USMV Options History — August 2017

In August 2017, USMV traded between $49.56 and $50.31. ATM implied volatility averaged 7.8%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.5% (HV 20d: 5.3%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-08-22: Highest Volume — 2,449 contracts
  • 2017-08-09: Largest IV spike — 45.1% change
  • 2017-08-11: Highest IV Rank — 26.2%
  • 2017-08-11: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.91$49.56$50.31$49.99$50.31
Max Pain$50.83$49.00$51.00$49.00$51.00
ATM IV7.8%5.0%9.8%6.1%7.7%
Expected Move2.3%1.6%2.8%1.7%2.2%
HV 20d5.3%3.4%6.7%5.7%6.7%
HV 60d6.4%6.2%6.7%6.4%6.5%
IV Rank16.0%1.7%26.2%7.2%15.7%
IV Percentile34.6%0.4%63.1%4.4%29.4%
Term Structure1.4%0.3%2.8%0.9%1.7%
VWIV8.6%4.7%12.8%6.1%6.0%
Skew 25d6.2%3.5%18.6%3.5%4.4%
Skew 10d9.9%3.6%27.6%4.9%5.9%
Call IV 25d5.4%4.1%6.6%5.0%4.8%
Put IV 25d11.6%8.5%23.7%8.5%9.1%
Bid-Ask Spread %31.5612.4363.6718.1912.68
Gamma HHI0.200.170.260.190.26
Net GEX160.1K-52.7K399.9K135.4K399.9K
Net DEX-67.2K-2.1M1.3M1.3M-2.1M
Net VEX-26.5K-31.8K-20.3K-20.4K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.871.311.041.03
Total Volume2,215.6091,7632,4491,7722,448
Total OI6,025.3045,2336,4345,2336,274

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$49.99$49.006.1%1.7%5.7%7.2%6.1%3.5%0.9%135.4K1.3M-20.4K1.0418.19N/AN/A8679051,5243,709
2017-08-02$49.98$49.005.6%1.6%5.7%4.8%5.6%18.6%1.5%227.7K838.1K-20.8K1.0316.12N/AN/A8678961,6263,770
2017-08-03$49.91$51.005.5%2.0%4.5%4.0%5.9%4.8%2.2%166.9K940.4K-20.3K1.0318.57N/AN/A8678961,6263,822
2017-08-04$49.85$51.005.0%1.8%4.3%1.7%5.2%4.4%2.8%158.5K1.1M-20.3K0.8718.80N/AN/A1,0308941,6263,822
2017-08-07$49.90$51.005.1%2.0%4.2%2.2%4.7%4.6%2.4%293.5K289.4K-22.9K0.8712.43N/AN/A1,0318941,8563,822
2017-08-08$49.75$51.005.4%2.0%4.2%3.5%6.1%5.5%2.3%177.6K384.9K-24.9K0.9225.86N/AN/A9788951,8763,822
2017-08-09$49.82$51.007.8%2.2%3.5%15.9%9.2%5.9%2.0%173.1K293.5K-25.8K1.1033.31N/AN/A9951,0961,8973,824
2017-08-10$49.56$51.009.0%2.6%4.1%22.4%10.3%6.7%1.5%22.3K649.0K-27.0K1.1716.74N/AN/A9951,1601,8973,953
2017-08-11$49.57$51.009.8%2.8%3.4%26.2%10.7%7.2%1.0%-52.7K822.2K-29.5K1.1719.57N/AN/A9541,1181,8974,030
2017-08-14$50.00$51.008.4%2.4%4.5%19.3%9.5%7.6%1.5%108.0K-278.3K-28.1K1.0549.74N/AN/A1,1431,1951,9244,082
2017-08-15$50.12$51.008.5%2.4%4.5%19.7%9.0%5.7%1.4%273.5K-897.5K-27.8K1.1030.14N/AN/A1,1241,2312,1574,126
2017-08-16$50.22$51.008.7%2.5%4.4%20.7%7.9%6.4%1.7%260.5K-1.2M-28.6K1.1051.19N/AN/A1,1131,2212,1584,127
2017-08-17$49.73$51.009.4%2.7%5.7%24.3%11.6%8.3%1.3%151.4K-312.8K-30.6K1.1963.67N/AN/A1,1131,3262,1584,127
2017-08-18$49.67$51.009.3%2.7%5.7%23.5%11.6%7.5%1.4%33.0K164.2K-31.8K1.1931.36N/AN/A1,1131,3262,1584,276
2017-08-21$49.83$51.009.4%2.7%5.8%24.5%10.2%7.2%0.5%78.9K-223.1K-30.1K1.3125.83N/AN/A1,0591,3892,1284,127
2017-08-22$50.14$51.008.7%2.5%6.2%20.7%9.2%5.5%0.3%146.3K-629.7K-27.5K1.3134.49N/AN/A1,0601,3892,1294,144
2017-08-23$49.95$51.008.5%2.4%6.4%19.4%9.7%5.7%1.2%122.1K-346.4K-28.4K1.2336.21N/AN/A1,0511,2912,1294,144
2017-08-24$49.79$51.008.8%2.5%6.4%21.1%11.8%5.0%0.4%99.5K-40.1K-28.0K1.1147.45N/AN/A1,1531,2772,1294,146
2017-08-25$49.98$51.008.6%2.5%6.6%20.3%9.9%4.7%0.7%164.6K-566.1K-28.2K1.0859.69N/AN/A1,1531,2422,2334,146
2017-08-28$49.94$51.007.9%2.3%6.4%16.5%12.8%5.2%1.1%167.9K-439.1K-27.6K1.0838.82N/AN/A1,1531,2432,2334,146
2017-08-29$49.96$51.008.1%2.3%6.4%17.6%7.5%4.3%1.4%170.7K-501.7K-28.1K1.0745.35N/AN/A1,1611,2432,2334,155
2017-08-30$50.03$51.008.1%2.3%6.5%17.4%7.5%4.1%1.1%202.9K-769.0K-27.2K1.0719.67N/AN/A1,1611,2432,2394,155
2017-08-31$50.31$51.007.7%2.2%6.7%15.7%6.0%4.4%1.7%399.9K-2.1M-26.2K1.0312.68N/AN/A1,2051,2432,2394,035