USMV Options History — June 2019

In June 2019, USMV traded between $59.33 and $62.47. ATM implied volatility averaged 12.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.7% (HV 20d: 10.3%). Max pain ranged from $57.00 to $61.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2019-06-07: Highest Volume — 728 contracts
  • 2019-06-11: Largest IV spike — 28.6% change
  • 2019-06-03: Highest IV Rank — 47.0%
  • 2019-06-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.50$59.33$62.47$59.33$61.57
Max Pain$60.20$57.00$61.00$57.00$61.00
ATM IV12.0%10.1%15.2%15.2%10.7%
Expected Move3.4%2.9%4.4%4.4%3.1%
HV 20d10.3%9.3%11.0%10.4%10.0%
HV 60d8.8%8.4%9.1%8.4%9.1%
IV Rank32.9%24.7%47.0%47.0%27.2%
IV Percentile59.9%45.6%78.6%78.6%48.4%
Term Structure0.1%-4.2%1.8%-1.0%0.3%
VWIV12.2%9.8%15.4%15.4%11.1%
Skew 25d4.8%1.6%7.7%6.1%2.6%
Skew 10d6.3%-3.6%11.6%9.3%6.9%
Call IV 25d9.2%6.0%12.1%11.6%11.0%
Put IV 25d14.0%12.0%17.7%17.7%13.5%
Bid-Ask Spread %96.2587.09112.9997.5292.84
Gamma HHI0.280.230.400.370.23
Net GEX-173.8K-640.6K18.1K-640.6K-90.3K
Net DEX-7.5M-9.8M-2.8M-2.8M-6.1M
Net VEX-25.1K-32.9K-20.3K-32.9K-24.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.051.170.630.56
Total Volume363.364728209276
Total OI5,047.13,9205,6014,9224,212

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$59.33$57.0015.2%4.4%10.4%47.0%15.4%6.1%-1.0%-640.6K-2.8M-32.9K0.6397.52N/AN/A128811,9193,003
2019-06-04$59.93$57.0013.1%3.7%11.0%37.6%15.2%7.6%0.2%-569.2K-4.5M-31.0K0.6396.18N/AN/A147921,9843,046
2019-06-05$60.82$57.0012.8%3.7%10.7%36.5%13.4%6.7%-0.5%-386.6K-6.5M-27.8K0.5088.17N/AN/A4052021,9953,046
2019-06-06$61.30$60.0012.6%3.4%10.8%35.8%11.8%3.8%0.7%-120.7K-8.2M-26.8K0.8289.16N/AN/A3673022,2303,057
2019-06-07$61.72$60.0011.2%3.1%10.8%29.5%12.1%4.7%0.9%-202.9K-8.5M-26.1K0.7588.61N/AN/A4153132,1533,174
2019-06-10$61.57$60.0010.3%3.1%10.9%25.9%12.7%4.4%0.3%-111.1K-8.6M-25.9K0.1687.09N/AN/A64102,2533,173
2019-06-11$61.34$60.0013.3%3.3%10.0%38.8%11.6%4.0%0.4%-174.3K-8.1M-25.8K1.0690.15N/AN/A1131202,2213,175
2019-06-12$61.62$61.0011.4%3.3%9.9%30.4%12.1%1.6%0.5%-123.2K-8.6M-25.8K1.1796.46N/AN/A1131322,2963,224
2019-06-13$61.57$61.0010.8%3.1%9.9%27.9%12.4%4.0%0.6%-124.2K-8.9M-23.5K1.1598.28N/AN/A1241422,2963,222
2019-06-14$61.95$61.0010.1%2.9%9.9%24.7%12.0%7.7%1.5%-71.2K-9.0M-24.8K0.9894.74N/AN/A1501472,3103,247
2019-06-17$61.50$61.0012.3%3.5%10.4%34.2%10.7%3.7%-0.4%-169.8K-7.8M-24.1K0.0594.99N/AN/A213112,1573,272
2019-06-18$61.60$61.0010.8%3.1%10.3%28.0%11.6%5.7%0.3%-91.1K-8.7M-25.8K0.36102.55N/AN/A5091812,2843,282
2019-06-19$62.09$61.0011.6%3.3%10.4%31.4%12.5%3.2%-0.3%-112.8K-9.0M-23.1K0.57112.99N/AN/A3822172,1813,357
2019-06-20$62.47$61.0010.3%3.0%10.5%25.8%10.2%2.7%1.8%18.1K-9.8M-20.8K0.61102.78N/AN/A3882372,1803,324
2019-06-21$62.40$61.0011.5%3.3%10.1%30.6%9.8%6.1%0.0%-64.3K-9.8M-20.3K0.52106.47N/AN/A3811972,1833,418
2019-06-24$62.34$61.0012.0%3.4%10.1%33.1%13.6%5.4%0.5%-59.7K-6.8M-21.8K0.78103.00N/AN/A36281,6892,253
2019-06-25$62.03$61.0012.5%3.6%9.3%35.3%12.3%5.9%0.1%-109.4K-6.5M-21.8K0.57100.48N/AN/A108621,6862,234
2019-06-26$61.35$61.0014.8%4.2%10.1%45.3%12.0%3.5%-4.2%-132.4K-5.7M-24.4K0.8792.93N/AN/A1221061,7602,287
2019-06-27$61.50$61.0012.1%3.5%10.1%33.7%10.7%6.5%0.8%-139.3K-5.6M-24.9K0.5189.68N/AN/A162831,7832,376
2019-06-28$61.57$61.0010.7%3.1%10.0%27.2%11.1%2.6%0.3%-90.3K-6.1M-24.6K0.5692.84N/AN/A177991,8242,388