USMV Options History — May 2018

In May 2018, USMV traded between $51.45 and $52.95. ATM implied volatility averaged 10.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.1% (HV 20d: 10.3%). Max pain ranged from $50.00 to $52.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-05-17: Highest Volume — 911 contracts
  • 2018-05-29: Largest IV spike — 50.3% change
  • 2018-05-02: Highest IV Rank — 47.8%
  • 2018-05-02: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.32$51.45$52.95$51.85$52.56
Max Pain$50.18$50.00$52.00$52.00$50.00
ATM IV10.4%8.3%15.3%12.5%8.6%
Expected Move3.1%2.4%4.4%3.6%2.5%
HV 20d10.3%8.2%12.9%12.9%9.2%
HV 60d13.9%12.8%16.4%16.4%13.0%
IV Rank28.1%19.4%47.8%36.5%20.7%
IV Percentile72.1%54.8%94.0%84.9%57.9%
Term Structure0.2%-2.5%2.4%0.1%0.6%
VWIV10.7%8.3%15.8%12.6%10.2%
Skew 25d3.6%1.1%4.9%3.6%4.3%
Skew 10d5.7%0.9%9.6%9.5%5.9%
Call IV 25d9.1%6.8%16.1%11.2%8.3%
Put IV 25d12.7%10.9%17.1%14.8%12.6%
Bid-Ask Spread %69.8621.68114.3727.0045.65
Gamma HHI0.340.270.430.290.43
Net GEX417.4K283.9K533.4K411.5K389.5K
Net DEX-2.9M-4.0M-2.1M-2.6M-3.2M
Net VEX-15.2K-16.7K-13.1K-16.0K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.460.770.770.47
Total Volume784.227642911866644
Total OI2,599.3642,4582,7782,4582,605

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$51.85$52.0012.5%3.6%12.9%36.5%12.6%3.6%0.1%411.5K-2.6M-16.0K0.7727.00N/AN/A4883781,828630
2018-05-02$51.46$52.0015.3%4.4%12.5%47.8%15.8%1.1%-2.5%411.0K-2.7M-16.5K0.77114.37N/AN/A4883781,828636
2018-05-03$51.45$50.0011.4%4.1%12.3%32.0%14.7%4.1%-1.2%417.4K-2.1M-15.9K0.74102.60N/AN/A4883631,828636
2018-05-04$52.05$50.0010.0%4.0%11.3%26.4%11.7%3.5%-1.7%423.4K-2.4M-15.3K0.75106.81N/AN/A4883641,828639
2018-05-07$52.05$50.0013.2%3.8%11.0%39.4%12.6%4.2%0.4%450.0K-3.2M-15.3K0.75104.44N/AN/A4883641,828643
2018-05-08$51.97$50.0012.7%3.5%10.8%37.3%11.6%3.6%0.7%466.6K-2.9M-14.7K0.74105.78N/AN/A4893641,828643
2018-05-09$52.15$50.009.1%2.6%10.8%22.6%10.9%1.8%2.4%529.4K-3.1M-14.7K0.64111.07N/AN/A4873141,829643
2018-05-10$52.66$50.008.8%2.5%11.3%21.6%9.8%3.5%1.3%533.1K-3.4M-15.1K0.64107.50N/AN/A4893141,832793
2018-05-11$52.83$50.009.8%2.8%11.3%25.7%10.4%4.8%1.2%533.4K-3.9M-15.7K0.75107.46N/AN/A4873641,832793
2018-05-14$52.69$50.009.0%2.6%10.5%22.2%11.0%2.5%1.6%501.2K-3.7M-16.2K0.6595.49N/AN/A4873161,832893
2018-05-15$52.24$50.0011.8%3.4%10.5%33.5%11.4%3.0%-0.5%384.7K-2.3M-16.7K0.6645.42N/AN/A4873231,832943
2018-05-16$52.41$50.0010.7%3.1%10.6%29.3%11.9%2.7%0.1%416.1K-2.6M-16.1K0.6643.08N/AN/A4873231,832946
2018-05-17$52.25$50.009.9%2.8%10.4%26.0%9.0%3.8%0.8%316.2K-2.3M-15.7K0.5548.59N/AN/A5883231,832946
2018-05-18$52.29$50.0010.1%2.9%9.8%26.7%9.5%4.0%0.9%402.3K-2.4M-15.7K0.6258.58N/AN/A5173231,803946
2018-05-21$52.56$50.008.8%2.5%10.0%21.5%8.3%4.1%0.2%361.8K-3.1M-15.1K0.7035.89N/AN/A4373051,718885
2018-05-22$52.42$50.009.7%2.8%9.1%25.1%8.3%3.6%0.7%397.1K-2.8M-14.4K0.6821.68N/AN/A4473051,719885
2018-05-23$52.59$50.009.2%2.6%9.1%23.1%9.1%3.6%-0.0%367.5K-3.1M-15.0K0.6982.08N/AN/A4473091,729885
2018-05-24$52.65$50.008.3%2.4%8.2%19.4%8.4%4.9%0.4%370.8K-3.2M-14.6K0.4622.10N/AN/A4472041,729888
2018-05-25$52.62$50.008.4%2.4%8.2%19.8%8.9%4.2%0.3%375.7K-3.1M-14.5K0.4664.65N/AN/A4472041,729888
2018-05-29$52.27$50.0012.6%3.6%8.4%36.8%10.3%3.6%-1.1%439.3K-2.3M-13.9K0.4728.69N/AN/A4402061,728870
2018-05-30$52.95$50.009.8%2.8%9.3%25.5%9.6%4.8%-0.2%283.9K-4.0M-13.1K0.4857.92N/AN/A4342081,730876
2018-05-31$52.56$50.008.6%2.5%9.2%20.7%10.2%4.3%0.6%389.5K-3.2M-13.2K0.4745.65N/AN/A4392051,730875