USMV Options History — March 2020

In March 2020, USMV traded between $46.34 and $66.12. ATM implied volatility averaged 54.5%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 0.2% (HV 20d: 54.3%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 269.80.

Notable Days

  • 2020-03-31: Highest Volume — 17,609 contracts
  • 2020-03-16: Largest IV spike — 56.9% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.38$46.34$66.12$64.08$54.12
Max Pain$65.36$63.00$66.00$64.00$63.00
ATM IV54.5%23.5%83.1%36.4%40.8%
Expected Move14.8%6.7%23.8%10.4%11.7%
HV 20d54.3%31.9%77.3%32.1%73.3%
HV 60d33.0%19.1%46.1%19.1%46.1%
IV Rank72.7%42.2%100.0%72.5%45.3%
IV Percentile98.0%92.9%100.0%99.6%92.9%
Term Structure-12.2%-28.4%-1.3%-16.5%-3.3%
VWIV49.9%26.0%74.6%34.0%55.7%
Skew 25d20.7%10.1%44.8%12.3%18.8%
Skew 10d30.0%7.4%52.3%7.4%36.9%
Call IV 25d40.3%12.3%59.2%12.3%33.2%
Put IV 25d61.0%24.6%87.0%24.6%52.0%
Bid-Ask Spread %96.7571.65127.30127.3075.91
Gamma HHI0.120.100.160.130.13
Net GEX-120.0K-335.1K-16.4K-268.7K-20.4K
Net DEX5.6M-2.0M12.0M86.1K3.9M
Net VEX-24.1K-39.4K-7.0K-38.8K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio269.800.035868.670.515868.67
Total Volume938.0451817,60927517,609
Total OI4,446.0912,2365,6165,4592,236

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$64.08$64.0036.4%10.4%32.1%72.5%34.0%12.3%-16.5%-268.7K86.1K-38.8K0.51127.30N/AN/A182932,2913,168
2020-03-03$64.02$64.0030.6%8.8%31.9%58.9%29.8%18.1%-6.0%-327.8K2.1M-35.0K1.1485.51N/AN/A49562,1693,164
2020-03-04$66.12$64.0023.5%6.7%34.1%42.2%26.0%10.8%-2.1%-335.1K-2.0M-34.5K0.2586.11N/AN/A224562,1493,167
2020-03-05$64.49$66.0035.7%7.9%34.9%70.9%26.3%12.9%-3.0%-261.8K891.4K-39.4K0.6284.18N/AN/A45282,3433,191
2020-03-06$63.67$66.0043.7%9.2%35.1%89.8%29.6%15.0%-1.3%-253.3K2.8M-38.9K0.9093.06N/AN/A100902,3513,213
2020-03-09$61.00$66.0065.4%13.0%37.7%100.0%39.8%17.7%-9.6%-178.4K5.4M-36.7K0.18101.77N/AN/A188342,3213,260
2020-03-10$61.82$66.0076.8%15.0%38.2%100.0%34.2%21.1%-19.3%-184.1K4.5M-37.5K0.46100.58N/AN/A143662,2703,231
2020-03-11$59.60$66.0049.9%14.3%39.6%62.1%46.4%18.8%-18.2%-167.3K6.9M-35.1K0.2498.32N/AN/A62152,3613,235
2020-03-12$54.68$66.0053.9%15.5%48.3%67.9%47.3%10.1%-5.8%-119.2K7.9M-29.3K13.50113.63N/AN/A141892,4053,211
2020-03-13$56.23$66.0049.6%14.2%50.1%61.8%43.2%22.9%-7.6%-97.2K10.7M-27.1K1.22109.46N/AN/A36442,4053,203
2020-03-16$52.66$66.0077.8%22.3%53.4%100.0%66.8%44.8%-28.4%-79.6K10.3M-24.2K0.36103.12N/AN/A58212,3963,169
2020-03-17$54.69$66.0072.6%20.8%56.3%92.8%63.7%27.5%-25.5%-88.2K9.9M-25.1K0.4195.86N/AN/A37152,3633,107
2020-03-18$50.44$66.0083.1%23.8%61.1%100.0%74.6%27.3%-23.0%-48.4K11.9M-19.7K1.12105.15N/AN/A1992222,3553,094
2020-03-19$51.71$66.0067.2%19.3%62.6%79.4%0.0%26.2%-17.6%-42.3K12.0M-17.5K2.94100.94N/AN/A16472,3592,928
2020-03-20$48.96$66.0064.7%18.6%64.0%76.3%71.4%21.7%-20.9%-31.4K11.3M-10.0K16.00104.97N/AN/A152402,3502,603
2020-03-23$46.34$66.0070.8%20.3%65.4%84.1%74.1%16.9%-17.2%-16.4K4.6M-7.0K17.00112.67N/AN/A1171,1421,184
2020-03-24$50.22$66.0052.9%15.2%74.3%61.0%66.1%20.1%-6.3%-21.2K4.5M-10.3K6.43104.21N/AN/A7451,1411,173
2020-03-25$52.28$66.0057.6%16.5%76.7%67.1%59.0%29.2%-17.2%-24.7K4.1M-12.3K0.03102.36N/AN/A19861,1421,168
2020-03-26$53.69$65.0048.2%13.8%77.3%55.0%51.8%21.8%-6.2%-28.4K3.8M-14.0K0.1478.39N/AN/A4261,0761,168
2020-03-27$54.22$64.0053.9%15.4%76.0%62.3%57.8%20.5%-11.6%-22.8K3.6M-13.7K3.0773.45N/AN/A14431,1161,174
2020-03-30$55.25$64.0043.9%12.6%73.2%49.4%49.9%20.3%-2.4%-22.7K3.5M-13.5K0.3371.65N/AN/A49161,1271,135
2020-03-31$54.12$63.0040.8%11.7%73.3%45.3%55.7%18.8%-3.3%-20.4K3.9M-11.2K5868.6775.91N/AN/A317,6061,0931,143