USMV Options History — March 2019

In March 2019, USMV traded between $56.83 and $58.77. ATM implied volatility averaged 9.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.4% (HV 20d: 7.5%). Max pain ranged from $50.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 7.13.

Notable Days

  • 2019-03-01: Highest Volume — 205 contracts
  • 2019-03-06: Largest IV spike — 51.1% change
  • 2019-03-11: Highest IV Rank — 38.6%
  • 2019-03-07: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.89$56.83$58.77$57.82$58.77
Max Pain$54.06$50.00$57.00$54.00$57.00
ATM IV9.8%6.8%13.3%7.7%8.7%
Expected Move2.9%1.9%3.5%2.2%2.7%
HV 20d7.5%4.9%8.8%4.9%8.7%
HV 60d12.7%8.7%15.0%15.0%8.7%
IV Rank23.7%10.2%38.6%14.4%18.6%
IV Percentile38.0%4.4%67.1%14.7%28.6%
Term Structure0.9%-0.3%1.9%1.5%0.8%
VWIV11.4%8.8%13.8%8.8%13.8%
Skew 25d4.2%0.6%9.5%0.6%0.9%
Skew 10d5.8%-2.7%11.9%-2.7%-0.1%
Call IV 25d8.1%5.3%10.1%9.1%10.1%
Put IV 25d12.4%9.6%14.7%9.6%11.1%
Bid-Ask Spread %95.1578.47109.86107.4395.25
Gamma HHI0.240.200.290.200.22
Net GEX79.5K15.8K148.3K148.3K49.2K
Net DEX-5.7M-6.7M-4.8M-6.0M-6.0M
Net VEX-21.1K-23.8K-19.0K-22.8K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.130.1396.000.520.67
Total Volume80.524720520580
Total OI2,588.812,2802,8672,7532,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$57.82$54.007.7%2.2%4.9%14.4%8.8%0.6%1.5%148.3K-6.0M-22.8K0.52107.43N/AN/A135701,879874
2019-03-04$57.41$54.0011.0%3.1%5.9%28.7%11.1%4.5%0.6%147.7K-5.7M-22.4K0.70100.86N/AN/A43301,881870
2019-03-05$57.51$54.006.8%1.9%5.8%10.2%9.5%4.2%1.4%137.6K-5.9M-22.3K1.63109.86N/AN/A43701,892880
2019-03-06$57.25$54.0010.2%2.9%6.1%25.2%9.1%4.4%0.8%125.9K-5.5M-22.9K1.35106.36N/AN/A60811,892920
2019-03-07$56.95$54.0012.2%3.5%6.4%34.0%10.7%5.8%1.0%126.7K-5.0M-23.8K1.22106.52N/AN/A78951,899921
2019-03-08$56.83$54.0010.1%2.9%6.4%25.0%10.6%4.9%0.8%139.1K-4.8M-23.1K1.04106.25N/AN/A90941,904933
2019-03-11$57.55$50.0013.3%3.0%7.6%38.6%11.5%7.3%0.9%68.5K-5.7M-22.6K6.0082.49N/AN/A161,905934
2019-03-12$57.78$50.008.4%2.9%7.7%17.2%12.5%5.7%1.9%64.3K-6.0M-22.3K0.1378.47N/AN/A2331,905939
2019-03-13$58.08$50.008.6%2.9%7.6%18.0%12.1%3.6%1.5%74.9K-6.7M-20.1K0.5681.37N/AN/A32181,916942
2019-03-14$58.00$50.008.6%3.0%7.6%18.5%12.0%5.7%1.8%41.1K-6.5M-20.1K0.6084.14N/AN/A30181,910957
2019-03-15$58.16$50.007.9%2.9%7.6%15.4%11.6%3.0%1.7%15.8K-6.7M-20.0K0.4684.60N/AN/A39181,900957
2019-03-18$58.22$0.008.7%2.8%7.3%18.7%0.0%9.5%0.5%76.4K-5.6M-19.7K0.0095.58N/AN/A0201,490790
2019-03-19$57.97$0.009.6%2.7%7.4%22.5%0.0%3.3%0.2%61.6K-5.4M-20.0K0.0099.90N/AN/A0561,490810
2019-03-20$57.72$0.009.2%3.1%7.6%20.9%13.8%4.3%1.7%61.1K-5.0M-21.8K96.00104.81N/AN/A1961,490814
2019-03-21$58.41$57.009.5%2.9%8.6%22.4%12.9%1.8%0.8%49.2K-5.7M-19.1K4.5093.55N/AN/A241081,489834
2019-03-22$58.03$57.0011.1%3.2%8.8%29.1%13.8%4.5%0.6%70.4K-5.6M-20.2K2.4994.19N/AN/A39971,512823
2019-03-25$58.05$57.0012.0%3.4%8.7%33.0%0.0%4.5%-0.3%54.0K-5.2M-20.8K11.0086.46N/AN/A1111,509843
2019-03-26$58.28$57.0011.8%3.3%8.8%32.2%0.0%3.3%-0.1%52.6K-5.6M-19.8K1.3891.04N/AN/A8111,509843
2019-03-27$58.39$57.0011.3%3.3%8.8%30.1%0.0%3.0%0.5%52.5K-5.6M-19.9K1.3093.30N/AN/A10131,516843
2019-03-28$58.45$57.0010.1%3.2%8.7%24.8%0.0%4.2%0.5%51.7K-5.7M-19.6K3.8895.79N/AN/A8311,520845
2019-03-29$58.77$57.008.7%2.7%8.7%18.6%0.0%0.9%0.8%49.2K-6.0M-19.0K0.6795.25N/AN/A48321,543842