USMV Options History — January 2020

In January 2020, USMV traded between $65.48 and $68.03. ATM implied volatility averaged 10.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 5.0% (HV 20d: 5.2%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 26.67.

Notable Days

  • 2020-01-02: Highest Volume — 365 contracts
  • 2020-01-03: Largest IV spike — 106.7% change
  • 2020-01-31: Highest IV Rank — 44.5%
  • 2020-01-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.83$65.48$68.03$65.56$67.09
Max Pain$65.10$64.00$67.00$64.00$67.00
ATM IV10.2%6.8%17.6%7.6%17.6%
Expected Move3.1%2.2%5.1%2.2%5.1%
HV 20d5.2%4.5%7.7%5.1%7.7%
HV 60d5.8%5.6%6.3%6.2%6.3%
IV Rank17.2%4.5%44.5%7.3%44.5%
IV Percentile39.3%3.2%96.8%6.0%96.8%
Term Structure1.0%-4.2%5.7%1.3%-4.2%
VWIV11.1%7.9%17.6%7.9%17.6%
Skew 25d4.7%-2.8%10.6%4.5%10.6%
Skew 10d8.0%-3.6%14.4%10.2%2.4%
Call IV 25d8.5%6.3%15.0%6.3%9.6%
Put IV 25d13.2%10.8%20.1%10.8%20.1%
Bid-Ask Spread %105.6279.56133.54117.70123.88
Gamma HHI0.170.150.210.160.21
Net GEX-288.3K-401.8K-188.7K-188.7K-401.8K
Net DEX-4.8M-6.5M-3.0M-3.6M-4.0M
Net VEX-27.7K-31.7K-23.4K-28.7K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.670.19364.00364.0010.50
Total Volume132.5712536536592
Total OI4,260.6673,7464,5923,7464,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$65.56$64.007.6%2.2%5.1%7.3%7.9%4.5%1.3%-188.7K-3.6M-28.7K364.00117.70N/AN/A13641,5212,225
2020-01-03$65.67$64.0015.7%4.5%4.6%37.1%0.0%-2.8%5.7%-244.7K-3.5M-29.8K26.17133.54N/AN/A61571,5212,417
2020-01-06$65.69$64.008.9%2.8%4.6%12.2%11.7%5.5%1.1%-238.5K-3.2M-30.5K1.22107.85N/AN/A45551,5262,497
2020-01-07$65.48$64.0010.1%3.1%4.6%16.5%11.9%5.0%1.2%-221.2K-3.0M-31.2K10.6789.29N/AN/A121281,5682,550
2020-01-08$65.81$64.008.0%2.7%4.8%8.7%9.0%4.1%1.1%-244.7K-3.6M-30.7K5.00103.78N/AN/A9451,5792,622
2020-01-09$65.99$64.008.0%2.7%4.7%8.9%0.0%4.8%0.9%-257.2K-3.9M-30.6K2.1397.68N/AN/A8171,5812,657
2020-01-10$65.99$64.006.8%2.7%4.6%4.5%9.0%5.3%1.6%-243.9K-3.8M-30.3K4.55106.01N/AN/A11501,5822,662
2020-01-13$66.34$64.007.8%2.8%4.8%8.2%11.9%4.0%0.7%-283.4K-4.5M-28.2K0.4696.53N/AN/A26121,5852,705
2020-01-14$66.31$64.008.8%2.8%4.8%11.7%12.1%4.0%1.2%-290.2K-4.6M-27.9K1.11101.21N/AN/A63701,5942,693
2020-01-15$66.74$64.008.9%2.6%5.1%12.2%9.1%4.0%1.5%-304.5K-5.2M-27.1K3.55112.14N/AN/A331171,5922,678
2020-01-16$67.24$66.008.9%2.6%5.5%12.4%9.1%4.7%1.8%-310.7K-6.0M-24.6K10.4695.69N/AN/A131361,6122,744
2020-01-17$67.58$66.008.2%2.3%5.6%9.5%0.0%3.6%1.5%-320.3K-6.5M-24.4K2.28111.12N/AN/A18411,6192,842
2020-01-21$67.78$66.009.3%2.7%5.6%13.6%9.9%4.5%0.8%-312.6K-6.0M-23.4K3.1499.59N/AN/A22691,5282,777
2020-01-22$67.87$66.009.1%2.6%5.2%13.1%9.9%3.6%1.5%-299.3K-6.1M-23.7K0.1979.56N/AN/A68131,5362,762
2020-01-23$68.03$66.009.3%2.7%4.5%13.6%9.4%4.4%1.4%-326.7K-6.0M-23.5K16.38107.41N/AN/A81311,5002,774
2020-01-24$67.67$66.0010.9%3.1%5.2%19.5%12.4%5.2%0.5%-332.0K-5.3M-25.9K1.04100.20N/AN/A50521,5082,764
2020-01-27$67.38$66.0014.5%4.1%5.6%32.8%14.5%6.8%-0.5%-314.3K-4.9M-27.6K8.79102.12N/AN/A342991,5432,765
2020-01-28$67.74$66.0011.8%3.4%5.8%22.9%10.7%5.5%0.7%-284.5K-5.6M-26.1K59.00107.34N/AN/A21181,5792,757
2020-01-29$67.53$66.0012.9%3.7%5.8%27.2%11.0%4.9%0.2%-323.7K-5.2M-27.7K9.18112.41N/AN/A111011,5802,852
2020-01-30$67.91$66.0012.4%3.5%5.9%25.0%12.7%6.8%0.2%-312.2K-5.5M-27.4K20.31112.94N/AN/A132641,5782,907
2020-01-31$67.09$67.0017.6%5.1%7.7%44.5%17.6%10.6%-4.2%-401.8K-4.0M-31.7K10.50123.88N/AN/A8841,6162,976