USMV Options History — September 2019

In September 2019, USMV traded between $63.41 and $64.72. ATM implied volatility averaged 12.6%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.8% (HV 20d: 11.8%). Max pain ranged from $61.00 to $66.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 55.43.

Notable Days

  • 2019-09-11: Highest Volume — 3,189 contracts
  • 2019-09-12: Largest IV spike — 105.3% change
  • 2019-09-12: Highest IV Rank — 75.4%
  • 2019-09-12: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.10$63.41$64.72$63.84$64.13
Max Pain$64.05$61.00$66.00$61.00$64.00
ATM IV12.6%10.1%22.0%15.4%12.7%
Expected Move3.6%2.9%6.3%4.4%3.6%
HV 20d11.8%8.8%14.9%14.9%9.6%
HV 60d11.8%11.5%12.0%11.5%11.7%
IV Rank32.0%20.9%75.4%44.9%32.5%
IV Percentile52.7%35.7%96.4%74.2%56.0%
Term Structure1.1%-15.9%14.6%-0.4%0.7%
VWIV13.7%6.9%17.7%17.7%15.9%
Skew 25d3.9%-15.3%8.8%6.6%8.1%
Skew 10d9.0%-20.2%15.6%15.6%8.3%
Call IV 25d11.3%7.4%35.2%12.9%8.9%
Put IV 25d15.2%8.1%19.9%19.5%17.0%
Bid-Ask Spread %104.4089.24132.8989.2491.87
Gamma HHI0.260.160.370.160.28
Net GEX-1.3M-2.2M-507.7K-606.1K-1.3M
Net DEX-1.5M-6.5M3.7M-4.4M1.8M
Net VEX-41.6K-52.3K-29.8K-30.4K-49.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio55.430.30796.250.598.89
Total Volume474.2713,189441267
Total OI7,008.155,1858,7585,1857,149

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$63.84$61.0015.4%4.4%14.9%44.9%17.7%6.6%-0.4%-606.1K-4.4M-30.4K0.5989.24N/AN/A2771641,9943,191
2019-09-04$64.33$62.0014.4%4.1%14.6%40.4%14.9%7.2%0.1%-547.7K-5.5M-30.3K0.3093.26N/AN/A287852,0103,264
2019-09-05$64.53$66.0011.2%3.4%14.4%25.7%0.0%5.7%1.6%-522.0K-6.3M-30.5K2.38104.92N/AN/A21502,0433,305
2019-09-06$64.72$66.0010.1%3.3%13.5%20.9%17.1%6.6%2.0%-507.7K-6.5M-29.8K0.5196.78N/AN/A4642372,0373,355
2019-09-09$64.10$66.0011.8%3.5%14.1%28.5%14.3%6.4%1.2%-671.9K-5.1M-34.9K28.3598.45N/AN/A205672,0723,529
2019-09-10$63.41$64.0012.7%3.7%14.0%32.5%15.9%-4.1%-0.3%-1.1M-2.0M-37.8K48.60117.61N/AN/A157292,0823,867
2019-09-11$63.75$64.0010.7%3.1%13.9%23.6%16.3%6.8%2.4%-1.1M-3.6M-35.9K796.25117.93N/AN/A43,1852,0923,879
2019-09-12$64.19$64.0022.0%6.3%11.9%75.4%17.7%-15.3%-15.9%-1.5M-2.0M-46.2K121.00132.89N/AN/A11211,8946,788
2019-09-13$63.83$64.0010.3%2.9%11.9%21.6%11.9%5.4%2.3%-2.1M1.8M-52.3K18.27100.84N/AN/A112011,8956,819
2019-09-16$63.69$64.0010.9%3.1%11.7%24.6%11.2%4.8%2.5%-2.2M2.4M-51.7K3.0099.55N/AN/A21631,8936,865
2019-09-17$64.26$64.0011.7%3.4%11.6%28.1%12.5%6.2%1.8%-1.9M36.1K-49.6K40.60101.95N/AN/A52031,9106,833
2019-09-18$64.30$64.0013.0%3.7%11.4%33.8%12.3%1.8%0.6%-2.1M-1.4M-42.8K3.52120.17N/AN/A1123941,9136,765
2019-09-19$64.44$64.0011.6%3.3%11.3%27.4%13.0%4.5%1.8%-1.7M-1.6M-44.5K0.9999.77N/AN/A96951,8846,756
2019-09-20$64.30$64.0012.0%3.4%11.3%29.3%6.9%0.8%1.9%-1.7M-3.1M-34.0K1.29115.48N/AN/A75971,8646,812
2019-09-23$64.41$64.0012.1%3.5%8.8%29.7%11.8%5.9%0.8%-1.4M-583.6K-39.7K2.7993.05N/AN/A34951,4934,913
2019-09-24$63.92$64.0012.7%3.6%9.2%32.6%11.8%8.8%14.6%-1.1M1.2M-45.9K1.69109.87N/AN/A2293881,4394,966
2019-09-25$64.02$64.0012.1%3.5%9.1%29.8%10.8%1.1%1.6%-1.2M993.0K-47.0K12.27107.68N/AN/A334051,6615,046
2019-09-26$64.22$64.0011.8%3.4%9.1%28.7%11.3%4.5%-1.2%-1.1M1.0M-47.2K2.2099.80N/AN/A45991,6645,233
2019-09-27$63.66$64.0012.2%3.5%9.2%30.2%16.7%6.9%3.3%-1.4M3.7M-52.2K15.0696.82N/AN/A182711,6795,309
2019-09-30$64.13$64.0012.7%3.6%9.6%32.5%15.9%8.1%0.7%-1.3M1.8M-49.0K8.8991.87N/AN/A272401,6955,454