USMV Options History — July 2018

In July 2018, USMV traded between $53.12 and $55.07. ATM implied volatility averaged 8.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.0% (HV 20d: 6.6%). Max pain ranged from $48.00 to $54.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2018-07-25: Highest Volume — 1,222 contracts
  • 2018-07-05: Largest IV drop — 32.1% change
  • 2018-07-03: Highest IV Rank — 35.4%
  • 2018-07-03: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.37$53.12$55.07$53.12$54.85
Max Pain$49.90$48.00$54.00$53.00$54.00
ATM IV8.5%6.3%12.3%11.9%11.5%
Expected Move2.5%1.8%3.5%3.4%3.3%
HV 20d6.6%5.3%7.1%6.2%6.4%
HV 60d8.0%7.1%8.8%8.8%7.1%
IV Rank20.4%11.4%35.4%34.1%32.3%
IV Percentile49.5%18.3%80.6%78.6%75.8%
Term Structure0.6%-3.9%2.3%-0.3%-3.9%
VWIV9.3%6.4%12.1%9.9%12.0%
Skew 25d3.6%-2.0%5.9%4.7%-2.0%
Skew 10d7.0%-2.8%11.3%11.3%-2.8%
Call IV 25d7.3%5.0%12.6%9.5%12.6%
Put IV 25d10.8%8.5%14.2%14.2%10.6%
Bid-Ask Spread %72.1921.72108.6029.14106.54
Gamma HHI0.330.250.490.330.32
Net GEX-22.2K-105.5K24.1K-6.9K-25.4K
Net DEX-5.1M-6.2M-3.3M-3.3M-5.7M
Net VEX-13.0K-15.3K-11.5K-14.7K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.090.170.170.09
Total Volume1,129.2861,0591,2221,0641,154
Total OI2,086.1431,9462,1901,9462,190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$53.12$53.0011.9%3.4%6.2%34.1%9.9%4.7%-0.3%-6.9K-3.3M-14.7K0.1729.14N/AN/A9131511,292654
2018-07-03$53.27$53.0012.3%3.5%6.3%35.4%9.6%4.7%-0.8%2.7K-3.4M-15.3K0.1658.41N/AN/A9131461,297658
2018-07-05$53.64$48.008.3%2.8%6.6%19.6%12.1%3.1%1.3%12.9K-3.5M-15.1K0.16104.06N/AN/A9131501,298660
2018-07-06$53.94$48.008.9%2.9%6.8%21.9%11.4%5.9%0.5%-22.9K-3.9M-14.1K0.15106.12N/AN/A9731501,298668
2018-07-09$54.01$48.009.0%2.8%6.7%22.2%9.2%3.4%1.2%14.9K-4.5M-13.7K0.15107.02N/AN/A9751501,359668
2018-07-10$54.31$48.009.1%2.6%6.9%22.7%8.9%3.9%1.0%15.4K-4.9M-13.9K0.1592.93N/AN/A9751501,399668
2018-07-11$54.23$48.009.0%2.6%6.9%22.3%9.2%5.0%1.2%22.5K-4.9M-13.7K0.1570.83N/AN/A9751501,399668
2018-07-12$54.54$48.007.6%2.2%7.1%16.7%9.7%4.2%1.1%24.1K-5.2M-12.8K0.1683.38N/AN/A9171501,399668
2018-07-13$54.58$48.007.4%2.1%7.1%15.9%9.6%4.2%1.1%19.1K-5.3M-12.7K0.1685.70N/AN/A9171501,402668
2018-07-16$54.45$48.008.8%2.5%7.1%21.8%9.2%3.8%1.1%7.5K-5.2M-12.4K0.1685.88N/AN/A9171501,402668
2018-07-17$54.67$48.006.5%1.8%7.1%12.0%6.5%2.8%1.0%-22.4K-5.3M-12.1K0.14106.56N/AN/A1,0361501,402668
2018-07-18$54.60$48.006.3%1.8%7.1%11.4%6.4%2.1%0.9%-22.8K-5.9M-11.5K0.14108.60N/AN/A1,0361501,477668
2018-07-19$54.65$48.007.2%2.1%7.1%15.1%9.5%3.7%1.2%5.5K-5.7M-12.9K0.1443.96N/AN/A1,0361501,477668
2018-07-20$54.62$48.007.5%2.1%6.7%16.2%8.1%2.7%0.7%-105.5K-5.8M-11.7K0.1493.89N/AN/A1,0391501,477668
2018-07-23$54.49$48.008.6%2.5%6.4%20.5%8.8%3.4%0.5%-86.1K-5.4M-12.3K0.1537.26N/AN/A9801471,418653
2018-07-24$54.51$48.007.0%2.0%6.0%14.1%9.5%4.2%1.2%-61.1K-5.4M-12.3K0.1621.72N/AN/A9681511,444653
2018-07-25$54.94$54.007.4%2.1%6.0%15.9%9.2%3.2%0.5%-74.7K-6.0M-12.0K0.1026.85N/AN/A1,1111111,530657
2018-07-26$55.07$54.007.8%2.2%5.3%17.3%8.3%4.4%0.4%-55.0K-6.2M-11.9K0.0923.94N/AN/A1,056981,531657
2018-07-27$54.83$54.007.7%2.2%5.7%17.3%10.1%4.3%0.8%-64.1K-5.9M-12.0K0.0922.06N/AN/A1,056981,531657
2018-07-30$54.48$54.009.5%2.7%6.3%24.4%8.0%3.3%2.3%-43.1K-5.7M-13.1K0.09101.24N/AN/A1,056971,532658
2018-07-31$54.85$54.0011.5%3.3%6.4%32.3%12.0%-2.0%-3.9%-25.4K-5.7M-12.8K0.09106.54N/AN/A1,057971,532658