USMV Options History — January 2018

In January 2018, USMV traded between $52.72 and $55.26. ATM implied volatility averaged 7.6%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.1% (HV 20d: 5.5%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2018-01-26: Highest Volume — 2,082 contracts
  • 2018-01-08: Largest IV drop — 36.1% change
  • 2018-01-31: Highest IV Rank — 87.9%
  • 2018-01-31: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.92$52.72$55.26$52.72$54.66
Max Pain$53.19$53.00$55.00$53.00$55.00
ATM IV7.6%4.7%11.4%5.0%11.4%
Expected Move2.3%1.4%3.3%1.4%3.3%
HV 20d5.5%5.0%6.8%5.0%6.6%
HV 60d5.3%4.9%5.9%4.9%5.9%
IV Rank46.2%14.2%87.9%17.4%87.9%
IV Percentile52.7%3.6%99.6%5.2%99.6%
Term Structure0.5%-3.3%2.1%1.6%-3.3%
VWIV8.5%5.2%11.3%8.2%11.1%
Skew 25d2.4%-1.1%5.7%3.0%5.7%
Skew 10d5.5%1.0%8.9%2.5%6.9%
Call IV 25d7.0%4.7%12.0%5.0%12.0%
Put IV 25d9.5%5.2%17.7%8.0%17.7%
Bid-Ask Spread %70.3926.40115.1826.40106.42
Gamma HHI0.220.180.260.200.21
Net GEX401.4K245.9K560.5K560.5K378.9K
Net DEX-12.0M-13.6M-9.7M-9.7M-13.3M
Net VEX-19.4K-23.1K-16.2K-22.5K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.190.390.350.24
Total Volume1,750.4761,1162,0821,1162,001
Total OI4,008.0953,8404,2043,9434,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$52.72$53.005.0%1.4%5.0%17.4%8.2%3.0%1.6%560.5K-9.7M-22.5K0.3526.40N/AN/A8252912,8251,118
2018-01-03$52.90$53.005.2%1.5%5.1%19.2%5.2%0.5%1.7%539.7K-10.2M-23.1K0.3937.47N/AN/A8253192,8751,118
2018-01-04$53.07$53.006.1%2.0%5.1%29.0%7.1%2.3%0.9%537.0K-10.9M-19.8K0.2360.08N/AN/A1,4163192,8751,095
2018-01-05$53.34$53.007.4%2.2%5.3%44.0%7.7%2.8%0.5%477.9K-11.0M-20.8K0.2383.33N/AN/A1,4173252,8581,095
2018-01-08$53.45$53.004.7%2.1%5.3%14.2%7.4%2.7%1.1%480.5K-11.5M-19.2K0.2268.17N/AN/A1,4283182,8661,101
2018-01-09$53.46$53.006.2%2.4%5.2%29.9%8.6%3.3%-0.2%471.7K-11.5M-19.4K0.2048.96N/AN/A1,5573182,8781,101
2018-01-10$53.20$53.007.8%2.2%5.5%47.9%7.8%2.9%0.3%490.6K-11.0M-20.7K0.1935.53N/AN/A1,5572922,9181,101
2018-01-11$53.33$53.007.8%2.2%5.6%48.6%7.5%2.8%0.8%456.1K-11.5M-18.7K0.2048.12N/AN/A1,4722922,9181,111
2018-01-12$53.48$53.008.4%2.4%5.7%55.2%8.4%3.1%-0.3%447.7K-11.6M-19.3K0.2138.12N/AN/A1,4042922,9191,111
2018-01-16$53.50$53.008.7%2.5%5.5%57.9%8.5%2.7%0.8%458.9K-11.5M-21.6K0.2151.61N/AN/A1,4012942,9271,111
2018-01-17$53.95$53.007.2%2.1%5.7%41.3%7.4%-0.2%0.9%363.8K-12.2M-18.2K0.21110.88N/AN/A1,4042962,9321,113
2018-01-18$53.85$53.007.3%2.1%5.7%42.4%8.0%-1.1%0.9%337.8K-12.7M-16.9K0.22112.38N/AN/A1,4233162,9531,111
2018-01-19$54.12$53.007.5%2.1%5.6%44.7%7.1%1.1%1.8%294.6K-12.7M-17.4K0.22115.18N/AN/A1,4443202,9771,131
2018-01-22$54.46$53.006.4%1.8%5.7%32.2%7.9%2.1%2.1%303.2K-12.9M-16.2K0.25112.48N/AN/A1,4183612,933907
2018-01-23$54.56$53.007.3%2.1%5.0%42.9%9.9%2.5%0.8%269.5K-12.8M-17.9K0.2689.32N/AN/A1,3653612,926956
2018-01-24$54.59$53.008.4%2.4%5.0%54.7%11.1%3.4%0.4%267.3K-12.7M-18.1K0.2488.19N/AN/A1,4813542,900956
2018-01-25$54.82$53.008.5%2.4%5.0%56.0%9.1%4.3%0.2%273.5K-13.1M-18.0K0.2561.48N/AN/A1,4323642,970971
2018-01-26$55.26$53.008.1%2.3%5.4%51.5%8.5%2.9%1.1%245.9K-13.4M-18.0K0.2174.35N/AN/A1,7173652,975981
2018-01-29$54.94$53.0010.5%3.0%6.2%78.1%10.6%1.4%-0.7%389.6K-13.6M-20.1K0.2447.84N/AN/A1,6113853,173981
2018-01-30$54.58$55.0010.3%3.0%6.8%76.0%11.3%3.1%-0.0%383.8K-12.9M-21.8K0.2461.78N/AN/A1,5943863,1971,002
2018-01-31$54.66$55.0011.4%3.3%6.6%87.9%11.1%5.7%-3.3%378.9K-13.3M-20.7K0.24106.42N/AN/A1,6163853,1991,005