USMV Options History — May 2019

In May 2019, USMV traded between $58.69 and $60.20. ATM implied volatility averaged 12.9%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.7% (HV 20d: 9.2%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.71.

Notable Days

  • 2019-05-24: Highest Volume — 1,316 contracts
  • 2019-05-06: Largest IV spike — 56.6% change
  • 2019-05-13: Highest IV Rank — 63.6%
  • 2019-05-31: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.45$58.69$60.20$59.59$59.14
Max Pain$56.77$50.00$60.00$60.00$57.00
ATM IV12.9%7.5%19.0%7.5%14.5%
Expected Move3.4%2.1%4.2%2.1%4.2%
HV 20d9.2%6.4%10.9%6.4%10.5%
HV 60d7.8%6.8%8.5%6.8%8.4%
IV Rank36.9%13.3%63.6%13.4%44.0%
IV Percentile65.1%14.3%92.9%14.7%75.8%
Term Structure-0.0%-1.1%4.5%-0.3%-0.9%
VWIV12.4%7.3%15.7%7.3%14.2%
Skew 25d4.7%-0.9%6.9%-0.9%5.3%
Skew 10d8.5%-1.8%16.1%5.2%6.3%
Call IV 25d9.7%6.3%12.3%7.4%11.0%
Put IV 25d14.4%6.4%18.6%6.4%16.3%
Bid-Ask Spread %94.9890.95107.27100.2295.50
Gamma HHI0.260.150.450.150.37
Net GEX-309.2K-764.3K38.2K38.2K-664.0K
Net DEX-5.3M-6.9M-2.5M-6.9M-2.6M
Net VEX-23.0K-34.8K-16.9K-16.9K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.710.2819.441.261.87
Total Volume380.909231,316167659
Total OI3,612.9092,7144,9602,7144,912

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$59.59$60.007.5%2.1%6.4%13.4%7.3%-0.9%-0.3%38.2K-6.9M-16.9K1.26100.22N/AN/A74931,6731,041
2019-05-02$59.43$60.009.7%2.8%6.5%23.1%8.6%0.3%1.0%-1.9K-6.3M-18.2K0.5393.30N/AN/A119631,6731,087
2019-05-03$59.74$60.007.5%2.1%6.7%13.3%7.4%2.9%1.7%15.9K-6.6M-18.0K0.5994.46N/AN/A119701,6841,103
2019-05-06$59.72$50.0011.7%2.8%6.6%31.8%11.4%0.9%4.5%4.3K-6.5M-18.2K0.28107.27N/AN/A1851,6841,114
2019-05-07$58.84$50.0017.2%3.9%8.5%55.9%15.7%6.3%-0.6%7.4K-5.6M-19.6K19.4493.85N/AN/A183501,7011,114
2019-05-08$59.14$57.0016.4%3.7%8.7%52.2%14.3%6.1%-0.2%-271.8K-4.9M-22.0K10.7994.70N/AN/A192051,7111,603
2019-05-09$59.00$57.0017.0%3.8%8.7%54.9%14.9%6.6%-1.1%-328.6K-4.4M-21.9K9.4893.77N/AN/A272561,7101,617
2019-05-10$59.35$57.0013.5%3.5%9.0%39.8%12.6%5.1%0.1%-330.6K-5.5M-20.9K0.0099.46N/AN/A0421,7121,673
2019-05-13$58.69$57.0019.0%3.8%9.7%63.6%13.5%6.5%-0.8%-396.9K-4.1M-22.0K1.0892.09N/AN/A36391,7121,673
2019-05-14$59.03$57.0015.8%3.8%10.0%49.5%14.1%6.0%-0.6%-520.7K-4.8M-21.0K1.5890.95N/AN/A1292041,7411,716
2019-05-15$59.34$57.0012.2%3.5%9.9%33.7%12.0%6.9%0.2%-764.3K-5.2M-20.9K1.4392.57N/AN/A23331,7451,756
2019-05-16$59.75$57.0010.8%3.1%10.0%27.7%12.3%5.3%0.1%-332.7K-6.4M-19.2K2.0091.92N/AN/A33661,7651,769
2019-05-17$59.78$57.0011.4%3.3%10.0%30.4%13.3%5.1%0.4%-232.1K-6.4M-19.6K0.9393.21N/AN/A45421,7651,800
2019-05-20$59.65$57.0011.0%3.2%10.0%28.9%11.8%5.5%-0.0%-104.5K-6.2M-19.8K8.7591.47N/AN/A8701,7561,502
2019-05-21$60.05$57.0011.3%3.2%9.8%30.2%11.3%4.5%-0.6%-100.1K-6.7M-19.1K1.4696.04N/AN/A48701,7621,547
2019-05-22$60.20$57.0010.8%3.1%9.8%27.9%11.3%4.8%0.2%-81.3K-6.9M-19.0K11.8098.73N/AN/A931,0971,7951,557
2019-05-23$59.80$57.0012.3%3.5%10.1%34.5%13.4%4.4%-0.1%-468.1K-4.7M-29.5K7.8293.29N/AN/A1441,1261,8382,572
2019-05-24$59.99$57.0012.1%3.5%10.1%33.4%13.4%5.5%-0.6%-445.8K-5.3M-28.3K6.5692.33N/AN/A1741,1421,8782,619
2019-05-28$59.35$57.0014.1%4.0%10.9%42.0%13.2%5.8%-1.0%-498.2K-4.3M-29.3K6.6593.40N/AN/A543591,9112,644
2019-05-29$59.02$57.0013.6%3.9%10.6%40.0%13.0%5.5%-0.5%-677.4K-2.5M-34.8K2.7498.19N/AN/A1524161,9563,004
2019-05-30$59.28$57.0013.9%4.0%10.5%41.5%13.5%5.7%-1.0%-649.8K-2.9M-33.0K1.7892.81N/AN/A2304101,9042,985
2019-05-31$59.14$57.0014.5%4.2%10.5%44.0%14.2%5.3%-0.9%-664.0K-2.6M-33.7K1.8795.50N/AN/A2304291,9172,995