USMV Options History — March 2018

In March 2018, USMV traded between $50.76 and $53.55. ATM implied volatility averaged 13.1%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.9% (HV 20d: 15.0%). Max pain ranged from $47.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-03-16: Highest Volume — 1,695 contracts
  • 2018-03-22: Largest IV spike — 46.0% change
  • 2018-03-28: Highest IV Rank — 66.2%
  • 2018-03-28: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.47$50.76$53.55$51.78$51.98
Max Pain$50.86$47.00$52.00$47.00$52.00
ATM IV13.1%8.8%19.9%15.2%15.4%
Expected Move3.8%2.8%5.7%4.3%4.4%
HV 20d15.0%11.8%20.4%20.2%15.1%
HV 60d13.6%12.7%15.1%12.7%15.1%
IV Rank38.9%21.5%66.2%47.2%48.1%
IV Percentile91.0%77.0%98.4%97.2%96.4%
Term Structure0.1%-1.9%1.9%-1.5%-0.0%
VWIV14.4%9.7%20.2%20.2%14.4%
Skew 25d5.7%3.2%8.0%3.2%4.6%
Skew 10d13.1%7.4%18.3%18.3%7.4%
Call IV 25d12.3%7.9%17.3%16.8%14.0%
Put IV 25d18.0%13.4%22.0%19.9%18.6%
Bid-Ask Spread %77.2440.64104.93104.4366.69
Gamma HHI0.280.200.350.200.35
Net GEX350.8K267.2K426.0K426.0K361.4K
Net DEX-7.3M-11.9M-2.1M-9.1M-3.3M
Net VEX-19.9K-23.3K-16.6K-20.5K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.510.930.590.72
Total Volume1,041.2868571,695949857
Total OI3,681.7622,2784,9184,5062,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$51.78$47.0015.2%4.3%20.2%47.2%20.2%3.2%-1.5%426.0K-9.1M-20.5K0.59104.43N/AN/A5953543,2161,290
2018-03-02$52.03$47.0015.2%4.3%20.4%47.2%19.1%3.5%-0.7%425.6K-9.0M-20.0K0.59104.93N/AN/A5953543,2221,292
2018-03-05$52.63$50.0012.6%3.2%20.3%36.9%13.3%5.1%-1.0%327.8K-10.3M-16.6K0.59100.01N/AN/A5953543,2221,292
2018-03-06$52.60$50.0012.4%3.5%17.0%36.0%16.3%6.7%0.6%367.8K-10.5M-18.6K0.5984.64N/AN/A5953543,2221,292
2018-03-07$52.70$50.009.8%3.5%17.0%25.6%15.4%6.2%0.7%348.3K-10.5M-18.1K0.6083.75N/AN/A5953583,2221,292
2018-03-08$52.86$50.0011.3%3.4%17.0%31.7%15.8%6.8%0.9%347.7K-10.8M-17.7K0.6189.58N/AN/A5883583,2221,336
2018-03-09$53.55$50.008.8%2.8%13.5%21.5%10.3%3.9%1.9%379.3K-11.6M-16.9K0.7290.34N/AN/A5604053,2241,335
2018-03-12$53.53$50.009.7%2.8%13.1%25.1%11.7%5.0%-1.1%410.0K-11.9M-17.2K0.7370.85N/AN/A5464003,2371,387
2018-03-13$53.38$50.009.6%3.4%13.0%24.6%11.3%5.3%1.0%389.9K-11.4M-17.8K0.6354.02N/AN/A6464043,2381,438
2018-03-14$53.13$52.0011.5%3.3%13.2%32.3%12.8%4.7%1.4%347.0K-11.1M-17.8K0.9359.79N/AN/A5955543,2381,443
2018-03-15$53.16$52.0011.3%3.2%12.9%31.5%13.3%4.7%1.6%290.1K-10.6M-20.7K0.5663.95N/AN/A1,0846043,2411,645
2018-03-16$53.37$52.0010.3%2.9%12.4%27.4%10.7%5.7%1.5%277.2K-10.5M-20.5K0.5661.00N/AN/A1,0846113,2231,695
2018-03-19$52.86$52.0012.0%3.4%12.7%34.5%13.8%6.7%0.3%267.2K-3.0M-21.7K0.6340.64N/AN/A5653581,643635
2018-03-20$52.88$52.0011.2%3.2%12.0%31.0%14.5%6.4%1.9%361.9K-3.7M-22.5K0.6346.68N/AN/A5653581,835638
2018-03-21$52.67$52.0010.2%2.9%11.8%27.3%9.7%6.3%-1.9%379.7K-3.9M-23.3K0.6497.81N/AN/A5653591,835638
2018-03-22$51.53$52.0014.9%4.3%14.2%46.2%14.7%8.0%0.1%346.3K-2.5M-21.7K0.6271.07N/AN/A5733541,835639
2018-03-23$50.76$52.0018.9%5.4%14.0%62.5%15.9%7.2%-0.6%306.2K-2.1M-21.1K0.5671.77N/AN/A6313531,844598
2018-03-26$51.73$52.0016.0%4.6%15.4%50.4%15.5%6.3%-0.7%325.0K-2.6M-21.6K0.5188.34N/AN/A6903531,780608
2018-03-27$51.32$52.0019.1%5.5%15.4%63.2%16.1%6.3%-1.3%337.3K-2.4M-21.2K0.5276.61N/AN/A6903591,841607
2018-03-28$51.46$52.0019.9%5.7%15.2%66.2%17.7%6.1%-1.4%344.2K-2.7M-21.0K0.5295.10N/AN/A6903591,841596
2018-03-29$51.98$52.0015.4%4.4%15.1%48.1%14.4%4.6%-0.0%361.4K-3.3M-21.3K0.7266.69N/AN/A4993581,841599