USMV Options History — November 2018

In November 2018, USMV traded between $54.71 and $56.68. ATM implied volatility averaged 16.3%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.0% (HV 20d: 14.3%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2018-11-07: Highest Volume — 761 contracts
  • 2018-11-12: Largest IV spike — 68.8% change
  • 2018-11-13: Highest IV Rank — 74.5%
  • 2018-11-26: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.65$54.71$56.68$54.86$56.68
Max Pain$50.38$50.00$54.00$54.00$50.00
ATM IV16.3%12.0%22.2%16.8%15.3%
Expected Move4.5%3.4%5.1%4.8%4.4%
HV 20d14.3%12.7%16.1%15.8%12.8%
HV 60d11.4%10.4%12.3%10.4%12.3%
IV Rank49.7%31.9%74.5%52.0%45.5%
IV Percentile87.5%69.4%98.4%92.9%82.9%
Term Structure-0.8%-3.9%2.1%-1.2%-2.0%
VWIV18.7%15.4%26.4%18.2%17.0%
Skew 25d6.5%1.6%12.7%7.9%5.9%
Skew 10d12.2%2.5%21.4%5.0%8.1%
Call IV 25d12.7%9.0%17.0%12.0%13.6%
Put IV 25d19.2%16.2%22.6%19.9%19.6%
Bid-Ask Spread %105.3690.40115.32110.02106.00
Gamma HHI0.220.170.290.230.17
Net GEX247.7K197.3K304.7K270.8K204.1K
Net DEX-6.6M-7.4M-5.7M-6.0M-7.2M
Net VEX-11.9K-15.8K-9.4K-15.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.210.260.240.24
Total Volume704.81636761746636
Total OI1,955.2381,8952,0091,9781,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$54.86$54.0016.8%4.8%15.8%52.0%18.2%7.9%-1.2%270.8K-6.0M-15.8K0.24110.02N/AN/A6021441,779199
2018-11-02$54.79$54.0017.3%5.0%15.7%54.0%17.2%3.3%-3.9%281.1K-6.0M-14.4K0.25108.29N/AN/A6021521,781199
2018-11-05$55.28$50.0016.4%5.1%16.1%50.4%21.6%1.6%-1.3%304.7K-6.3M-15.0K0.25115.32N/AN/A6061521,794209
2018-11-06$55.45$50.0017.7%4.6%16.1%55.7%16.6%6.3%-1.8%276.0K-6.5M-13.3K0.2590.40N/AN/A6061521,794209
2018-11-07$56.47$50.0013.0%3.9%15.6%36.1%16.5%6.3%2.1%241.8K-7.4M-10.3K0.26101.81N/AN/A6061551,794209
2018-11-08$56.43$50.0013.9%3.9%13.5%39.8%15.4%5.8%1.0%220.9K-7.4M-12.6K0.26103.40N/AN/A5981551,794211
2018-11-09$56.59$50.0012.4%3.9%13.5%33.6%17.7%4.7%1.4%221.4K-7.4M-11.8K0.26107.71N/AN/A5991531,794211
2018-11-12$55.98$50.0021.0%3.9%14.2%69.4%17.4%7.5%-1.0%245.7K-7.2M-11.1K0.24104.30N/AN/A5911431,792204
2018-11-13$55.71$50.0022.2%4.1%13.6%74.5%19.6%4.4%-1.7%254.5K-6.9M-11.7K0.24110.73N/AN/A5911441,792204
2018-11-14$55.60$50.0012.0%3.4%13.6%31.9%15.9%6.6%1.1%246.9K-7.1M-10.5K0.24110.73N/AN/A5911441,792205
2018-11-15$55.71$50.0015.1%4.3%13.5%44.8%19.0%12.7%1.4%290.3K-6.5M-12.3K0.24104.97N/AN/A5901401,792205
2018-11-16$56.20$50.0016.2%4.6%13.8%49.3%17.5%8.6%-0.5%253.2K-7.0M-11.7K0.22103.04N/AN/A6051331,793216
2018-11-19$55.49$50.0015.9%4.6%14.5%48.3%19.6%5.7%-3.1%232.8K-6.4M-11.6K0.23101.09N/AN/A5341241,712183
2018-11-20$54.97$50.0017.4%5.0%14.9%54.6%20.3%6.6%-0.2%249.9K-6.1M-12.0K0.23100.20N/AN/A5341241,715186
2018-11-21$54.84$50.0014.7%4.2%14.7%43.0%19.1%6.9%-0.6%243.2K-6.0M-11.9K0.23107.36N/AN/A5341241,715186
2018-11-23$54.71$50.0017.3%5.0%14.7%54.2%26.4%8.0%-1.1%255.8K-5.7M-12.2K0.23106.46N/AN/A5341241,715183
2018-11-26$55.14$50.0018.0%5.1%13.8%56.8%22.0%6.4%-2.2%253.2K-6.0M-11.4K0.21103.63N/AN/A5291131,715183
2018-11-27$55.29$50.0017.2%4.9%13.5%53.6%21.6%9.1%-2.1%247.9K-6.2M-11.0K0.21106.47N/AN/A5291131,716184
2018-11-28$56.19$50.0017.5%5.0%12.9%54.8%17.8%6.5%-2.3%210.9K-6.8M-10.1K0.21104.99N/AN/A5281131,716184
2018-11-29$56.37$50.0014.4%4.1%12.7%42.0%17.0%4.8%0.3%197.3K-7.1M-9.5K0.23105.73N/AN/A5321221,716184
2018-11-30$56.68$50.0015.3%4.4%12.8%45.5%17.0%5.9%-2.0%204.1K-7.2M-9.4K0.24106.00N/AN/A5141221,720175