USMV Options History — July 2017

In July 2017, USMV traded between $48.57 and $49.97. ATM implied volatility averaged 7.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.5% (HV 20d: 7.7%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2017-07-21: Highest Volume — 1,911 contracts
  • 2017-07-05: Largest IV spike — 41.5% change
  • 2017-07-05: Highest IV Rank — 40.0%
  • 2017-07-05: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.29$48.57$49.97$48.93$49.97
Max Pain$49.10$49.00$50.00$50.00$49.00
ATM IV7.2%5.5%12.4%8.8%6.2%
Expected Move2.1%1.6%3.6%2.5%1.8%
HV 20d7.7%5.9%8.4%7.2%5.9%
HV 60d6.4%6.0%6.7%6.0%6.4%
IV Rank13.0%4.2%40.0%21.2%7.7%
IV Percentile17.1%0.8%82.9%45.6%4.4%
Term Structure0.7%-4.3%3.6%-0.1%0.8%
VWIV8.5%6.1%22.4%14.2%6.3%
Skew 25d4.3%1.9%11.9%4.5%3.1%
Skew 10d6.8%3.3%10.9%9.6%4.9%
Call IV 25d5.9%3.9%8.4%6.0%4.9%
Put IV 25d10.2%7.3%20.3%10.5%8.0%
Bid-Ask Spread %71.7621.23109.0666.2621.23
Gamma HHI0.170.130.230.130.16
Net GEX-189.9K-403.3K76.1K-274.7K76.1K
Net DEX2.5M652.4K3.9M2.8M652.4K
Net VEX-22.1K-26.6K-19.2K-25.3K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.911.082.422.341.49
Total Volume1,7211,5091,9111,7631,669
Total OI5,146.354,9025,3835,0035,063

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$48.93$50.008.8%2.5%7.2%21.2%14.2%4.5%-0.1%-274.7K2.8M-25.3K2.3466.26N/AN/A5281,2351,2813,722
2017-07-05$49.00$50.0012.4%3.6%7.2%40.0%22.4%11.9%-4.3%-255.7K2.5M-25.8K2.35109.06N/AN/A5281,2401,2813,847
2017-07-06$48.57$49.008.3%2.4%7.6%18.5%9.2%4.6%0.8%-401.7K3.9M-26.6K2.3466.00N/AN/A5281,2371,2813,852
2017-07-07$48.87$49.007.6%2.4%7.8%15.2%8.9%4.2%0.5%-295.6K3.1M-25.1K2.3370.57N/AN/A5301,2371,2813,862
2017-07-10$48.80$49.007.7%2.3%7.8%15.6%10.3%3.4%0.3%-403.3K3.4M-26.0K2.3341.03N/AN/A5321,2381,2893,862
2017-07-11$48.69$49.006.7%2.2%7.8%10.3%8.7%5.3%0.9%-383.1K3.6M-24.3K2.3366.68N/AN/A5321,2381,2923,883
2017-07-12$49.05$49.007.6%2.2%8.1%15.1%7.5%5.0%1.1%-284.2K2.7M-21.0K2.4174.54N/AN/A5321,2821,2923,883
2017-07-13$48.97$49.007.5%2.1%8.1%14.4%7.6%4.5%1.2%-350.7K3.0M-20.8K2.4279.32N/AN/A5321,2881,2923,957
2017-07-14$49.29$49.007.4%2.1%8.4%13.9%6.9%4.8%1.0%-268.6K2.6M-21.3K2.2349.17N/AN/A5321,1841,2923,967
2017-07-17$49.25$49.007.7%2.2%8.4%15.7%7.4%4.9%0.8%-344.4K2.6M-20.4K2.2370.74N/AN/A5321,1841,2923,966
2017-07-18$49.26$49.007.5%2.1%8.2%14.3%6.4%4.9%1.0%-325.0K2.8M-21.0K2.2371.53N/AN/A5321,1841,2923,966
2017-07-19$49.47$49.006.0%1.7%8.3%6.7%7.7%1.9%3.6%-160.2K2.3M-19.5K1.8779.72N/AN/A6311,1791,2923,966
2017-07-20$49.60$49.006.3%1.8%8.4%8.4%8.0%3.3%1.0%-83.2K2.4M-19.2K1.8790.16N/AN/A6311,1791,3923,991
2017-07-21$49.64$49.005.8%1.7%8.4%5.9%6.2%3.3%1.3%-77.0K2.3M-19.3K1.6180.74N/AN/A7321,1791,3923,990
2017-07-24$49.60$49.005.8%1.7%8.4%5.7%6.1%2.4%1.2%-37.6K2.1M-19.5K1.2487.61N/AN/A6808401,3903,512
2017-07-25$49.63$49.005.9%1.7%8.4%6.5%6.2%3.4%1.0%32.3K1.8M-20.9K1.1259.38N/AN/A7538401,4333,513
2017-07-26$49.65$49.007.4%2.1%7.2%13.8%8.7%5.1%-0.6%-24.1K1.5M-22.2K1.0898.75N/AN/A7758401,4403,538
2017-07-27$49.74$49.005.5%1.6%7.2%4.2%6.1%1.9%1.4%-8.1K1.6M-21.2K1.1174.53N/AN/A7588401,5033,539
2017-07-28$49.78$49.006.0%1.7%5.9%6.8%6.3%3.6%1.2%70.5K1.9M-19.7K1.2678.24N/AN/A6698401,5023,539
2017-07-31$49.97$49.006.2%1.8%5.9%7.7%6.3%3.1%0.8%76.1K652.4K-22.5K1.4921.23N/AN/A6691,0001,5243,539