USMV Options History — October 2018

In October 2018, USMV traded between $53.44 and $57.06. ATM implied volatility averaged 14.4%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.4% (HV 20d: 11.0%). Max pain ranged from $54.00 to $57.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2018-10-18: Highest Volume — 894 contracts
  • 2018-10-11: Largest IV spike — 123.8% change
  • 2018-10-29: Highest IV Rank — 84.1%
  • 2018-10-29: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.43$53.44$57.06$56.94$54.89
Max Pain$54.91$54.00$57.00$56.00$54.00
ATM IV14.4%6.9%24.5%7.0%17.3%
Expected Move4.1%2.0%7.0%2.0%5.0%
HV 20d11.0%6.4%15.8%6.4%15.8%
HV 60d8.2%6.0%10.4%6.0%10.4%
IV Rank43.6%13.7%84.1%14.3%54.2%
IV Percentile77.4%20.6%99.2%25.4%93.3%
Term Structure-1.5%-6.8%1.3%1.2%-2.2%
VWIV15.7%8.6%21.1%8.6%18.9%
Skew 25d6.2%0.9%13.6%3.7%9.1%
Skew 10d11.0%2.3%20.7%4.8%15.7%
Call IV 25d11.7%5.4%18.7%5.9%12.4%
Put IV 25d17.9%9.3%27.3%9.6%21.5%
Bid-Ask Spread %91.4143.25122.0963.30115.82
Gamma HHI0.230.170.290.190.24
Net GEX175.0K71.4K286.1K115.3K277.8K
Net DEX-6.1M-7.2M-4.8M-7.1M-6.0M
Net VEX-14.7K-18.2K-11.8K-13.5K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.220.480.240.24
Total Volume798.348710894710748
Total OI2,019.5221,9532,1142,0241,973

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$56.94$56.007.0%2.0%6.4%14.3%8.6%3.7%1.2%115.3K-7.1M-13.5K0.2463.30N/AN/A5721381,671353
2018-10-02$57.06$57.007.8%2.2%6.5%17.3%8.7%3.9%1.3%98.5K-7.2M-12.1K0.2480.76N/AN/A5721381,671363
2018-10-03$56.77$57.007.4%2.1%6.7%15.8%8.9%3.0%1.0%87.8K-7.1M-12.6K0.2590.40N/AN/A5721421,671363
2018-10-04$56.47$54.0010.3%2.9%6.7%27.3%13.7%2.6%-0.2%89.9K-6.8M-13.6K0.25111.32N/AN/A5721421,671367
2018-10-05$56.56$54.008.6%2.5%6.5%20.6%14.3%5.3%0.9%84.2K-6.9M-13.5K0.25110.72N/AN/A5771421,671367
2018-10-08$56.74$54.0012.5%3.0%6.5%36.6%14.6%4.5%1.3%109.4K-7.1M-11.8K0.23106.00N/AN/A5771331,671367
2018-10-09$56.77$54.006.9%2.7%6.5%13.7%14.5%4.5%0.4%71.4K-7.1M-13.0K0.22104.85N/AN/A5921331,691373
2018-10-10$55.54$54.009.6%2.8%10.0%24.8%12.8%3.0%-1.7%105.6K-6.4M-14.0K0.47110.08N/AN/A5962811,691373
2018-10-11$54.44$56.0021.5%6.2%11.8%72.8%21.1%0.9%-3.2%178.7K-5.1M-16.9K0.45119.91N/AN/A5752601,701413
2018-10-12$54.60$56.0016.4%4.7%11.9%51.9%20.5%13.6%-2.2%175.2K-4.8M-18.2K0.45122.09N/AN/A5752561,701319
2018-10-15$54.85$56.0017.9%5.1%12.2%58.2%18.1%9.9%-4.3%159.6K-5.1M-15.3K0.48110.76N/AN/A5752751,701319
2018-10-16$55.59$56.0012.5%3.6%13.2%36.4%13.9%5.5%-0.4%89.9K-5.8M-15.0K0.4460.37N/AN/A5832581,701304
2018-10-17$55.57$56.0012.3%3.5%13.1%35.5%13.5%5.3%-0.3%90.5K-6.0M-16.2K0.4688.08N/AN/A5832681,720304
2018-10-18$55.31$57.0014.8%4.2%12.9%45.7%15.9%5.8%-0.2%129.9K-5.4M-15.5K0.4073.68N/AN/A6402541,720314
2018-10-19$55.46$54.0015.8%4.5%12.9%49.6%17.1%7.1%-1.5%254.1K-5.7M-15.7K0.3862.19N/AN/A6402451,777306
2018-10-22$55.25$54.0015.6%4.5%12.7%49.0%16.8%6.4%-2.0%262.5K-6.4M-15.2K0.3343.25N/AN/A6442151,771182
2018-10-23$55.10$54.0015.6%4.5%12.7%46.9%17.1%6.3%-0.9%267.5K-6.2M-14.8K0.3568.60N/AN/A6492251,781182
2018-10-24$54.73$54.0017.6%5.1%12.8%55.4%17.9%8.1%-3.4%266.0K-6.0M-15.9K0.3579.10N/AN/A6492251,792191
2018-10-25$54.62$54.0017.5%5.0%12.7%54.8%17.4%7.0%-3.0%278.1K-5.8M-16.0K0.2284.22N/AN/A6511461,788197
2018-10-26$53.79$54.0020.3%5.8%13.3%66.6%19.0%9.6%-2.6%279.8K-5.1M-15.9K0.2284.36N/AN/A6511441,788197
2018-10-29$53.44$54.0024.5%7.0%13.3%84.1%16.9%5.0%-6.8%268.2K-5.1M-15.7K0.23103.96N/AN/A6361451,788195
2018-10-30$54.50$54.0021.3%6.1%15.5%70.9%20.0%12.4%-6.1%286.1K-5.7M-14.5K0.23108.58N/AN/A6231451,791199
2018-10-31$54.89$54.0017.3%5.0%15.8%54.2%18.9%9.1%-2.2%277.8K-6.0M-14.1K0.24115.82N/AN/A6031451,774199