USMV Options History — May 2017

In May 2017, USMV traded between $47.99 and $49.38. ATM implied volatility averaged 8.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.0% (HV 20d: 5.0%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.38.

Notable Days

  • 2017-05-10: Highest Volume — 5,839 contracts
  • 2017-05-22: Largest IV drop — 29.0% change
  • 2017-05-18: Highest IV Rank — 24.9%
  • 2017-05-18: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.49$47.99$49.38$48.40$49.38
Max Pain$47.64$47.00$48.00$47.00$47.00
ATM IV8.0%6.2%10.2%8.3%7.7%
Expected Move2.3%1.8%2.9%2.4%2.2%
HV 20d5.0%4.1%5.9%4.1%5.7%
HV 60d5.4%5.3%5.5%5.5%5.3%
IV Rank13.3%3.8%24.9%15.2%11.6%
IV Percentile23.3%0.4%60.3%28.2%15.9%
Term Structure0.9%-0.0%1.9%0.1%0.8%
VWIV9.5%6.4%12.9%7.6%6.8%
Skew 25d4.9%2.3%20.6%11.9%3.1%
Skew 10d8.3%-2.4%37.8%24.4%-2.4%
Call IV 25d5.9%4.2%8.6%4.2%4.3%
Put IV 25d10.8%7.4%25.2%16.1%7.4%
Bid-Ask Spread %35.088.4899.6046.4156.78
Gamma HHI0.270.200.330.280.25
Net GEX-357.5K-1.2M355.1K-546.4K80.6K
Net DEX1.5M-225.0K2.9M1.7M-114.3K
Net VEX-28.5K-34.5K-23.1K-29.9K-24.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.381.934.454.222.72
Total Volume4,576.9552,4605,8395,7492,843
Total OI8,624.8187,6859,6138,7528,108

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$48.40$47.008.3%2.4%4.1%15.2%7.6%11.9%0.1%-546.4K1.7M-29.9K4.2246.41N/AN/A1,1024,6471,2357,517
2017-05-02$48.28$47.008.3%2.4%4.1%14.8%6.4%2.8%0.1%-934.3K2.4M-31.8K4.1117.12N/AN/A1,1324,6471,2857,517
2017-05-03$48.17$47.008.2%2.4%4.2%14.6%10.6%4.1%1.1%-1.2M2.9M-34.5K4.1199.60N/AN/A1,1324,6471,3157,517
2017-05-04$48.33$48.008.3%2.5%4.4%15.1%10.1%3.2%0.6%-437.2K1.8M-30.1K4.1137.23N/AN/A1,1324,6471,3157,517
2017-05-05$48.49$48.007.5%2.5%4.4%10.4%9.9%3.3%0.8%-370.1K804.5K-27.4K4.1137.63N/AN/A1,1324,6471,3157,517
2017-05-08$48.34$48.008.6%2.4%4.6%16.7%10.0%3.3%1.2%-684.0K1.7M-30.1K4.1330.65N/AN/A1,1314,6711,3157,517
2017-05-09$48.19$48.006.7%2.4%4.8%6.4%10.0%2.9%1.4%-539.9K1.9M-29.3K4.3631.00N/AN/A1,0724,6711,3167,541
2017-05-10$48.30$48.008.2%2.3%4.8%14.2%10.3%2.5%0.9%-359.4K1.4M-28.9K4.4524.79N/AN/A1,0724,7671,3167,541
2017-05-11$48.26$48.008.6%2.5%4.9%16.3%9.5%2.3%0.8%-516.7K1.9M-27.6K4.4535.35N/AN/A1,0724,7671,3167,637
2017-05-12$48.15$48.008.2%2.3%4.9%14.1%9.9%5.1%1.9%-550.5K2.3M-29.7K4.4540.27N/AN/A1,0724,7671,3167,637
2017-05-15$48.37$48.008.2%2.4%5.1%14.4%8.8%5.2%1.4%-323.2K1.4M-27.4K4.4541.66N/AN/A1,0724,7671,3167,637
2017-05-16$48.22$48.008.3%2.4%5.0%15.2%7.5%3.7%0.6%-595.2K1.8M-28.3K3.0837.12N/AN/A1,0723,2971,3167,637
2017-05-17$47.99$48.0010.0%2.9%5.3%24.2%12.9%4.1%0.1%-448.6K2.8M-32.7K2.8628.40N/AN/A1,1813,3721,3467,657
2017-05-18$48.10$48.0010.2%2.9%5.1%24.9%12.9%4.0%-0.0%355.1K2.2M-33.3K2.5325.90N/AN/A1,2913,2671,6217,893
2017-05-19$48.21$48.009.3%2.7%5.1%20.2%11.4%6.5%0.8%250.8K836.5K-30.2K2.5568.52N/AN/A1,2913,2861,6217,992
2017-05-22$48.56$48.006.6%1.9%5.2%5.7%10.4%3.3%1.7%-592.3K1.7M-26.5K1.9314.72N/AN/A9701,8711,2286,481
2017-05-23$48.57$48.006.9%2.0%5.0%7.4%12.4%3.8%1.0%-459.0K1.8M-27.4K1.9921.20N/AN/A9031,7941,2316,454
2017-05-24$48.83$47.006.2%1.8%5.3%3.8%9.8%3.8%1.5%-93.8K770.9K-25.4K2.7024.90N/AN/A6641,7961,3456,471
2017-05-25$49.19$47.007.4%2.1%5.9%9.9%8.6%4.0%0.6%-88.4K64.0K-23.1K2.2519.59N/AN/A7991,7971,3626,487
2017-05-26$49.15$47.007.1%2.0%5.8%8.4%7.4%4.2%0.8%93.4K-225.0K-24.5K2.3624.45N/AN/A7991,8821,4876,505
2017-05-30$49.21$47.007.1%2.0%5.8%8.7%7.1%20.6%1.1%136.4K-53.0K-23.5K2.448.48N/AN/A7991,9531,4876,562
2017-05-31$49.38$47.007.7%2.2%5.7%11.6%6.8%3.1%0.8%80.6K-114.3K-24.6K2.7256.78N/AN/A7652,0781,4876,621