USMV Options History — November 2019

In November 2019, USMV traded between $63.25 and $64.99. ATM implied volatility averaged 9.1%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.1% (HV 20d: 6.1%). Max pain ranged from $63.00 to $64.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 5.71.

Notable Days

  • 2019-11-21: Highest Volume — 468 contracts
  • 2019-11-07: Largest IV spike — 44.6% change
  • 2019-11-20: Highest IV Rank — 21.3%
  • 2019-11-20: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.00$63.25$64.99$63.93$64.81
Max Pain$63.70$63.00$64.00$64.00$64.00
ATM IV9.1%6.2%11.3%8.9%8.9%
Expected Move2.9%2.3%3.3%2.6%2.5%
HV 20d6.1%5.5%7.3%6.9%6.0%
HV 60d9.6%8.7%11.2%11.1%8.8%
IV Rank13.1%2.1%21.3%12.3%12.2%
IV Percentile21.3%1.2%48.0%14.7%17.1%
Term Structure1.5%0.2%3.1%1.5%0.7%
VWIV11.1%9.1%16.7%10.2%10.9%
Skew 25d4.7%2.6%6.0%2.6%5.7%
Skew 10d9.3%4.0%14.8%4.0%9.4%
Call IV 25d8.2%5.2%9.3%8.4%6.9%
Put IV 25d12.9%11.0%14.3%11.0%12.6%
Bid-Ask Spread %107.3393.92121.80121.80107.56
Gamma HHI0.180.120.220.180.15
Net GEX-630.3K-998.4K97.1K-819.3K97.1K
Net DEX-1.4M-4.4M1.9M-355.3K-3.9M
Net VEX-34.7K-43.1K-28.9K-43.1K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.710.0092.603.170.44
Total Volume110.2246812559
Total OI5,819.15,4306,0875,9805,744

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$63.93$64.008.9%2.6%6.9%12.3%10.2%2.6%1.5%-819.3K-355.3K-43.1K3.17121.80N/AN/A30951,8054,175
2019-11-04$63.44$64.0010.0%3.2%7.3%16.2%11.5%4.5%2.3%-998.4K1.2M-42.3K1.0193.92N/AN/A1081091,8024,227
2019-11-05$63.25$64.006.2%3.1%6.4%2.1%10.4%5.0%1.8%-980.0K1.9M-41.6K0.74105.66N/AN/A97721,8194,216
2019-11-06$63.51$63.006.7%2.8%6.2%4.1%9.4%4.9%2.4%-837.6K685.3K-40.5K0.0099.62N/AN/A3101,9084,164
2019-11-07$63.43$63.009.7%3.2%6.1%15.2%9.2%4.9%1.7%-874.5K547.3K-41.7K2.00105.98N/AN/A121,9224,164
2019-11-08$63.43$63.008.6%3.1%5.8%11.0%9.9%5.0%2.4%-856.2K285.7K-40.1K0.55106.48N/AN/A75411,9234,164
2019-11-11$63.34$64.009.2%3.2%5.7%13.2%11.6%4.9%1.6%-953.7K745.4K-37.4K3.56106.03N/AN/A18641,8714,163
2019-11-12$63.38$63.007.4%3.2%5.5%6.8%0.0%4.7%1.7%-896.0K505.3K-35.9K1.00102.86N/AN/A111,8784,130
2019-11-13$63.86$63.0010.0%2.9%6.2%16.4%11.6%4.3%2.0%-981.0K-1.5M-30.7K0.76112.89N/AN/A21161,8784,130
2019-11-14$63.91$63.009.5%2.7%6.0%14.5%11.4%5.0%2.7%-876.1K-1.4M-33.0K0.25101.45N/AN/A40101,8844,130
2019-11-15$64.17$64.008.9%2.6%6.2%12.4%12.3%3.8%3.1%-848.5K-2.9M-29.6K1.21111.33N/AN/A19231,8684,129
2019-11-18$64.35$64.0010.4%3.0%6.3%17.9%10.6%5.4%1.0%-577.5K-2.9M-29.8K2.27101.54N/AN/A22501,7463,684
2019-11-19$64.53$64.009.0%2.6%5.5%12.6%9.1%4.7%0.5%-571.4K-3.3M-28.9K0.49106.73N/AN/A55271,7423,731
2019-11-20$64.45$64.0011.3%3.3%5.5%21.3%16.7%3.9%0.2%-601.1K-2.9M-30.1K0.11111.64N/AN/A356401,7423,758
2019-11-21$64.13$64.0010.9%3.1%5.8%19.7%11.2%4.8%0.6%-587.9K-1.5M-34.9K92.60108.45N/AN/A54631,7533,797
2019-11-22$64.17$64.0010.4%3.0%5.7%17.7%13.0%4.6%0.4%-546.1K-2.2M-34.1K1.00111.02N/AN/A111,7533,810
2019-11-25$64.26$64.009.8%2.8%5.7%15.5%11.5%3.9%0.5%-10.4K-3.0M-29.8K0.75112.79N/AN/A16121,7633,811
2019-11-26$64.74$64.008.1%2.3%6.1%9.5%10.9%5.5%1.3%50.6K-4.0M-29.6K0.67108.72N/AN/A15101,7793,821
2019-11-27$64.99$64.008.4%2.4%6.0%10.6%9.5%6.0%0.9%62.8K-4.4M-29.6K1.71110.13N/AN/A731251,7843,814
2019-11-29$64.81$64.008.9%2.5%6.0%12.2%10.9%5.7%0.7%97.1K-3.9M-30.7K0.44107.56N/AN/A41181,8403,904