USMV Options History — December 2018

In December 2018, USMV traded between $49.88 and $56.92. ATM implied volatility averaged 19.8%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.1% (HV 20d: 15.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-12-12: Highest Volume — 1,007 contracts
  • 2018-12-10: Largest IV spike — 44.1% change
  • 2018-12-27: Highest IV Rank — 96.3%
  • 2018-12-27: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.78$49.88$56.92$56.92$52.28
Max Pain$51.15$50.00$55.00$50.00$52.00
ATM IV19.8%13.6%27.4%13.6%23.0%
Expected Move5.5%3.9%7.8%3.9%6.6%
HV 20d15.7%12.0%21.8%12.8%21.3%
HV 60d14.2%12.3%17.1%12.3%17.1%
IV Rank64.5%38.4%96.3%38.4%78.0%
IV Percentile91.1%75.8%99.6%75.8%96.4%
Term Structure-1.2%-6.2%2.1%-1.0%-6.2%
VWIV20.6%14.7%29.3%14.7%24.1%
Skew 25d6.7%1.2%18.6%7.9%7.2%
Skew 10d10.0%0.9%20.8%10.7%9.5%
Call IV 25d15.9%12.5%23.4%12.9%15.5%
Put IV 25d22.6%15.5%34.0%20.9%22.7%
Bid-Ask Spread %109.8499.33131.25113.41115.87
Gamma HHI0.310.170.600.170.45
Net GEX222.9K155.3K342.4K194.1K190.4K
Net DEX-5.1M-7.8M-2.4M-7.5M-3.4M
Net VEX-13.5K-17.4K-8.3K-8.3K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.003.000.310.00
Total Volume138.601,0071751
Total OI2,014.651,7902,5701,8801,810

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$56.92$50.0013.6%3.9%12.8%38.4%14.7%7.9%-1.0%194.1K-7.5M-8.3K0.31113.41N/AN/A1341,712168
2018-12-04$56.04$50.0014.5%4.2%13.9%42.2%17.1%1.2%-1.3%211.5K-7.1M-8.5K0.17113.45N/AN/A2341,708171
2018-12-05$55.98$50.0014.9%4.3%13.9%44.0%18.2%3.0%-1.6%211.3K-7.0M-8.8K0.17112.15N/AN/A2341,708171
2018-12-06$55.88$55.0018.2%4.2%12.2%57.9%15.4%8.6%2.1%241.6K-6.5M-9.3K0.50105.40N/AN/A20101,703171
2018-12-07$55.34$50.0016.9%4.5%12.6%52.2%16.8%4.0%0.8%226.6K-6.7M-8.7K0.33107.34N/AN/A43141,713181
2018-12-10$55.34$50.0024.3%5.1%12.6%83.4%0.0%5.5%-0.5%265.2K-6.3M-9.1K0.00107.21N/AN/A001,713181
2018-12-11$55.45$50.0019.9%4.6%12.1%65.0%0.0%4.6%1.3%240.0K-6.6M-8.7K0.00104.28N/AN/A001,713181
2018-12-12$55.57$50.0014.5%4.1%12.0%42.1%0.0%4.9%-1.2%224.5K-6.7M-8.4K0.44111.14N/AN/A7013061,713181
2018-12-13$55.56$50.0014.8%4.3%12.0%43.7%0.0%7.3%0.8%223.6K-7.8M-15.8K0.02102.00N/AN/A37782,063486
2018-12-14$54.59$50.0015.8%4.5%13.5%47.7%22.5%5.9%-0.7%267.1K-7.2M-16.5K0.0599.33N/AN/A393182,078492
2018-12-17$53.02$50.0018.8%5.4%16.3%60.4%16.3%2.7%-0.7%257.5K-4.3M-16.3K3.00105.24N/AN/A6181,665502
2018-12-18$53.18$52.0021.3%6.1%15.9%70.8%19.3%6.0%-2.0%253.9K-4.0M-16.9K0.12104.82N/AN/A121151,669501
2018-12-19$52.62$52.0018.2%5.2%16.0%57.7%19.7%3.8%-0.2%342.4K-3.8M-17.2K0.12131.25N/AN/A121151,748501
2018-12-20$51.80$52.0021.5%6.2%16.7%71.6%21.0%3.6%-0.6%254.8K-3.0M-17.4K0.22105.51N/AN/A122271,748501
2018-12-21$51.36$52.0023.9%6.9%16.8%81.9%21.7%6.5%-2.2%165.7K-2.7M-16.8K0.22110.15N/AN/A125271,748496
2018-12-24$49.88$52.0027.1%7.8%18.7%95.0%24.3%7.1%-1.5%155.3K-2.4M-16.6K0.47108.16N/AN/A49231,445345
2018-12-26$51.27$52.0023.3%6.7%21.8%79.2%28.8%18.6%-0.1%169.9K-2.5M-16.9K1.23111.73N/AN/A13161,446349
2018-12-27$51.74$52.0027.4%7.8%21.1%96.3%29.3%14.4%-4.7%182.2K-2.8M-17.0K1.23108.19N/AN/A13161,457349
2018-12-28$51.82$52.0024.2%6.9%21.1%82.9%24.1%11.2%-5.4%179.6K-3.4M-16.7K1.06120.12N/AN/A16171,457349
2018-12-31$52.28$52.0023.0%6.6%21.3%78.0%0.0%7.2%-6.2%190.4K-3.4M-16.5K0.00115.87N/AN/A5101,460350