USMV Options History — December 2017

In December 2017, USMV traded between $52.54 and $53.34. ATM implied volatility averaged 6.4%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.7% (HV 20d: 5.8%). Max pain ranged from $48.00 to $54.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-12-15: Highest Volume — 2,145 contracts
  • 2017-12-06: Largest IV drop — 22.9% change
  • 2017-12-04: Highest IV Rank — 53.6%
  • 2017-12-01: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.85$52.54$53.34$52.83$52.85
Max Pain$53.00$48.00$54.00$48.00$53.00
ATM IV6.4%5.0%8.3%8.3%6.0%
Expected Move1.9%1.7%2.4%2.4%1.7%
HV 20d5.8%5.0%6.1%5.8%5.0%
HV 60d4.7%4.5%4.9%4.7%4.9%
IV Rank33.0%16.8%53.6%52.6%28.8%
IV Percentile24.4%4.4%67.5%65.1%15.9%
Term Structure1.2%-0.7%1.9%-0.7%1.1%
VWIV7.5%5.9%12.6%12.6%8.7%
Skew 25d3.8%2.1%5.3%4.3%3.9%
Skew 10d6.9%4.3%9.8%8.5%4.4%
Call IV 25d5.5%4.3%7.4%7.4%4.8%
Put IV 25d9.3%7.8%11.7%11.7%8.7%
Bid-Ask Spread %32.5011.3168.3067.7168.30
Gamma HHI0.210.140.330.160.19
Net GEX268.0K-51.0K499.1K80.4K499.1K
Net DEX-11.2M-14.2M-8.5M-12.0M-9.8M
Net VEX-18.1K-23.9K-14.7K-16.5K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.321.181.180.33
Total Volume1,495.51,0642,1451,7941,166
Total OI4,917.83,5626,1745,4083,919

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$52.83$48.008.3%2.4%5.8%52.6%12.6%4.3%-0.7%80.4K-12.0M-16.5K1.1867.71N/AN/A8229722,9712,437
2017-12-04$52.73$54.008.3%2.2%5.9%53.6%8.0%5.3%1.5%50.8K-12.3M-18.2K0.9921.01N/AN/A8218123,1122,818
2017-12-05$52.54$54.006.5%2.0%6.1%33.4%9.3%4.6%1.5%5.5K-11.9M-19.1K0.9957.75N/AN/A8188133,1012,829
2017-12-06$52.59$54.005.0%2.1%6.1%17.4%9.1%4.4%1.3%-51.0K-12.2M-18.4K0.9948.42N/AN/A8188133,0952,834
2017-12-07$52.62$54.005.4%2.0%6.0%21.6%8.3%4.4%1.9%-19.9K-12.3M-17.9K1.0519.46N/AN/A7758133,0952,834
2017-12-08$52.81$54.005.0%1.9%6.1%16.8%6.9%3.9%1.8%48.8K-12.9M-15.1K0.8226.30N/AN/A1,0298433,1142,834
2017-12-11$52.91$53.006.0%1.8%6.0%28.5%6.8%3.9%1.7%276.5K-13.1M-14.7K0.8320.52N/AN/A1,0188433,1652,884
2017-12-12$52.95$53.007.1%1.8%6.0%40.3%6.4%4.0%1.7%418.6K-13.0M-16.5K0.8328.13N/AN/A1,0188433,1602,884
2017-12-13$53.03$53.007.3%2.1%6.0%43.0%7.3%2.1%0.8%429.6K-13.0M-17.9K0.8554.44N/AN/A9918433,1552,884
2017-12-14$52.84$53.006.6%1.9%5.4%35.2%6.5%4.2%1.6%354.4K-13.4M-16.3K0.8219.76N/AN/A1,0298473,2602,884
2017-12-15$53.22$53.006.5%1.9%5.5%33.7%6.0%3.5%1.3%218.1K-14.2M-16.4K0.6559.83N/AN/A1,2988473,2852,889
2017-12-18$53.34$53.006.9%2.0%5.2%38.4%6.6%4.1%0.8%295.1K-9.5M-17.1K0.3319.20N/AN/A8912942,4551,135
2017-12-19$53.09$53.006.7%1.9%5.6%35.5%6.7%3.7%0.8%342.3K-9.1M-18.5K0.3518.03N/AN/A8913122,4551,135
2017-12-20$52.97$53.006.2%1.8%5.6%30.4%5.9%3.3%1.0%373.5K-8.9M-18.1K0.3833.59N/AN/A7932982,4551,153
2017-12-21$52.64$53.006.1%1.7%6.0%29.1%6.9%2.9%0.9%384.2K-8.5M-20.3K0.3825.18N/AN/A7932982,4591,163
2017-12-22$52.65$53.005.8%1.7%6.0%25.7%7.2%3.5%1.2%416.5K-8.7M-20.2K0.3714.64N/AN/A7932962,5491,163
2017-12-26$52.69$53.006.3%1.8%6.0%31.8%7.5%3.4%0.9%451.1K-9.4M-19.7K0.3721.00N/AN/A7932962,5491,013
2017-12-27$52.82$53.006.7%1.9%5.5%36.0%7.2%3.3%0.7%410.7K-9.7M-18.5K0.3815.42N/AN/A7732912,5491,013
2017-12-28$52.93$53.006.0%1.7%5.5%28.1%7.1%3.9%1.5%375.9K-9.4M-17.9K0.3211.31N/AN/A9152912,5491,118
2017-12-29$52.85$53.006.0%1.7%5.0%28.8%8.7%3.9%1.1%499.1K-9.8M-23.9K0.3368.30N/AN/A8752912,8011,118