%2.3%5.8%11.0%11.1%4.8%2.2%4.0M-3.3M-9.1K1.5154.69N/AN/A3785692,6426,252
2017-03-15$48.35$47.0010.3%3.0%6.8%25.8%15.1%7.9%-1.4%1.7M-6.8M-7.8K1.5391.29N/AN/A3785782,6416,253
2017-03-16$48.10$47.008.0%2.3%7.1%13.1%10.1%3.7%2.6%8.2M-7.1M-7.4K5.9457.84N/AN/A3482,0682,6416,263
2017-03-17$48.30$47.008.2%2.4%7.2%14.4%10.1%3.5%1.9%-295.0K-9.1M-19.7K6.0563.19N/AN/A3422,0682,6217,753
2017-03-20$48.15$47.008.0%2.3%7.4%13.4%11.0%4.2%-0.5%-275.1K1.6M-18.8K7.2129.25N/AN/A2381,7172762,100
2017-03-21$47.96$47.007.1%2.0%7.1%8.3%11.0%5.7%0.3%-285.8K1.8M-18.5K7.4643.87N/AN/A2381,7762762,100
2017-03-22$48.02$47.008.8%2.5%7.1%17.7%10.7%5.5%0.4%-327.0K2.1M-20.5K7.5568.88N/AN/A2381,7962762,159
2017-03-23$47.91$60.008.5%2.4%7.0%16.0%10.1%3.2%1.5%-347.2K1.9M-19.2K7.5557.95N/AN/A2381,7962762,179
2017-03-24$47.72$60.008.9%2.5%6.9%18.0%9.9%2.9%1.4%-339.9K2.1M-19.3K7.5939.75N/AN/A2381,8072792,179
2017-03-27$47.66$60.006.4%1.8%6.9%4.6%10.2%2.6%2.5%-345.1K2.3M-19.4K7.5989.19N/AN/A2381,8072792,190
2017-03-28$47.79$51.007.6%2.2%7.0%11.1%9.3%1.7%1.3%-380.4K2.0M-18.9K18.0950.00N/AN/A2384,3062792,180
2017-03-29$47.73$51.008.0%2.3%6.1%13.3%9.6%2.2%1.3%-749.2K4.1M-32.1K18.0945.97N/AN/A2384,3062794,680
2017-03-30$47.76$51.007.5%2.2%6.0%10.7%9.7%2.1%1.6%-754.5K4.4M-32.3K7.3471.88N/AN/A5884,3172794,680
2017-03-31$47.78$51.007.6%2.2%6.0%11.0%9.3%1.8%2.2%-704.5K3.6M-33.2K4.5442.60N/AN/A5742,6076294,702