USMV Options History — April 2018

In April 2018, USMV traded between $51.09 and $53.05. ATM implied volatility averaged 14.1%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.4% (HV 20d: 16.5%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-04-19: Highest Volume — 1,003 contracts
  • 2018-04-03: Largest IV drop — 25.2% change
  • 2018-04-02: Highest IV Rank — 68.4%
  • 2018-04-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.15$51.09$53.05$51.09$52.12
Max Pain$51.00$50.00$53.00$52.00$52.00
ATM IV14.1%10.8%20.4%20.4%12.6%
Expected Move4.0%3.1%5.9%5.9%3.6%
HV 20d16.5%13.1%18.1%16.2%13.1%
HV 60d16.3%15.5%16.7%15.5%16.7%
IV Rank43.0%29.7%68.4%68.4%36.9%
IV Percentile89.4%79.8%98.4%98.4%85.3%
Term Structure0.6%-2.2%3.8%-2.2%0.5%
VWIV14.3%10.8%20.6%18.8%13.4%
Skew 25d4.2%2.6%6.3%5.0%4.4%
Skew 10d8.7%0.9%15.5%7.7%7.5%
Call IV 25d12.9%9.1%18.9%18.9%11.1%
Put IV 25d17.1%13.0%24.3%23.9%15.5%
Bid-Ask Spread %96.0544.64110.5472.6544.64
Gamma HHI0.340.270.460.360.28
Net GEX429.8K335.0K635.8K335.0K433.8K
Net DEX-3.4M-5.3M-2.2M-2.2M-3.1M
Net VEX-18.8K-20.6K-16.6K-20.4K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.590.820.730.77
Total Volume910.818081,003866863
Total OI2,483.9052,3062,5692,4472,461

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$51.09$52.0020.4%5.9%16.2%68.4%18.8%5.0%-2.2%335.0K-2.2M-20.4K0.7372.65N/AN/A5003661,843604
2018-04-03$51.58$52.0015.3%4.4%16.0%47.6%17.6%4.2%0.0%355.4K-2.3M-20.2K0.73101.50N/AN/A5003651,844612
2018-04-04$52.18$52.0014.4%4.1%16.7%44.0%20.6%6.3%1.7%391.1K-2.8M-19.9K0.80106.72N/AN/A4563651,844612
2018-04-05$52.44$50.0014.1%4.7%16.7%43.0%14.7%2.6%0.1%431.0K-3.6M-20.4K0.82100.43N/AN/A4433651,861612
2018-04-06$51.51$50.0016.8%4.6%17.8%53.6%15.6%3.2%-0.4%358.8K-3.0M-20.1K0.65101.23N/AN/A5633661,861613
2018-04-09$51.90$50.0018.5%4.3%17.3%60.8%17.6%5.2%1.4%423.0K-3.2M-20.6K0.6697.76N/AN/A5693731,926615
2018-04-10$52.17$50.0018.0%4.2%17.5%58.5%14.9%5.3%0.6%435.1K-3.5M-20.3K0.66100.48N/AN/A5693731,934623
2018-04-11$51.97$50.0013.8%4.0%17.5%41.7%14.4%4.2%-0.2%465.0K-3.4M-19.9K0.66103.99N/AN/A5693731,934623
2018-04-12$52.17$50.0015.1%4.3%17.6%46.8%15.2%4.1%1.0%420.5K-3.5M-19.9K0.65105.71N/AN/A5693721,934623
2018-04-13$52.03$50.0014.1%4.0%17.6%42.9%13.9%3.8%1.8%474.2K-3.5M-19.6K0.73106.97N/AN/A5113721,934616
2018-04-16$52.66$50.0013.2%3.8%18.1%39.3%13.4%4.0%-0.1%512.3K-4.0M-18.7K0.7298.88N/AN/A5153721,934616
2018-04-17$53.05$50.0011.9%3.4%18.0%34.1%12.0%4.2%1.2%494.0K-5.0M-18.7K0.59100.28N/AN/A6263721,952617
2018-04-18$53.05$50.0011.8%3.4%18.0%33.6%11.7%3.8%0.5%469.5K-5.3M-18.4K0.5997.91N/AN/A6263721,952613
2018-04-19$52.65$50.0011.8%3.4%18.1%33.5%12.2%4.3%0.1%486.5K-4.3M-18.1K0.60101.77N/AN/A6263771,952612
2018-04-20$52.18$51.0010.8%3.1%16.6%29.7%11.6%5.1%3.8%635.8K-4.3M-17.5K0.67110.25N/AN/A5743821,952617
2018-04-23$52.23$53.0012.1%3.5%15.5%35.0%10.8%3.5%-0.0%383.2K-3.5M-17.5K0.74110.54N/AN/A4953641,714592
2018-04-24$51.64$53.0013.9%4.0%14.7%42.2%13.5%2.8%0.1%366.8K-2.6M-16.9K0.6669.93N/AN/A5653731,719602
2018-04-25$51.75$52.0012.8%3.7%14.4%37.8%13.2%4.0%0.6%348.4K-2.6M-16.8K0.8089.61N/AN/A4673731,716621
2018-04-26$52.35$52.0012.4%3.6%14.9%36.2%13.1%3.2%1.3%384.8K-3.3M-17.7K0.7098.53N/AN/A5423811,770621
2018-04-27$52.38$52.0012.8%3.7%14.5%37.5%12.0%4.4%0.0%422.4K-3.4M-17.3K0.7097.16N/AN/A5423811,831630
2018-04-30$52.12$52.0012.6%3.6%13.1%36.9%13.4%4.4%0.5%433.8K-3.1M-16.6K0.7744.64N/AN/A4883751,831630