USMV Options History — September 2018

In September 2018, USMV traded between $56.52 and $57.64. ATM implied volatility averaged 7.6%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.8% (HV 20d: 5.8%). Max pain ranged from $48.00 to $56.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.38.

Notable Days

2018-09-14: Highest Volume — 1,649 contracts
2018-09-26: Largest IV spike — 39.0% change
2018-09-26: Highest IV Rank — 29.2%
2018-09-26: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.06	$56.52	$57.64	$56.52	$57.01
Max Pain	$55.16	$48.00	$56.00	$48.00	$56.00
ATM IV	7.6%	5.9%	10.7%	7.4%	7.5%
Expected Move	2.2%	1.7%	3.1%	2.1%	2.2%
HV 20d	5.8%	4.9%	6.5%	5.6%	6.4%
HV 60d	6.1%	5.7%	6.2%	6.1%	6.1%
IV Rank	16.5%	10.0%	29.2%	15.8%	16.5%
IV Percentile	36.2%	8.7%	70.6%	34.9%	36.9%
Term Structure	1.7%	-1.5%	7.7%	0.6%	1.4%
VWIV	10.1%	8.9%	11.3%	8.9%	9.9%
Skew 25d	3.9%	1.9%	7.6%	3.8%	3.7%
Skew 10d	5.5%	1.2%	9.7%	5.3%	7.6%
Call IV 25d	6.2%	4.1%	7.4%	7.0%	5.8%
Put IV 25d	10.1%	8.5%	11.8%	10.9%	9.5%
Bid-Ask Spread %	80.49	36.22	115.85	69.29	84.43
Gamma HHI	0.16	0.12	0.20	0.12	0.19
Net GEX	176.0K	111.7K	258.6K	112.7K	111.7K
Net DEX	-9.9M	-12.4M	-6.9M	-8.0M	-7.2M
Net VEX	-13.3K	-16.7K	-9.9K	-11.2K	-13.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.22	0.67	0.65	0.22
Total Volume	1,257.579	699	1,649	1,043	699
Total OI	2,654.789	2,010	3,169	2,362	2,024

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$56.52	$48.00	7.4%	2.1%	5.6%	15.8%	8.9%	3.8%	0.6%	112.7K	-8.0M	-11.2K	0.65	69.29	N/A	N/A	631	412	1,827	535
2018-09-05	$56.66	$48.00	7.3%	2.1%	5.7%	15.5%	8.9%	2.8%	0.6%	131.2K	-8.5M	-10.6K	0.67	36.22	N/A	N/A	613	412	1,878	535
2018-09-06	$56.97	$56.00	8.1%	2.2%	5.9%	18.5%	11.2%	5.4%	2.0%	150.6K	-9.1M	-9.9K	0.42	102.93	N/A	N/A	984	418	1,930	535
2018-09-07	$56.71	$56.00	6.1%	2.3%	6.2%	10.5%	10.0%	4.9%	1.0%	142.7K	-9.8M	-13.2K	0.42	103.96	N/A	N/A	983	415	2,167	543
2018-09-10	$56.89	$56.00	6.9%	2.3%	5.8%	14.0%	9.8%	5.0%	1.8%	201.7K	-10.1M	-12.2K	0.42	105.51	N/A	N/A	1,000	424	2,169	544
2018-09-11	$56.95	$56.00	6.9%	2.3%	5.8%	13.7%	9.7%	4.8%	1.8%	201.0K	-10.2M	-11.8K	0.38	102.74	N/A	N/A	1,117	424	2,186	558
2018-09-12	$57.06	$56.00	8.2%	2.3%	5.7%	19.0%	9.3%	4.9%	1.6%	230.0K	-11.7M	-14.6K	0.38	105.42	N/A	N/A	1,118	424	2,490	558
2018-09-13	$57.29	$56.00	7.8%	2.3%	5.6%	17.7%	9.9%	4.7%	1.6%	230.1K	-12.0M	-13.5K	0.35	113.42	N/A	N/A	1,209	425	2,483	558
2018-09-14	$57.31	$56.00	6.9%	2.0%	5.0%	14.0%	9.7%	3.9%	2.9%	217.3K	-12.0M	-13.6K	0.36	115.85	N/A	N/A	1,209	440	2,502	566
2018-09-17	$57.19	$56.00	8.3%	2.4%	4.9%	19.6%	10.8%	3.9%	0.7%	234.5K	-11.9M	-13.9K	0.37	64.84	N/A	N/A	1,181	440	2,541	581
2018-09-18	$57.45	$56.00	8.1%	2.3%	5.0%	18.6%	10.3%	2.9%	1.4%	242.6K	-12.3M	-13.2K	0.41	68.70	N/A	N/A	1,085	440	2,550	581
2018-09-19	$57.14	$56.00	7.5%	2.1%	5.5%	16.1%	10.2%	2.4%	2.0%	258.6K	-11.6M	-15.2K	0.41	41.78	N/A	N/A	1,085	440	2,566	581
2018-09-20	$57.45	$56.00	7.5%	2.2%	5.5%	16.3%	10.5%	3.3%	2.6%	227.5K	-12.3M	-12.6K	0.41	64.57	N/A	N/A	1,074	440	2,566	601
2018-09-21	$57.64	$56.00	5.9%	1.7%	5.5%	10.0%	10.1%	1.9%	1.6%	147.4K	-12.4M	-13.4K	0.41	68.35	N/A	N/A	1,081	440	2,568	601
2018-09-24	$57.19	$56.00	7.7%	2.2%	6.2%	17.2%	10.6%	2.5%	7.7%	126.9K	-7.1M	-14.2K	0.22	59.27	N/A	N/A	587	128	1,673	337
2018-09-25	$57.17	$56.00	7.7%	2.2%	6.2%	17.1%	10.9%	3.0%	1.6%	118.8K	-7.1M	-15.2K	0.22	62.55	N/A	N/A	582	128	1,678	353
2018-09-26	$56.86	$56.00	10.7%	3.1%	6.5%	29.2%	11.3%	7.6%	-1.5%	144.6K	-6.9M	-16.7K	0.22	101.52	N/A	N/A	579	128	1,688	353
2018-09-27	$56.69	$56.00	7.0%	2.0%	6.4%	14.5%	9.8%	3.6%	1.5%	113.9K	-7.0M	-14.4K	0.22	57.98	N/A	N/A	571	128	1,682	353
2018-09-28	$57.01	$56.00	7.5%	2.2%	6.4%	16.5%	9.9%	3.7%	1.4%	111.7K	-7.2M	-13.7K	0.22	84.43	N/A	N/A	571	128	1,671	353