USMV Options History — June 2017

In June 2017, USMV traded between $48.83 and $50.01. ATM implied volatility averaged 7.5%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.5% (HV 20d: 6.0%). Max pain ranged from $47.00 to $53.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.63.

Notable Days

  • 2017-06-08: Highest Volume — 6,249 contracts
  • 2017-06-27: Largest IV spike — 80.2% change
  • 2017-06-12: Highest IV Rank — 26.7%
  • 2017-06-14: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.59$48.83$50.01$49.65$49.06
Max Pain$51.00$47.00$53.00$47.00$50.00
ATM IV7.5%4.7%10.4%5.5%7.9%
Expected Move2.2%1.3%2.8%1.6%2.3%
HV 20d6.0%4.9%7.2%5.7%7.2%
HV 60d5.2%4.9%6.0%5.4%6.0%
IV Rank11.7%0.0%26.7%0.0%16.7%
IV Percentile21.7%0.0%63.1%0.0%24.2%
Term Structure1.4%0.3%3.0%2.5%0.6%
VWIV8.0%5.2%11.6%5.9%11.4%
Skew 25d4.2%2.5%5.2%4.0%4.3%
Skew 10d9.6%2.2%33.0%33.0%7.8%
Call IV 25d6.2%4.0%9.6%4.3%5.8%
Put IV 25d10.4%8.3%14.1%8.3%10.0%
Bid-Ask Spread %53.8214.8695.4922.7753.63
Gamma HHI0.310.130.810.250.13
Net GEX-753.5K-4.1M251.8K89.5K-223.8K
Net DEX1.6M-976.5K4.7M-90.5K2.7M
Net VEX-28.4K-36.8K-24.2K-24.6K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.631.975.692.762.19
Total Volume2,904.1821,6846,2492,8741,684
Total OI7,849.9094,61211,8808,2934,982

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$49.65$47.005.5%1.6%5.7%0.0%5.9%4.0%2.5%89.5K-90.5K-24.6K2.7622.77N/AN/A7642,1101,4936,800
2017-06-02$49.87$48.005.6%1.6%5.8%0.9%5.2%5.2%3.0%83.2K-325.2K-27.0K2.2450.61N/AN/A9402,1101,6046,951
2017-06-05$49.79$53.006.3%2.2%5.9%4.5%8.6%5.2%1.8%251.8K-959.6K-26.7K2.1871.84N/AN/A9702,1131,8306,991
2017-06-06$49.62$53.006.6%2.1%5.9%5.9%8.9%4.9%2.3%235.8K-976.5K-29.2K2.3453.09N/AN/A9302,1741,8707,005
2017-06-07$49.76$53.008.7%2.5%5.7%17.3%8.5%3.8%1.4%85.6K-716.3K-30.1K2.3463.03N/AN/A9302,1741,8607,111
2017-06-08$49.44$53.007.8%2.5%6.4%12.5%8.5%3.6%1.1%174.6K217.2K-28.4K5.6976.95N/AN/A9345,3151,8607,112
2017-06-09$49.36$53.009.5%2.5%6.4%21.8%8.8%4.7%1.0%-3.4M4.7M-36.8K5.6973.61N/AN/A9345,3151,86510,015
2017-06-12$49.37$53.0010.4%2.6%6.3%26.7%8.9%4.4%1.1%-4.1M4.4M-33.2K2.3171.94N/AN/A9542,1991,86510,015
2017-06-13$49.59$53.006.8%2.0%6.3%7.2%9.3%4.0%1.9%-2.7M2.6M-31.1K2.4827.63N/AN/A8482,1001,83510,012
2017-06-14$49.67$53.009.7%2.8%6.1%22.5%9.5%4.5%1.0%-2.3M2.4M-33.0K2.4695.49N/AN/A8542,1021,83810,013
2017-06-15$49.74$53.008.9%2.5%5.6%18.3%8.0%5.0%1.8%-1.6M550.7K-27.6K2.4565.96N/AN/A8552,0931,84110,015
2017-06-16$49.77$50.007.0%2.0%5.6%8.3%6.6%4.1%2.1%-1.6M724.8K-26.1K2.4684.10N/AN/A9202,2631,84210,015
2017-06-19$50.01$50.006.9%2.0%5.7%7.9%6.7%3.4%0.7%-10.6K846.3K-24.5K2.1124.27N/AN/A6741,4201,3113,301
2017-06-20$49.86$50.006.9%2.0%5.6%7.7%7.7%4.4%1.1%-113.4K2.0M-28.1K2.2631.39N/AN/A6741,5231,3113,531
2017-06-21$49.76$50.006.4%1.8%5.7%4.8%6.8%3.8%0.6%-202.0K2.3M-28.2K2.2741.75N/AN/A6741,5331,3113,645
2017-06-22$49.73$50.008.2%2.3%5.5%14.5%6.9%3.3%0.9%-181.0K2.1M-27.5K2.2759.15N/AN/A6741,5331,3113,645
2017-06-23$49.72$50.006.0%1.7%5.0%3.1%5.7%3.5%1.9%-199.9K2.3M-29.1K2.2786.62N/AN/A6741,5331,3113,646
2017-06-26$49.77$50.004.7%1.3%4.9%0.0%5.8%3.4%1.3%-152.7K1.3M-26.1K2.2826.05N/AN/A6741,5341,3113,647
2017-06-27$49.20$50.008.5%2.4%6.5%19.4%9.7%2.5%0.9%-229.9K2.7M-28.6K2.4540.89N/AN/A6271,5351,2743,647
2017-06-28$49.34$50.008.1%2.3%6.5%17.6%7.7%5.1%0.6%-204.0K2.5M-26.8K2.4514.86N/AN/A6271,5351,2803,648
2017-06-29$48.83$50.008.6%2.5%7.1%20.3%11.6%4.7%0.3%-287.1K3.0M-28.0K1.9748.41N/AN/A6271,2361,2803,648
2017-06-30$49.06$50.007.9%2.3%7.2%16.7%11.4%4.3%0.6%-223.8K2.7M-24.2K2.1953.63N/AN/A5281,1561,2803,702