USMV Options History — August 2019

In August 2019, USMV traded between $61.27 and $63.82. ATM implied volatility averaged 15.7%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.6% (HV 20d: 14.0%). Max pain ranged from $61.00 to $63.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 30.11.

Notable Days

  • 2019-08-02: Highest Volume — 1,283 contracts
  • 2019-08-05: Largest IV spike — 52.0% change
  • 2019-08-05: Highest IV Rank — 71.4%
  • 2019-08-23: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.96$61.27$63.82$62.80$63.75
Max Pain$61.18$61.00$63.00$63.00$61.00
ATM IV15.7%11.9%20.8%16.1%13.6%
Expected Move4.3%3.4%5.3%4.6%3.9%
HV 20d14.0%6.0%17.3%6.0%17.3%
HV 60d11.0%8.7%12.1%8.8%11.6%
IV Rank47.0%29.2%71.4%50.7%36.9%
IV Percentile76.6%54.0%94.4%81.7%64.7%
Term Structure-0.2%-1.8%4.4%-1.8%0.6%
VWIV14.9%11.5%19.0%15.0%11.5%
Skew 25d7.0%5.4%12.5%12.5%7.3%
Skew 10d13.3%2.2%20.3%4.8%14.5%
Call IV 25d11.5%8.1%13.9%8.1%11.3%
Put IV 25d18.5%15.9%21.3%20.6%18.6%
Bid-Ask Spread %89.0877.70117.05117.0592.25
Gamma HHI0.250.130.420.360.16
Net GEX-777.2K-1.5M-320.6K-637.7K-624.2K
Net DEX-3.1M-5.4M1.7M-3.4M-4.2M
Net VEX-30.8K-34.4K-25.0K-28.4K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio30.110.06426.671.250.93
Total Volume334.409171,283173131
Total OI5,208.1824,2555,8844,6675,150

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$62.80$63.0016.1%4.6%6.0%50.7%15.0%12.5%-1.8%-637.7K-3.4M-28.4K1.25117.05N/AN/A77961,7612,906
2019-08-02$62.68$63.0013.7%3.9%6.0%40.4%17.7%5.6%-0.4%-689.3K-3.1M-28.0K426.6798.52N/AN/A31,2801,7652,931
2019-08-05$61.27$61.0020.8%4.9%10.0%71.4%12.2%7.2%-1.4%-1.0M1.7M-30.6K8.1283.73N/AN/A1008121,7633,142
2019-08-06$62.00$61.0016.5%4.3%11.0%52.5%15.5%7.4%-1.1%-1.1M-162.5K-32.2K20.6077.70N/AN/A102061,8443,415
2019-08-07$62.50$61.0017.9%4.6%11.2%58.7%14.5%7.0%-1.0%-1.2M-1.6M-31.5K22.4080.90N/AN/A51121,8513,705
2019-08-08$63.45$61.0013.8%4.0%12.5%40.0%13.4%7.1%-1.6%-772.7K-4.3M-28.4K9.3284.19N/AN/A282611,8553,695
2019-08-09$63.44$61.0014.6%4.1%12.5%43.5%14.2%5.9%-0.6%-1.0M-4.0M-29.2K12.7585.77N/AN/A81021,8583,909
2019-08-12$62.74$61.0018.4%4.4%13.0%58.7%15.0%7.1%-1.5%-1.2M-1.4M-31.9K2.2883.05N/AN/A29661,8643,908
2019-08-13$63.24$61.0016.5%4.1%13.4%50.0%12.7%6.8%0.0%-701.9K-4.2M-27.7K25.0079.55N/AN/A61501,8713,893
2019-08-14$62.02$61.0017.4%5.0%15.0%54.2%18.8%7.7%-1.5%-1.5M330.5K-31.3K3.4384.56N/AN/A822811,8773,864
2019-08-15$62.48$61.0017.2%4.9%15.3%53.1%19.0%6.0%-1.1%-1.2M-2.0M-27.8K2.5084.45N/AN/A1443601,8873,761
2019-08-16$63.00$61.0013.2%3.8%15.5%34.8%13.9%6.6%1.1%-320.6K-4.3M-27.7K0.5386.12N/AN/A87462,0013,883
2019-08-19$63.60$61.0011.9%3.4%15.8%29.2%13.6%5.7%4.4%-514.6K-5.1M-25.0K1.2186.52N/AN/A3133781,7782,477
2019-08-20$63.23$61.0014.8%4.2%15.9%42.1%15.2%6.0%-0.5%-479.4K-5.4M-31.8K42.8689.88N/AN/A73002,0742,712
2019-08-21$63.49$61.0013.9%4.0%15.9%38.3%14.3%5.4%2.6%-526.0K-5.2M-33.3K21.6992.26N/AN/A132822,0812,873
2019-08-22$63.68$61.0012.6%3.6%16.0%32.2%14.9%6.8%0.7%-528.8K-5.2M-34.4K0.5795.93N/AN/A4362492,0762,983
2019-08-23$62.50$61.0018.5%5.3%17.1%59.2%13.6%7.9%-0.5%-569.8K-2.4M-34.1K11.4395.73N/AN/A212401,9102,962
2019-08-26$62.89$61.0016.5%4.7%17.2%50.0%16.4%7.1%-0.5%-606.8K-2.7M-34.1K20.9486.76N/AN/A163351,9303,066
2019-08-27$63.16$61.0017.3%5.0%17.2%53.8%16.7%6.5%-1.1%-619.2K-3.1M-33.4K20.8389.04N/AN/A61251,9363,125
2019-08-28$63.28$61.0017.1%4.9%17.1%52.8%16.9%7.7%-1.2%-647.0K-3.1M-33.2K0.0693.79N/AN/A1611,9363,175
2019-08-29$63.82$61.0012.3%3.5%17.3%30.9%12.3%6.2%1.5%-616.6K-4.6M-31.5K7.0692.05N/AN/A171201,9523,175
2019-08-30$63.75$61.0013.6%3.9%17.3%36.9%11.5%7.3%0.6%-624.2K-4.2M-31.5K0.9392.25N/AN/A68631,9643,186