USMV Options History — December 2019

In December 2019, USMV traded between $64.17 and $65.63. ATM implied volatility averaged 9.5%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.4% (HV 20d: 6.1%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 13.60.

Notable Days

  • 2019-12-31: Highest Volume — 700 contracts
  • 2019-12-06: Largest IV spike — 52.1% change
  • 2019-12-03: Highest IV Rank — 29.1%
  • 2019-12-03: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.99$64.17$65.63$64.44$65.55
Max Pain$63.62$62.00$64.00$64.00$64.00
ATM IV9.5%6.4%13.5%12.2%8.4%
Expected Move2.8%2.0%3.9%3.5%2.4%
HV 20d6.1%5.4%6.5%6.5%5.4%
HV 60d7.9%6.2%8.8%8.8%6.2%
IV Rank14.5%3.1%29.1%24.5%10.3%
IV Percentile28.3%1.6%71.0%60.7%13.1%
Term Structure1.6%-0.6%3.4%-0.6%1.6%
VWIV10.8%4.3%17.1%11.9%13.5%
Skew 25d5.0%2.6%7.6%5.8%5.7%
Skew 10d9.9%6.8%16.3%12.0%9.3%
Call IV 25d7.8%5.0%10.9%8.5%7.0%
Put IV 25d12.8%10.3%16.7%14.3%12.7%
Bid-Ask Spread %109.8096.08128.57101.52106.66
Gamma HHI0.180.140.260.140.16
Net GEX68.9K-489.2K362.8K67.9K-83.3K
Net DEX-3.9M-5.6M-2.1M-3.3M-3.8M
Net VEX-27.1K-34.0K-23.0K-31.4K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.600.10141.003.0029.43
Total Volume116.524670096700
Total OI4,976.8572,8405,8565,7663,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$64.44$64.0012.2%3.5%6.5%24.5%11.9%5.8%-0.6%67.9K-3.3M-31.4K3.00101.52N/AN/A24721,8773,889
2019-12-03$64.17$64.0013.5%3.9%6.0%29.1%17.1%6.0%-0.5%-489.2K-2.1M-34.0K0.00114.15N/AN/A01641,8743,869
2019-12-04$64.60$64.0010.7%3.1%6.2%18.8%16.2%7.6%0.6%43.2K-3.4M-30.6K141.00107.14N/AN/A11411,8743,912
2019-12-05$64.67$62.006.4%2.7%6.1%3.1%15.1%5.5%1.7%78.1K-3.7M-30.4K3.57114.34N/AN/A7251,8753,924
2019-12-06$64.97$62.009.8%2.9%6.2%15.5%0.0%4.8%1.8%114.1K-4.3M-29.0K2.50105.44N/AN/A8201,8783,949
2019-12-09$64.81$62.0011.1%3.1%6.3%20.5%0.0%5.5%1.6%70.3K-3.7M-29.3K15.0096.08N/AN/A2301,8763,969
2019-12-10$64.67$62.0010.6%3.0%6.3%18.4%12.6%6.3%1.7%71.6K-3.5M-29.0K1.55102.59N/AN/A11171,8773,969
2019-12-11$64.62$64.0011.8%3.4%6.4%23.0%10.3%4.0%0.2%135.1K-3.9M-26.9K0.13117.81N/AN/A811,8673,981
2019-12-12$64.88$64.009.3%2.7%6.0%13.9%9.7%5.0%2.2%196.3K-3.8M-28.9K0.10117.56N/AN/A2021,8743,981
2019-12-13$64.97$64.0010.6%3.0%6.0%18.6%9.3%2.6%2.0%247.9K-4.5M-26.0K3.38128.57N/AN/A24811,8743,982
2019-12-16$64.90$64.007.9%2.3%5.9%8.6%10.2%3.5%2.7%265.3K-3.8M-24.7K3.92112.32N/AN/A522041,7193,993
2019-12-17$64.90$64.008.0%2.3%5.9%9.0%8.0%3.7%3.1%362.8K-4.0M-25.3K43.00114.09N/AN/A1431,7654,017
2019-12-18$64.88$64.008.0%2.3%5.8%9.0%10.4%4.2%3.4%315.5K-4.1M-26.2K0.25113.63N/AN/A48121,7644,017
2019-12-19$65.08$64.008.5%2.4%5.9%10.6%10.8%4.2%3.3%351.0K-4.4M-25.9K0.30112.69N/AN/A74221,7604,007
2019-12-20$65.58$64.007.1%2.0%6.0%5.5%9.0%5.6%3.3%-29.7K-5.6M-24.9K0.41112.53N/AN/A176731,7644,026
2019-12-23$65.26$64.008.5%2.4%6.4%10.7%4.3%3.9%1.8%-43.3K-3.7M-24.4K2.00111.23N/AN/A241,4431,397
2019-12-24$65.33$64.009.0%2.6%6.4%12.6%9.0%4.8%1.3%-44.9K-3.9M-24.4K19.00113.25N/AN/A2381,4511,403
2019-12-26$65.42$64.009.1%2.6%5.9%13.0%6.8%4.7%0.9%-52.0K-3.9M-24.6K0.40106.09N/AN/A40161,4531,441
2019-12-27$65.63$64.007.7%2.2%5.8%7.9%10.4%4.7%2.6%-59.7K-4.2M-23.0K0.41101.20N/AN/A29121,4271,454
2019-12-30$65.42$64.0011.2%3.2%5.9%20.6%11.3%5.6%-0.1%-70.4K-3.8M-24.4K2.6597.00N/AN/A661751,4461,456
2019-12-31$65.55$64.008.4%2.4%5.4%10.3%13.5%5.7%1.6%-83.3K-3.8M-26.1K29.43106.66N/AN/A236771,5121,628