USMV Options History — July 2019

In July 2019, USMV traded between $61.94 and $63.67. ATM implied volatility averaged 9.0%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.9% (HV 20d: 8.1%). Max pain ranged from $57.00 to $63.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.09.

Notable Days

  • 2019-07-11: Highest Volume — 1,440 contracts
  • 2019-07-10: Largest IV spike — 25.3% change
  • 2019-07-31: Highest IV Rank — 27.2%
  • 2019-07-09: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.09$61.94$63.67$61.94$62.99
Max Pain$62.18$57.00$63.00$61.00$63.00
ATM IV9.0%7.5%10.7%9.5%10.7%
Expected Move2.7%2.1%3.3%2.7%3.1%
HV 20d8.1%6.3%10.0%10.0%7.0%
HV 60d9.3%9.2%9.5%9.2%9.3%
IV Rank19.8%13.3%27.2%22.2%27.2%
IV Percentile31.4%13.1%50.0%36.9%50.0%
Term Structure0.7%-2.2%1.6%0.0%0.1%
VWIV8.9%7.0%12.1%10.9%10.6%
Skew 25d4.1%2.8%5.4%5.1%4.4%
Skew 10d6.5%1.4%10.4%3.8%4.9%
Call IV 25d7.0%5.2%8.7%5.9%8.7%
Put IV 25d11.1%9.4%13.0%11.0%13.0%
Bid-Ask Spread %90.7781.65108.4196.13108.41
Gamma HHI0.260.150.360.190.34
Net GEX-326.9K-633.2K31.3K-1.5K-633.2K
Net DEX-6.6M-8.2M-4.3M-6.9M-4.3M
Net VEX-21.7K-25.4K-16.9K-21.4K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.090.0916.781.092.49
Total Volume376.091511,440292150
Total OI4,763.2734,2195,8124,2194,568

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$61.94$61.009.5%2.7%10.0%22.2%10.9%5.1%0.0%-1.5K-6.9M-21.4K1.0996.13N/AN/A1401521,8252,394
2019-07-02$62.36$61.008.5%2.4%9.8%17.8%9.6%2.9%1.1%28.6K-7.2M-20.0K0.6785.62N/AN/A1561041,7752,501
2019-07-03$63.02$61.007.5%2.1%9.1%13.3%7.1%4.2%1.6%31.3K-8.1M-18.3K0.8190.67N/AN/A1631321,7912,590
2019-07-05$62.92$57.008.3%2.7%8.9%17.1%9.5%4.4%0.4%19.6K-7.9M-18.8K0.8186.83N/AN/A1631321,7972,634
2019-07-08$62.91$57.007.9%2.7%8.7%15.4%9.5%4.5%0.7%18.9K-7.8M-19.2K1.9786.05N/AN/A30591,7952,634
2019-07-09$62.86$63.007.7%3.3%8.6%14.2%10.5%5.4%-2.2%-26.6K-7.5M-19.5K3.6091.68N/AN/A451621,7752,693
2019-07-10$63.25$63.009.6%2.8%8.6%22.6%9.5%4.9%0.6%-35.5K-8.2M-16.9K3.7091.79N/AN/A873221,7882,720
2019-07-11$63.18$63.009.2%2.6%8.6%20.8%12.1%4.8%0.7%-17.9K-7.9M-18.5K15.5589.95N/AN/A871,3531,7952,734
2019-07-12$63.36$63.009.1%2.6%8.6%20.4%11.8%4.3%1.3%-475.3K-7.3M-22.1K16.7890.45N/AN/A811,3591,7893,749
2019-07-15$63.50$63.009.6%2.7%8.4%22.4%7.8%3.9%0.9%-415.0K-7.5M-20.8K3.8889.57N/AN/A261011,7943,746
2019-07-16$63.38$63.009.3%2.7%7.9%21.1%8.6%4.4%1.2%-446.0K-7.3M-21.6K2.0388.16N/AN/A861751,8133,847
2019-07-17$63.25$63.009.4%2.7%8.0%21.9%7.6%4.2%0.9%-512.5K-6.9M-24.2K2.5290.33N/AN/A982471,8723,894
2019-07-18$63.42$63.009.8%2.8%7.6%23.7%8.3%4.9%1.3%-447.3K-6.7M-25.3K2.4990.58N/AN/A982441,8693,932
2019-07-19$63.03$63.009.4%2.7%7.8%21.9%8.5%3.6%1.1%-555.9K-6.2M-25.4K2.9194.36N/AN/A902621,8693,943
2019-07-22$62.83$63.009.2%2.6%7.8%20.8%7.3%3.3%0.7%-611.3K-4.7M-25.0K6.0282.44N/AN/A523131,6502,735
2019-07-23$63.07$63.008.6%2.5%7.9%18.4%7.0%2.8%1.4%-561.0K-5.1M-23.3K8.8385.32N/AN/A353091,6642,623
2019-07-24$63.05$63.008.7%2.5%7.7%18.6%7.2%2.9%0.7%-574.2K-5.4M-22.3K8.7688.16N/AN/A373241,6642,694
2019-07-25$63.07$63.009.2%2.6%6.3%20.9%7.2%3.0%0.8%-583.2K-5.1M-23.4K8.7090.55N/AN/A373221,6662,714
2019-07-26$63.59$63.007.8%2.2%6.7%14.8%8.1%4.0%0.9%-461.2K-6.1M-21.8K16.0881.65N/AN/A254021,6662,764
2019-07-29$63.67$63.008.1%2.3%6.7%16.0%8.0%4.1%1.1%-428.8K-6.1M-21.2K0.09102.28N/AN/A5851,6752,814
2019-07-30$63.34$63.0010.1%2.9%6.9%24.9%8.5%3.7%0.2%-502.8K-5.5M-22.6K2.1995.99N/AN/A16351,7232,814
2019-07-31$62.99$63.0010.7%3.1%7.0%27.2%10.6%4.4%0.1%-633.2K-4.3M-25.2K2.49108.41N/AN/A431071,7242,844