USMV Options History — August 2018

In August 2018, USMV traded between $54.79 and $56.74. ATM implied volatility averaged 7.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.7% (HV 20d: 6.1%). Max pain ranged from $48.00 to $54.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.34.

Notable Days

  • 2018-08-06: Highest Volume — 1,511 contracts
  • 2018-08-10: Largest IV spike — 109.1% change
  • 2018-08-13: Highest IV Rank — 29.1%
  • 2018-08-15: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.86$54.79$56.74$54.79$56.55
Max Pain$48.78$48.00$54.00$54.00$48.00
ATM IV7.8%4.4%10.7%9.9%6.0%
Expected Move2.3%1.7%2.9%2.8%1.7%
HV 20d6.1%5.3%6.7%6.4%5.6%
HV 60d6.6%6.0%7.2%7.1%6.1%
IV Rank17.7%3.8%29.1%26.1%10.2%
IV Percentile41.5%2.8%70.6%67.5%11.5%
Term Structure0.8%-3.9%2.8%-3.9%0.4%
VWIV10.2%5.5%13.6%12.3%7.4%
Skew 25d4.4%-0.9%17.0%2.3%3.4%
Skew 10d8.2%-1.4%44.0%0.6%4.1%
Call IV 25d6.4%3.7%9.5%9.5%6.4%
Put IV 25d10.8%7.7%24.0%11.8%9.7%
Bid-Ask Spread %63.7720.62108.09104.4444.01
Gamma HHI0.180.110.460.400.13
Net GEX72.1K-120.7K133.1K-89.1K113.7K
Net DEX-7.4M-8.2M-5.9M-5.9M-8.2M
Net VEX-10.7K-11.9K-8.4K-11.9K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.100.420.100.39
Total Volume1,415.5651,0981,5111,0981,472
Total OI2,204.7832,1122,3602,1912,360

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$54.79$54.009.9%2.8%6.4%26.1%12.3%2.3%-3.9%-89.1K-5.9M-11.9K0.10104.44N/AN/A1,001971,533658
2018-08-02$54.99$54.007.2%2.1%6.2%15.0%8.0%-0.9%1.1%-106.0K-6.4M-8.4K0.10101.28N/AN/A1,003971,533658
2018-08-03$55.28$54.005.8%1.7%6.1%9.6%5.5%17.0%2.3%-120.7K-6.3M-11.0K0.19108.09N/AN/A1,1422201,535658
2018-08-06$55.42$48.007.2%2.5%6.1%15.0%10.0%3.3%0.8%68.1K-7.3M-9.9K0.32107.94N/AN/A1,1423691,679433
2018-08-07$55.53$48.004.4%2.1%5.9%3.8%10.2%5.3%1.4%76.8K-7.5M-10.2K0.3320.62N/AN/A1,1153691,679433
2018-08-08$55.54$48.004.7%2.0%5.9%4.9%10.2%2.8%1.7%72.8K-7.3M-11.2K0.3428.81N/AN/A1,0923691,692433
2018-08-09$55.60$48.004.7%2.0%5.6%5.0%10.2%5.1%2.2%76.1K-7.3M-10.9K0.3633.27N/AN/A1,0363691,693433
2018-08-10$55.31$48.009.8%2.8%6.0%25.8%11.1%4.3%1.3%80.5K-7.1M-11.6K0.3567.91N/AN/A1,0423691,711433
2018-08-13$55.27$48.0010.7%2.7%6.0%29.1%11.8%5.5%1.2%96.6K-7.1M-11.3K0.3554.09N/AN/A1,0593701,711433
2018-08-14$55.52$48.007.9%2.2%6.0%17.9%11.4%5.2%2.2%80.4K-7.4M-11.4K0.3539.12N/AN/A1,0783761,732440
2018-08-15$55.45$48.0010.2%2.9%6.0%27.0%13.6%6.6%0.3%109.4K-7.3M-11.4K0.3984.57N/AN/A9903901,732440
2018-08-16$55.93$48.008.3%2.4%6.6%19.7%11.4%6.2%1.1%83.5K-7.6M-10.6K0.4192.58N/AN/A9914031,727456
2018-08-17$56.23$48.008.2%2.3%6.7%19.0%11.9%4.8%2.8%86.4K-7.8M-9.8K0.3990.91N/AN/A1,0234031,737469
2018-08-20$56.35$48.009.0%2.6%6.6%22.5%12.5%3.5%0.1%88.3K-7.8M-10.6K0.3986.78N/AN/A1,0233981,742464
2018-08-21$56.27$48.008.2%2.4%6.7%19.2%10.5%3.1%0.2%104.8K-7.8M-10.6K0.3851.45N/AN/A1,0654011,751464
2018-08-22$56.09$48.008.0%2.3%6.4%18.4%10.9%3.2%0.5%131.1K-7.7M-11.4K0.3851.61N/AN/A1,0654011,793468
2018-08-23$56.08$48.008.4%2.4%6.4%20.0%10.7%4.0%0.0%128.6K-7.7M-10.9K0.3829.62N/AN/A1,0644011,793468
2018-08-24$56.40$48.008.5%2.4%6.3%20.2%10.6%4.0%0.3%106.6K-7.8M-10.3K0.3937.69N/AN/A1,0654201,753468
2018-08-27$56.46$48.008.4%2.4%5.6%19.9%11.3%3.3%0.4%105.1K-7.9M-10.2K0.4125.90N/AN/A1,0424261,755487
2018-08-28$56.46$48.008.5%2.4%5.3%20.1%7.8%2.9%0.7%123.7K-7.9M-11.1K0.4194.24N/AN/A1,0424261,772507
2018-08-29$56.74$48.007.2%2.1%5.4%15.2%7.5%3.2%0.2%133.1K-8.1M-9.8K0.4228.59N/AN/A1,0324321,772507
2018-08-30$56.46$48.009.0%2.6%5.8%22.4%9.0%3.0%0.5%108.1K-7.9M-10.4K0.3983.22N/AN/A1,0574111,782533
2018-08-31$56.55$48.006.0%1.7%5.6%10.2%7.4%3.4%0.4%113.7K-8.2M-10.6K0.3944.01N/AN/A1,0574151,827533