USMV Options History — September 2017

In September 2017, USMV traded between $50.07 and $50.82. ATM implied volatility averaged 6.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.0% (HV 20d: 5.8%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-09-15: Highest Volume — 2,630 contracts
  • 2017-09-20: Largest IV spike — 42.3% change
  • 2017-09-05: Highest IV Rank — 26.3%
  • 2017-09-05: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.42$50.07$50.82$50.28$50.32
Max Pain$50.05$50.00$51.00$51.00$50.00
ATM IV6.8%4.9%9.8%7.4%6.4%
Expected Move2.0%1.4%2.8%2.1%1.8%
HV 20d5.8%4.7%7.0%6.7%4.7%
HV 60d6.3%5.4%6.6%6.4%5.4%
IV Rank11.2%1.1%26.3%13.9%9.6%
IV Percentile19.3%0.4%65.9%22.2%11.5%
Term Structure1.4%0.4%2.8%1.2%1.3%
VWIV6.9%4.5%9.5%6.2%4.5%
Skew 25d4.3%2.2%7.9%2.2%2.3%
Skew 10d6.6%1.3%12.2%1.4%1.3%
Call IV 25d5.3%3.7%7.8%4.9%3.8%
Put IV 25d9.6%6.1%13.9%7.1%6.1%
Bid-Ask Spread %37.6110.9794.2912.0610.97
Gamma HHI0.220.150.390.250.16
Net GEX337.4K164.5K653.6K461.6K187.4K
Net DEX-3.2M-4.3M-1.8M-2.5M-4.3M
Net VEX-26.0K-28.5K-23.8K-27.6K-23.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.661.391.180.70
Total Volume1,929.81,2072,6302,3441,207
Total OI5,295.13,8436,9006,4194,048

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$50.28$51.007.4%2.1%6.7%13.9%6.2%2.2%1.2%461.6K-2.5M-27.6K1.1812.06N/AN/A1,0731,2712,3844,035
2017-09-05$50.07$50.009.8%2.8%6.9%26.3%9.5%6.3%1.3%384.2K-1.8M-28.5K1.2466.00N/AN/A1,0271,2742,4034,100
2017-09-06$50.16$50.008.0%2.7%6.8%17.1%9.3%4.9%1.0%434.6K-2.0M-27.4K1.2439.34N/AN/A1,0281,2742,3634,109
2017-09-07$50.24$50.007.8%2.6%6.8%15.8%9.1%5.4%1.0%474.9K-2.1M-27.3K1.2449.18N/AN/A1,0281,2742,3744,109
2017-09-08$50.44$50.008.6%2.7%6.6%20.4%9.3%7.9%1.2%484.2K-2.7M-27.2K1.3423.42N/AN/A1,0281,3752,3744,109
2017-09-11$50.82$50.005.0%2.0%7.0%1.7%9.1%5.8%2.2%639.2K-3.3M-25.2K1.3927.91N/AN/A9921,3752,3744,237
2017-09-12$50.80$50.006.4%1.9%6.4%9.6%7.2%4.5%2.0%653.6K-3.2M-25.7K1.1822.05N/AN/A1,1191,3242,3914,246
2017-09-13$50.63$50.006.7%1.9%6.6%11.1%7.5%4.0%2.0%568.9K-3.4M-26.1K1.1230.63N/AN/A1,1911,3292,5504,252
2017-09-14$50.65$50.005.1%1.5%6.5%2.2%6.7%4.1%2.5%617.5K-3.8M-26.8K1.1189.99N/AN/A1,1911,3232,6484,252
2017-09-15$50.66$50.005.5%1.6%5.3%4.6%6.2%3.8%2.8%175.9K-3.7M-26.2K1.1270.84N/AN/A1,2391,3912,6484,250
2017-09-18$50.71$50.004.9%1.4%5.3%1.2%6.5%3.7%1.2%164.5K-3.5M-25.6K1.0131.44N/AN/A7898001,9061,937
2017-09-19$50.59$50.004.9%1.4%5.3%1.1%6.5%3.4%1.0%192.6K-3.9M-26.0K1.0128.38N/AN/A7898002,0211,946
2017-09-20$50.54$50.007.0%2.0%5.0%12.6%6.0%2.9%1.5%189.6K-3.2M-25.9K0.9994.29N/AN/A7897812,0211,946
2017-09-21$50.33$50.007.2%2.1%5.0%13.8%4.7%4.6%0.4%206.7K-3.5M-25.1K1.0238.68N/AN/A7898052,0211,947
2017-09-22$50.39$50.006.7%1.9%4.8%10.9%4.7%4.3%1.4%189.6K-3.4M-25.2K1.0321.81N/AN/A7808052,0211,971
2017-09-25$50.35$50.007.9%2.3%4.7%17.7%5.3%4.0%0.4%185.1K-3.4M-25.0K0.6832.36N/AN/A7845352,0231,971
2017-09-26$50.11$50.007.0%2.0%5.0%12.7%5.5%3.9%1.0%171.2K-3.1M-26.1K0.6820.30N/AN/A7875362,0281,973
2017-09-27$50.09$50.006.6%1.9%5.0%10.7%6.8%3.9%1.6%181.1K-3.8M-24.6K0.7119.61N/AN/A7995682,0311,911
2017-09-28$50.21$50.006.7%1.9%5.1%11.1%6.6%4.3%1.6%185.7K-4.2M-24.4K0.6623.04N/AN/A7995282,0431,929
2017-09-29$50.32$50.006.4%1.8%4.7%9.6%4.5%2.3%1.3%187.4K-4.3M-23.8K0.7010.97N/AN/A7124952,0432,005