USMV Options History — February 2018

In February 2018, USMV traded between $50.48 and $54.40. ATM implied volatility averaged 15.9%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.0% (HV 20d: 16.9%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-02-02: Highest Volume — 2,151 contracts
  • 2018-02-05: Largest IV spike — 115.1% change
  • 2018-02-02: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.36$50.48$54.40$54.40$52.40
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV15.9%11.4%28.3%11.4%14.0%
Expected Move4.3%3.2%6.4%3.2%4.0%
HV 20d16.9%6.9%19.9%6.9%19.9%
HV 60d10.9%6.0%12.5%6.0%12.5%
IV Rank56.8%35.1%100.0%88.0%42.5%
IV Percentile97.5%93.7%100.0%99.6%96.4%
Term Structure-0.6%-4.9%1.6%1.0%1.4%
VWIV16.7%11.9%25.1%14.4%17.7%
Skew 25d6.7%4.7%12.0%5.0%5.3%
Skew 10d15.2%3.8%24.4%9.8%3.8%
Call IV 25d12.8%9.2%18.8%9.2%11.5%
Put IV 25d19.5%14.3%29.6%14.3%16.8%
Bid-Ask Spread %79.5441.92107.3267.90103.76
Gamma HHI0.200.170.260.200.21
Net GEX400.4K293.9K452.6K424.8K390.6K
Net DEX-9.5M-12.9M-6.2M-12.9M-10.8M
Net VEX-23.6K-28.1K-19.0K-21.6K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.271.470.270.60
Total Volume1,304.4219272,1512,023947
Total OI4,473.1584,2344,5534,2344,506

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$54.40$47.0011.4%3.2%6.9%88.0%14.4%5.0%1.0%424.8K-12.9M-21.6K0.2767.90N/AN/A1,5924313,2251,009
2018-02-02$53.56$47.0012.5%3.4%9.1%100.0%16.3%5.5%-0.0%441.1K-11.4M-23.6K0.4675.53N/AN/A1,4786733,2271,053
2018-02-05$51.95$47.0026.9%5.3%14.1%100.0%23.6%8.6%-2.4%401.5K-8.6M-27.8K0.47107.32N/AN/A1,3966583,2171,217
2018-02-06$51.97$47.0028.3%5.8%14.1%100.0%20.6%9.5%-4.9%452.6K-8.4M-26.7K0.4786.68N/AN/A1,4096633,2371,210
2018-02-07$51.94$47.0015.4%4.4%14.1%48.0%21.9%7.7%-0.7%445.1K-8.7M-25.8K0.5371.75N/AN/A1,1716233,2261,214
2018-02-08$50.48$47.0022.3%6.4%17.0%75.9%25.1%12.0%-3.8%426.1K-6.2M-27.9K0.6569.32N/AN/A1,1537483,2481,281
2018-02-09$51.10$47.0022.1%6.3%17.8%75.1%21.7%8.6%-2.7%418.0K-6.5M-28.1K1.4786.11N/AN/A5107483,2411,311
2018-02-12$51.54$47.0016.7%4.8%18.1%53.5%19.5%7.5%-1.3%423.6K-8.0M-25.4K0.8670.87N/AN/A5034313,2411,311
2018-02-13$51.76$47.0015.3%4.4%18.2%47.6%17.3%6.4%-0.5%410.5K-8.1M-24.7K0.8557.75N/AN/A5054313,2231,308
2018-02-14$52.15$47.0014.0%4.0%18.1%42.5%14.9%6.0%0.1%405.8K-8.9M-24.0K0.8661.89N/AN/A5044333,2241,318
2018-02-15$52.77$47.0012.7%3.6%18.8%37.2%13.7%5.4%0.2%370.0K-9.9M-22.9K0.8567.50N/AN/A5114333,2241,321
2018-02-16$53.10$47.0013.6%3.9%18.8%40.8%12.8%7.2%-0.2%293.9K-10.7M-21.8K0.5968.04N/AN/A6493833,2321,321
2018-02-20$52.51$47.0012.8%3.7%19.0%37.7%13.5%5.4%1.1%420.0K-9.8M-22.3K0.5673.25N/AN/A6293533,1591,281
2018-02-21$52.12$47.0013.5%3.9%19.0%40.4%13.6%6.8%1.6%446.1K-10.1M-23.7K0.5698.50N/AN/A6293533,1911,289
2018-02-22$52.12$47.0014.1%4.0%19.0%42.9%14.0%4.7%-0.7%402.8K-9.6M-21.5K0.5698.81N/AN/A6293533,1911,289
2018-02-23$52.84$47.0012.2%3.5%19.7%35.1%12.7%5.1%0.9%339.5K-10.3M-20.2K0.56102.94N/AN/A6293533,1911,289
2018-02-26$53.31$47.0012.4%3.6%19.8%36.2%11.9%5.6%-1.1%354.7K-11.4M-19.0K0.61101.44N/AN/A5743533,1911,289
2018-02-27$52.82$47.0012.2%3.5%19.9%35.3%12.0%5.2%-0.1%340.4K-10.8M-19.6K0.6041.92N/AN/A5923543,1961,289
2018-02-28$52.40$47.0014.0%4.0%19.9%42.5%17.7%5.3%1.4%390.6K-10.8M-21.0K0.60103.76N/AN/A5933543,2161,290