USMV Options History — November 2017

In November 2017, USMV traded between $51.29 and $52.91. ATM implied volatility averaged 7.0%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.6% (HV 20d: 4.4%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-11-14: Highest Volume — 1,863 contracts
  • 2017-11-30: Largest IV spike — 69.6% change
  • 2017-11-15: Highest IV Rank — 66.6%
  • 2017-11-01: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.81$51.29$52.91$51.29$52.91
Max Pain$49.05$49.00$50.00$50.00$49.00
ATM IV7.0%4.6%11.0%11.0%7.8%
Expected Move2.1%1.3%3.2%3.2%2.2%
HV 20d4.4%3.4%5.7%3.6%5.7%
HV 60d4.6%4.2%5.1%5.1%4.7%
IV Rank31.9%12.5%66.6%39.4%47.5%
IV Percentile31.0%2.8%91.7%91.7%52.8%
Term Structure1.4%-1.3%3.1%-1.3%0.0%
VWIV7.7%5.2%10.4%10.4%7.9%
Skew 25d3.7%-4.0%6.9%-4.0%2.1%
Skew 10d6.8%-4.9%14.1%-4.9%8.6%
Call IV 25d5.8%4.3%12.9%12.9%6.4%
Put IV 25d9.4%6.1%11.6%8.9%8.6%
Bid-Ask Spread %53.4214.15107.22107.2245.75
Gamma HHI0.240.160.320.190.16
Net GEX57.9K-97.9K187.3K185.5K116.5K
Net DEX-8.7M-11.8M-6.4M-6.5M-11.8M
Net VEX-16.3K-19.8K-14.2K-16.1K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.411.031.030.76
Total Volume1,322.1431,1271,8631,1771,252
Total OI4,824.194,3975,3074,3975,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$51.29$50.0011.0%3.2%3.6%39.4%10.4%-4.0%-1.3%185.5K-6.5M-16.1K1.03107.22N/AN/A5815962,1252,272
2017-11-02$51.39$49.007.5%2.4%3.5%21.0%9.0%3.4%1.5%91.2K-6.4M-16.4K0.9450.05N/AN/A5815462,1252,272
2017-11-03$51.42$49.006.4%2.3%3.5%15.1%6.6%3.2%1.4%107.1K-7.0M-14.4K0.9477.55N/AN/A5815462,1252,273
2017-11-06$51.36$49.006.4%2.4%3.4%15.3%6.6%4.4%1.4%144.1K-7.0M-14.2K0.8776.50N/AN/A6315462,1252,273
2017-11-07$51.55$49.006.0%1.7%3.5%16.2%7.5%4.5%2.7%105.3K-7.0M-15.6K0.8862.50N/AN/A6615812,1852,273
2017-11-08$51.69$49.005.0%1.4%3.5%14.7%7.5%4.8%3.1%70.7K-7.2M-14.4K0.8451.81N/AN/A6815702,1552,308
2017-11-09$51.65$49.007.1%2.1%3.6%35.3%9.5%1.4%2.7%67.4K-6.7M-16.9K0.8596.63N/AN/A6825782,1452,343
2017-11-10$51.58$49.007.2%2.1%3.6%35.6%8.2%4.3%1.9%67.1K-6.8M-16.0K0.8651.16N/AN/A6745792,1482,359
2017-11-13$51.75$49.007.4%2.1%3.7%38.3%9.3%5.9%2.1%25.4K-7.0M-15.6K0.7351.63N/AN/A7935792,1482,360
2017-11-14$51.84$49.007.8%2.2%3.7%42.3%9.3%6.9%1.8%38.1K-7.3M-15.8K0.4248.39N/AN/A1,3135502,1952,360
2017-11-15$51.48$49.0010.1%2.9%4.6%66.6%9.3%5.5%0.8%187.3K-9.5M-19.8K0.4362.51N/AN/A1,2945512,8082,360
2017-11-16$51.84$49.007.0%2.0%5.0%36.8%7.0%4.5%2.2%100.7K-10.3M-19.1K0.4238.72N/AN/A1,2945412,8082,361
2017-11-17$51.65$49.006.6%1.9%5.1%32.8%10.1%5.0%2.7%113.1K-9.8M-18.9K0.4146.87N/AN/A1,2925242,8072,376
2017-11-20$51.71$49.005.7%1.6%5.1%23.0%7.1%3.6%1.5%24.7K-9.8M-17.0K0.7868.45N/AN/A6685212,7432,350
2017-11-21$51.98$49.006.8%2.0%5.3%36.7%7.1%3.0%0.2%30.2K-10.3M-16.1K0.8054.31N/AN/A6545252,7432,350
2017-11-22$51.86$49.006.3%1.8%5.3%31.4%5.8%5.7%0.2%-27.9K-9.7M-17.5K0.8532.92N/AN/A6165252,7432,385
2017-11-24$51.96$49.006.0%1.7%5.4%27.7%5.2%2.5%0.9%-80.2K-10.3M-15.8K0.8644.74N/AN/A6165312,7552,385
2017-11-27$52.07$49.006.4%1.8%5.3%32.4%6.3%1.2%0.9%-97.9K-10.2M-16.3K0.8621.23N/AN/A6165312,7552,391
2017-11-28$52.44$49.008.0%2.3%5.4%49.5%6.0%4.6%-0.3%-27.5K-11.2M-14.2K0.8814.15N/AN/A6025312,7552,391
2017-11-29$52.55$49.004.6%1.3%5.4%12.5%5.2%4.4%3.1%-24.9K-11.4M-14.4K0.7118.76N/AN/A7225102,7762,390
2017-11-30$52.91$49.007.8%2.2%5.7%47.5%7.9%2.1%0.0%116.5K-11.8M-17.7K0.7645.75N/AN/A7115412,9242,383