USMV Options History — February 2020

In February 2020, USMV traded between $60.67 and $69.62. ATM implied volatility averaged 15.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.3% (HV 20d: 10.0%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.21.

Notable Days

  • 2020-02-28: Highest Volume — 478 contracts
  • 2020-02-28: Largest IV spike — 68.4% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.87$60.67$69.62$67.58$60.67
Max Pain$64.47$64.00$67.00$67.00$64.00
ATM IV15.3%8.9%48.0%12.8%48.0%
Expected Move4.4%2.7%13.8%3.7%13.8%
HV 20d10.0%7.7%24.1%8.0%24.1%
HV 60d7.5%6.3%15.4%6.3%15.4%
IV Rank32.8%12.4%100.0%26.8%100.0%
IV Percentile65.8%25.8%100.0%79.8%100.0%
Term Structure-0.8%-25.0%8.8%-0.0%-25.0%
VWIV15.8%5.6%38.8%13.4%38.8%
Skew 25d6.5%3.9%22.7%5.4%22.7%
Skew 10d13.6%6.6%35.7%10.8%35.7%
Call IV 25d12.2%8.5%31.4%10.7%31.4%
Put IV 25d18.8%12.8%54.1%16.1%54.1%
Bid-Ask Spread %88.0678.05104.51102.7590.13
Gamma HHI0.220.120.280.220.12
Net GEX-308.3K-388.1K-194.3K-375.5K-215.3K
Net DEX-5.2M-8.6M6.7M-4.8M6.7M
Net VEX-28.0K-39.7K-22.5K-29.0K-34.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.2219.332.003.39
Total Volume159.2114447878478
Total OI4,991.6324,6635,3434,6635,343

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$67.58$67.0012.8%3.7%8.0%26.8%13.4%5.4%-0.0%-375.5K-4.8M-29.0K2.00102.75N/AN/A26521,6243,039
2020-02-04$68.06$67.0011.8%3.4%8.3%23.0%15.5%4.8%-0.0%-358.6K-5.8M-26.4K2.38102.69N/AN/A13311,6473,081
2020-02-05$68.49$67.0011.4%3.3%8.2%21.6%11.0%3.9%0.3%-344.2K-6.3M-25.8K1.1199.22N/AN/A27301,6493,102
2020-02-06$68.58$64.008.9%3.0%8.1%12.4%16.0%5.5%0.9%-337.2K-6.4M-25.0K9.4079.69N/AN/A151411,6663,127
2020-02-07$68.47$64.0011.6%3.5%8.2%22.2%12.9%5.8%-0.3%-362.0K-6.1M-26.5K0.8683.03N/AN/A81701,6763,162
2020-02-10$68.67$64.009.3%3.0%8.2%13.7%0.0%5.9%1.0%-355.9K-6.5M-26.0K19.3384.20N/AN/A3581,7233,222
2020-02-11$68.97$64.009.8%3.2%8.2%15.7%13.0%4.9%0.6%-328.6K-7.1M-24.8K1.1778.90N/AN/A69811,7233,184
2020-02-12$68.99$64.0010.2%2.9%8.1%17.2%11.4%4.3%1.2%-307.0K-7.4M-25.4K2.8278.73N/AN/A28791,7853,192
2020-02-13$69.26$64.0010.7%3.1%8.0%18.7%10.9%4.8%1.3%-294.3K-7.7M-25.4K4.5085.20N/AN/A10451,7943,222
2020-02-14$69.58$64.009.5%2.7%7.8%14.6%10.2%4.4%1.5%-281.5K-8.3M-23.6K0.2786.62N/AN/A41111,7963,222
2020-02-18$69.62$64.0010.3%3.0%7.7%17.5%12.0%4.3%1.8%-236.0K-8.6M-22.5K2.64104.51N/AN/A36951,8263,232
2020-02-19$69.62$64.009.9%2.8%7.7%15.8%5.6%4.4%1.4%-230.8K-8.5M-23.3K0.5883.20N/AN/A69401,8513,268
2020-02-20$69.42$64.0011.4%3.3%7.8%21.5%11.9%4.4%0.7%-219.1K-8.2M-24.2K0.5588.52N/AN/A99541,9113,252
2020-02-21$69.22$64.0013.2%3.8%8.0%28.2%15.3%5.5%-0.5%-194.3K-8.0M-26.7K4.6792.31N/AN/A331541,9833,266
2020-02-24$68.05$64.0017.6%5.0%10.0%44.4%17.8%7.4%8.8%-339.4K-4.9M-32.1K1.9289.97N/AN/A1573021,8382,985
2020-02-25$66.48$64.0022.9%6.6%13.0%64.0%21.4%8.9%-3.1%-373.6K-2.0M-35.1K1.3986.49N/AN/A64891,9893,047
2020-02-26$66.13$64.0022.1%6.3%12.9%61.0%20.4%6.9%-2.4%-388.1K-1.5M-36.4K0.2278.92N/AN/A187412,0343,075
2020-02-27$63.72$64.0028.5%8.2%18.1%84.6%27.2%9.8%-3.3%-315.8K2.4M-39.7K1.7778.05N/AN/A781382,2193,086
2020-02-28$60.67$64.0048.0%13.8%24.1%100.0%38.8%22.7%-25.0%-215.3K6.7M-34.6K3.3990.13N/AN/A1093692,2653,078