USMV Options History — October 2019

In October 2019, USMV traded between $62.72 and $64.20. ATM implied volatility averaged 13.4%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.3% (HV 20d: 11.0%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 6.30.

Notable Days

  • 2019-10-10: Highest Volume — 2,225 contracts
  • 2019-10-08: Largest IV spike — 125.8% change
  • 2019-10-08: Highest IV Rank — 100.0%
  • 2019-10-08: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.68$62.72$64.20$63.58$63.84
Max Pain$64.00$64.00$64.00$64.00$64.00
ATM IV13.4%9.2%32.7%12.3%9.8%
Expected Move3.6%2.6%5.7%3.5%2.8%
HV 20d11.0%8.9%12.3%10.1%8.9%
HV 60d12.6%11.5%12.9%11.9%11.5%
IV Rank30.7%13.3%100.0%31.0%15.6%
IV Percentile49.6%16.3%100.0%52.8%25.8%
Term Structure1.5%-3.6%17.0%17.0%1.1%
VWIV13.1%9.9%20.1%12.3%9.9%
Skew 25d5.3%1.3%11.2%8.8%3.6%
Skew 10d8.6%-4.0%18.7%11.4%-3.0%
Call IV 25d9.9%7.0%14.2%9.0%9.5%
Put IV 25d15.2%11.5%23.2%17.8%13.1%
Bid-Ask Spread %112.9086.01127.9793.94119.63
Gamma HHI0.230.160.390.310.17
Net GEX-972.6K-1.9M329.2K-1.4M-799.1K
Net DEX1.5M-1.6M7.1M3.0M530.9K
Net VEX-48.9K-60.9K-43.5K-49.7K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.300.1845.113.000.98
Total Volume219.348102,225140129
Total OI7,381.0875,5299,8857,2265,928

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$63.58$64.0012.3%3.5%10.1%31.0%12.3%8.8%17.0%-1.4M3.0M-49.7K3.0093.94N/AN/A351051,6925,534
2019-10-02$62.72$64.0017.0%4.9%10.7%52.4%18.1%6.8%-0.7%-1.9M7.1M-53.5K3.9095.86N/AN/A1003901,7045,563
2019-10-03$62.98$64.0020.5%4.4%10.8%68.4%17.1%11.2%-0.6%-1.6M6.0M-54.7K6.88108.35N/AN/A261791,7965,560
2019-10-04$63.98$64.0013.3%4.0%12.3%35.2%0.0%6.6%1.3%-1.4M1.4M-48.0K2.0886.01N/AN/A531101,8225,657
2019-10-07$63.76$64.0014.5%3.7%11.8%40.8%18.5%2.7%0.8%-1.3M1.1M-46.4K45.11110.27N/AN/A94061,8545,757
2019-10-08$63.09$64.0032.7%5.7%11.8%100.0%20.1%6.8%-2.7%-1.5M6.1M-53.4K0.26114.68N/AN/A1951,8625,667
2019-10-09$63.43$64.0015.8%4.5%11.8%37.7%15.1%6.7%-3.6%-1.6M1.7M-45.7K0.35104.82N/AN/A34121,8755,668
2019-10-10$63.65$64.0016.7%4.8%11.6%41.1%10.1%8.6%5.8%-1.8M577.3K-43.5K4.34126.11N/AN/A4171,8081,8845,673
2019-10-11$63.95$64.0017.6%5.0%11.6%44.2%0.0%1.3%-1.8%-1.7M2.1M-60.9K6.50127.22N/AN/A2132,2907,458
2019-10-14$63.66$64.0011.3%3.2%11.7%21.1%14.3%5.6%1.1%-672.8K1.0M-52.7K18.08110.55N/AN/A122172,2927,434
2019-10-15$63.88$64.0010.9%3.1%11.3%19.5%0.0%4.4%1.3%-486.3K-109.4K-50.6K1.53116.73N/AN/A30462,2997,467
2019-10-16$63.83$64.0010.7%3.1%11.3%19.0%12.6%4.8%0.8%-354.4K582.1K-49.2K0.00114.97N/AN/A0362,2697,468
2019-10-17$64.06$64.0010.8%3.1%11.3%19.4%0.0%4.8%1.9%-46.0K-947.1K-48.6K14.09114.89N/AN/A111552,2697,469
2019-10-18$64.12$64.0011.4%3.3%11.3%21.3%12.8%4.3%0.9%329.2K-1.6M-48.4K0.65111.64N/AN/A84552,2617,624
2019-10-21$64.20$64.0011.6%3.3%11.3%22.4%10.6%5.8%1.1%-658.6K-124.2K-46.3K0.60115.41N/AN/A43261,6383,891
2019-10-22$63.66$64.0010.3%3.0%11.4%17.5%10.2%4.1%1.2%-706.0K675.0K-47.5K5.27106.94N/AN/A11581,6813,901
2019-10-23$63.67$64.0010.2%2.9%11.3%16.9%11.5%7.3%1.0%-750.5K1.3M-48.8K5.79117.88N/AN/A281621,6913,921
2019-10-24$63.75$64.009.7%2.8%11.3%15.0%0.0%4.5%1.5%-774.5K858.4K-47.7K13.50120.04N/AN/A2271,7134,057
2019-10-25$63.55$64.009.2%2.6%10.9%13.3%9.9%5.3%1.5%-815.7K1.2M-48.0K2.33117.33N/AN/A371,7154,053
2019-10-28$63.49$64.0010.8%3.1%10.5%19.2%10.4%2.6%2.1%-854.2K1.2M-45.7K1.00121.22N/AN/A14141,7214,059
2019-10-29$63.68$64.009.8%2.8%10.2%15.4%9.9%2.8%1.2%-806.1K561.7K-45.2K0.18114.34N/AN/A3871,7344,063
2019-10-30$64.00$64.0011.1%3.2%8.9%20.2%11.5%2.0%1.2%-807.0K-136.5K-43.7K2.06127.97N/AN/A35721,7624,069
2019-10-31$63.84$64.009.8%2.8%8.9%15.6%9.9%3.6%1.1%-799.1K530.9K-45.8K0.98119.63N/AN/A65641,7874,141