USMV Options History — October 2017

In October 2017, USMV traded between $50.48 and $51.53. ATM implied volatility averaged 6.1%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 2.3% (HV 20d: 3.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-10-12: Highest Volume — 1,621 contracts
  • 2017-10-23: Largest IV spike — 113.5% change
  • 2017-10-25: Highest IV Rank — 28.6%
  • 2017-10-25: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.07$50.48$51.53$50.48$51.32
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV6.1%3.5%8.9%6.5%7.1%
Expected Move1.9%1.0%2.6%1.9%2.0%
HV 20d3.8%3.0%4.8%4.8%3.6%
HV 60d5.1%4.9%5.3%5.3%5.1%
IV Rank13.4%0.0%28.6%10.0%19.1%
IV Percentile20.4%0.0%70.6%12.7%29.8%
Term Structure0.9%-2.5%3.2%2.0%0.9%
VWIV7.6%3.7%10.1%4.3%7.1%
Skew 25d3.6%0.0%6.3%3.9%3.1%
Skew 10d5.6%1.6%20.7%20.7%1.6%
Call IV 25d4.8%3.3%8.3%3.5%4.0%
Put IV 25d8.4%6.8%10.9%7.4%7.1%
Bid-Ask Spread %48.1711.08106.3418.6424.07
Gamma HHI0.200.170.250.170.20
Net GEX200.9K73.6K359.4K188.7K121.2K
Net DEX-6.0M-7.0M-4.4M-4.4M-6.4M
Net VEX-19.7K-23.0K-17.1K-22.6K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.621.030.761.03
Total Volume1,282.5451,1771,6211,3151,177
Total OI4,391.4094,0794,5114,0794,397

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$50.48$50.006.5%1.9%4.8%10.0%4.3%3.9%2.0%188.7K-4.4M-22.6K0.7618.64N/AN/A7495662,0432,036
2017-10-03$50.57$50.003.5%1.0%4.6%0.0%3.7%3.5%3.2%195.3K-4.8M-22.8K0.7511.08N/AN/A7485612,0432,103
2017-10-04$50.67$50.003.8%1.1%4.6%1.9%4.5%3.1%2.5%165.7K-4.6M-22.3K0.7418.71N/AN/A7485522,0432,141
2017-10-05$50.84$50.004.2%1.8%4.7%4.0%8.1%3.4%1.0%205.9K-5.4M-21.3K0.7126.29N/AN/A8155762,0432,170
2017-10-06$50.78$50.003.6%1.8%4.5%0.7%8.1%3.8%1.3%222.4K-5.3M-21.4K0.6921.25N/AN/A8195612,1102,223
2017-10-09$50.68$50.004.3%1.8%3.7%4.2%8.5%4.3%0.9%313.1K-5.5M-23.0K0.8531.35N/AN/A7316212,1722,248
2017-10-10$50.79$50.004.3%1.9%3.8%4.3%8.5%4.0%0.8%297.5K-5.8M-21.5K0.8516.16N/AN/A7316212,1812,330
2017-10-11$50.91$50.006.5%1.9%3.7%16.0%8.3%4.2%0.7%274.3K-6.2M-19.7K0.8522.58N/AN/A7316212,1812,330
2017-10-12$50.97$50.006.8%2.0%3.7%17.4%8.6%2.9%0.8%258.7K-6.3M-19.2K0.62103.51N/AN/A1,0006212,1812,330
2017-10-13$51.02$50.005.9%1.7%3.7%12.6%7.7%3.8%1.6%268.4K-6.2M-20.7K0.85101.11N/AN/A7296212,1582,330
2017-10-16$50.98$50.006.6%1.9%3.7%16.5%7.8%2.5%0.6%359.4K-6.2M-20.1K0.85104.86N/AN/A7296212,1732,330
2017-10-17$51.10$50.006.5%1.9%3.7%15.8%8.3%3.0%0.6%295.1K-6.3M-19.1K1.02105.74N/AN/A6106212,1732,330
2017-10-18$51.12$50.006.6%1.9%3.6%16.2%6.9%2.5%0.6%286.5K-6.4M-19.3K1.00106.34N/AN/A6015992,1732,330
2017-10-19$51.33$50.007.0%2.0%3.4%18.6%7.2%4.5%1.0%224.2K-6.8M-17.5K0.9984.17N/AN/A6065992,1732,330
2017-10-20$51.51$50.003.5%1.0%3.5%0.1%8.0%4.1%2.4%79.7K-7.0M-17.8K0.9893.49N/AN/A6095992,1742,330
2017-10-23$51.50$50.007.4%2.1%3.4%20.5%7.9%3.8%0.4%73.6K-6.6M-17.4K0.9325.02N/AN/A6405942,0712,273
2017-10-24$51.38$50.007.8%2.2%3.0%22.3%7.9%4.3%0.5%104.4K-6.5M-17.6K1.0125.64N/AN/A5875942,0942,273
2017-10-25$51.30$50.008.9%2.6%3.1%28.6%10.1%6.3%0.0%134.7K-6.3M-18.9K1.0323.08N/AN/A5815962,1242,273
2017-10-26$51.37$50.008.5%2.4%3.0%26.0%9.1%5.1%0.4%118.5K-6.4M-18.5K1.0332.94N/AN/A5815962,1252,275
2017-10-27$51.53$50.006.8%1.9%3.1%17.3%8.3%0.0%-2.5%95.9K-6.8M-17.3K1.0336.29N/AN/A5815962,1252,272
2017-10-30$51.29$50.007.8%2.2%3.6%22.5%8.9%3.7%0.5%137.2K-6.2M-18.4K1.0327.39N/AN/A5815962,1252,272
2017-10-31$51.32$50.007.1%2.0%3.6%19.1%7.1%3.1%0.9%121.2K-6.4M-17.1K1.0324.07N/AN/A5815962,1252,272