USMV Options History — April 2017

In April 2017, USMV traded between $47.59 and $48.50. ATM implied volatility averaged 8.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 4.1% (HV 20d: 4.5%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 6.96.

Notable Days

2017-04-28: Highest Volume — 5,699 contracts
2017-04-12: Largest IV spike — 75.2% change
2017-04-12: Highest IV Rank — 30.8%
2017-04-12: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.92	$47.59	$48.50	$47.65	$48.35
Max Pain	$47.63	$47.00	$51.00	$51.00	$47.00
ATM IV	8.6%	6.4%	11.3%	8.7%	8.1%
Expected Move	2.6%	1.9%	3.2%	2.5%	2.3%
HV 20d	4.5%	3.0%	6.1%	6.1%	4.1%
HV 60d	5.7%	5.6%	5.8%	5.8%	5.6%
IV Rank	16.4%	4.8%	30.8%	17.1%	13.6%
IV Percentile	30.8%	1.2%	73.0%	29.8%	21.0%
Term Structure	0.6%	-0.3%	3.9%	1.2%	0.7%
VWIV	11.0%	6.8%	13.0%	9.2%	10.8%
Skew 25d	3.8%	-1.4%	6.6%	1.1%	2.3%
Skew 10d	5.7%	0.0%	11.2%	2.0%	4.9%
Call IV 25d	7.7%	5.3%	13.1%	8.0%	7.1%
Put IV 25d	11.4%	7.8%	15.0%	9.1%	9.4%
Bid-Ask Spread %	69.14	24.48	104.51	72.82	28.80
Gamma HHI	0.32	0.30	0.37	0.33	0.33
Net GEX	-1.3M	-1.6M	-797.6K	-797.6K	-1.1M
Net DEX	5.2M	2.1M	7.3M	4.7M	3.0M
Net VEX	-35.8K	-43.1K	-24.3K	-35.0K	-25.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.96	4.42	7.93	4.71	4.42
Total Volume	4,694.316	3,160	5,699	3,160	5,699
Total OI	7,592.211	6,147	8,131	6,147	8,131

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
2017-04-03	$47.65	$51.00	8.7%	2.5%	6.1%	17.1%	9.2%	1.1%	1.2%	-797.6K	4.7M	-35.0K	4.71	72.82	N/A	N/A	553	2,607	635	5,512
2017-04-04	$47.65	$51.00	7.7%	2.2%	6.0%	11.6%	9.2%	1.4%	1.6%	-825.5K	4.2M	-37.0K	7.42	24.48	N/A	N/A	553	4,103	637	5,512
2017-04-05	$47.69	$51.00	6.6%	1.9%	5.9%	5.9%	11.4%	3.8%	2.1%	-1.4M	6.3M	-41.0K	7.42	72.07	N/A	N/A	553	4,103	637	7,004
2017-04-06	$47.67	$47.00	6.6%	2.6%	5.9%	5.9%	11.0%	4.9%	-0.1%	-1.5M	6.8M	-42.6K	7.42	95.99	N/A	N/A	553	4,103	637	7,004
2017-04-07	$47.65	$47.00	6.9%	3.0%	5.8%	7.1%	11.1%	-1.4%	-0.3%	-1.5M	6.7M	-42.9K	7.42	99.09	N/A	N/A	553	4,103	637	7,004
2017-04-10	$47.72	$47.00	6.9%	2.7%	5.8%	7.3%	11.5%	2.9%	0.4%	-1.6M	7.0M	-43.1K	7.41	80.06	N/A	N/A	554	4,103	637	7,004
2017-04-11	$47.69	$47.00	6.4%	2.8%	5.7%	4.8%	11.9%	6.6%	0.4%	-1.6M	7.3M	-42.7K	7.44	86.86	N/A	N/A	554	4,122	638	7,004
2017-04-12	$47.69	$47.00	11.3%	3.2%	3.7%	30.8%	12.9%	6.5%	-0.3%	-1.4M	7.3M	-41.4K	7.48	104.51	N/A	N/A	554	4,145	638	7,023
2017-04-13	$47.59	$47.00	10.5%	3.0%	3.4%	26.8%	12.0%	4.7%	-0.3%	-1.5M	7.0M	-42.4K	7.39	94.26	N/A	N/A	554	4,093	638	7,048
2017-04-17	$47.64	$47.00	10.5%	3.0%	3.0%	27.0%	12.0%	5.1%	-0.3%	-1.6M	6.9M	-40.6K	7.39	66.88	N/A	N/A	554	4,093	638	7,056
2017-04-18	$47.86	$47.00	10.7%	3.1%	3.4%	27.6%	12.8%	6.2%	0.3%	-1.5M	6.1M	-37.5K	7.39	47.05	N/A	N/A	554	4,093	638	7,056
2017-04-19	$47.79	$47.00	10.6%	3.0%	3.1%	27.4%	12.3%	6.0%	-0.3%	-1.4M	6.0M	-35.7K	7.93	71.95	N/A	N/A	516	4,093	638	7,056
2017-04-20	$48.04	$47.00	9.6%	2.8%	3.6%	21.9%	13.0%	6.5%	0.7%	-1.6M	5.6M	-36.6K	7.93	48.92	N/A	N/A	516	4,093	640	7,056
2017-04-21	$47.99	$47.00	9.6%	2.7%	3.5%	21.9%	11.2%	3.7%	1.1%	-1.4M	5.4M	-33.6K	6.63	96.13	N/A	N/A	617	4,093	640	7,046
2017-04-24	$48.32	$47.00	8.4%	2.4%	4.0%	15.3%	11.1%	4.8%	0.2%	-1.3M	2.7M	-25.8K	7.39	44.20	N/A	N/A	576	4,255	742	6,977
2017-04-25	$48.50	$47.00	8.4%	2.4%	4.0%	15.7%	11.7%	2.2%	0.5%	-1.1M	2.4M	-26.5K	6.29	85.53	N/A	N/A	677	4,255	752	7,163
2017-04-26	$48.45	$47.00	6.9%	2.0%	4.0%	7.2%	6.8%	1.6%	3.9%	-915.3K	2.1M	-26.6K	6.42	29.02	N/A	N/A	677	4,345	853	7,191
2017-04-27	$48.47	$47.00	8.7%	2.5%	4.0%	17.1%	7.1%	2.9%	0.8%	-878.7K	2.1M	-24.3K	6.42	65.03	N/A	N/A	677	4,346	849	7,281
2017-04-28	$48.35	$47.00	8.1%	2.3%	4.1%	13.6%	10.8%	2.3%	0.7%	-1.1M	3.0M	-25.7K	4.42	28.80	N/A	N/A	1,052	4,647	849	7,282