USMV Options History — June 2018

In June 2018, USMV traded between $52.79 and $53.80. ATM implied volatility averaged 9.3%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.5% (HV 20d: 7.7%). Max pain ranged from $40.00 to $53.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2018-06-12: Highest Volume — 2,076 contracts
  • 2018-06-25: Largest IV spike — 61.2% change
  • 2018-06-25: Highest IV Rank — 37.6%
  • 2018-06-25: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.39$52.79$53.80$52.79$53.29
Max Pain$44.19$40.00$53.00$50.00$53.00
ATM IV9.3%6.2%12.8%8.2%11.8%
Expected Move2.6%1.8%3.7%2.4%3.4%
HV 20d7.7%6.4%9.3%9.3%6.4%
HV 60d11.7%9.6%13.0%13.0%9.6%
IV Rank23.4%10.8%37.6%19.1%33.7%
IV Percentile58.5%17.5%85.7%52.4%78.2%
Term Structure1.3%-1.9%3.7%1.1%-1.9%
VWIV9.0%7.0%13.5%9.6%13.5%
Skew 25d4.0%2.4%5.7%3.4%3.1%
Skew 10d7.9%0.6%15.7%3.1%9.8%
Call IV 25d7.9%5.8%12.1%7.0%12.1%
Put IV 25d11.9%9.5%15.7%10.4%15.1%
Bid-Ask Spread %73.5622.18109.6432.21109.64
Gamma HHI0.330.190.500.450.31
Net GEX105.2K-15.6K358.7K340.5K8.8K
Net DEX-4.6M-9.0M-3.0M-3.7M-3.5M
Net VEX-14.1K-17.1K-10.4K-12.8K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.110.480.470.16
Total Volume1,064.3336432,0766441,057
Total OI2,396.3331,9313,3822,6071,946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$52.79$50.008.2%2.4%9.3%19.1%9.6%3.4%1.1%340.5K-3.7M-12.8K0.4732.21N/AN/A4392051,731876
2018-06-04$53.10$40.009.5%2.7%8.7%24.2%10.1%3.9%1.3%248.1K-4.3M-11.9K0.4764.70N/AN/A4372061,731876
2018-06-05$53.05$40.008.9%2.6%8.7%21.9%9.8%3.2%1.5%240.4K-4.3M-11.3K0.4771.94N/AN/A4362071,734876
2018-06-06$53.27$40.008.5%2.5%8.7%20.4%9.8%2.4%2.3%358.7K-4.7M-10.4K0.47102.75N/AN/A4362071,735877
2018-06-07$53.38$40.0010.6%2.5%8.7%28.7%8.5%3.1%1.1%134.8K-4.9M-10.4K0.47108.53N/AN/A4382071,735877
2018-06-08$53.61$40.008.0%2.3%8.2%18.3%8.4%3.0%2.1%204.7K-4.6M-11.6K0.48106.31N/AN/A4372081,737877
2018-06-11$53.68$40.0011.3%2.0%8.1%31.7%8.6%2.9%2.0%203.6K-5.0M-10.8K0.39109.43N/AN/A5352081,737877
2018-06-12$53.70$40.009.1%2.4%8.0%22.7%8.1%4.2%2.1%178.2K-4.9M-11.5K0.1193.80N/AN/A1,8682081,736877
2018-06-13$53.58$40.008.0%2.3%7.3%18.1%8.8%5.0%0.9%141.4K-8.1M-15.7K0.12103.49N/AN/A1,7292152,397877
2018-06-14$53.72$40.007.2%2.1%7.3%15.0%7.0%3.2%2.5%110.6K-8.7M-17.1K0.13103.97N/AN/A1,7032172,500882
2018-06-15$53.80$40.007.3%2.1%7.1%15.4%7.1%4.6%2.3%4.0K-9.0M-15.4K0.1995.79N/AN/A1,1282192,496878
2018-06-18$53.60$40.007.7%2.2%7.3%17.1%7.4%3.8%3.7%-5.4K-3.6M-15.6K0.1580.59N/AN/A9001351,289642
2018-06-19$53.55$40.007.6%2.2%7.2%16.7%7.8%4.1%1.3%9.2K-3.5M-15.4K0.1529.84N/AN/A9001351,290643
2018-06-20$53.57$40.006.2%1.8%7.1%10.8%7.3%4.4%1.8%8.3K-3.5M-15.8K0.1522.18N/AN/A8981351,290643
2018-06-21$53.31$40.009.6%2.8%7.3%24.8%8.5%4.0%1.3%4.8K-3.3M-16.0K0.1569.54N/AN/A8981381,291643
2018-06-22$53.71$53.007.9%2.3%7.7%18.0%8.1%4.8%0.9%-7.6K-3.7M-15.0K0.1534.17N/AN/A8991381,291647
2018-06-25$53.43$53.0012.8%3.7%8.0%37.6%10.8%5.7%0.2%13.7K-3.2M-16.6K0.1646.07N/AN/A9081481,292647
2018-06-26$53.14$53.0011.1%3.2%7.9%30.7%9.5%5.1%0.4%-15.6K-3.1M-16.0K0.1664.96N/AN/A9081481,292661
2018-06-27$52.84$53.0011.7%3.4%6.8%33.3%10.2%5.5%0.2%19.6K-3.0M-16.1K0.1663.76N/AN/A9081481,292661
2018-06-28$53.12$53.0011.9%3.4%6.5%34.0%9.7%5.3%-0.1%8.5K-3.3M-15.9K0.1631.03N/AN/A9081491,292652
2018-06-29$53.29$53.0011.8%3.4%6.4%33.7%13.5%3.1%-1.9%8.8K-3.5M-15.5K0.16109.64N/AN/A9081491,292654