USMV Options History — April 2020

In April 2020, USMV traded between $51.55 and $60.27. ATM implied volatility averaged 32.2%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 26.9% (HV 20d: 59.1%). Max pain ranged from $45.00 to $63.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 5.52.

Notable Days

  • 2020-04-01: Highest Volume — 477 contracts
  • 2020-04-21: Largest IV spike — 28.6% change
  • 2020-04-01: Highest IV Rank — 54.7%
  • 2020-04-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.56$51.55$60.27$51.55$59.03
Max Pain$52.48$45.00$63.00$63.00$54.00
ATM IV32.2%23.4%48.0%48.0%26.2%
Expected Move9.1%6.7%13.8%13.8%7.5%
HV 20d59.1%37.0%77.4%73.0%37.0%
HV 60d50.4%47.0%51.9%47.0%51.9%
IV Rank34.2%22.6%54.7%54.7%26.0%
IV Percentile88.0%83.3%93.7%93.7%83.7%
Term Structure-1.2%-4.9%4.0%-4.5%0.4%
VWIV30.1%22.1%48.4%29.3%28.2%
Skew 25d12.0%4.6%18.4%18.4%14.0%
Skew 10d25.3%10.2%43.9%43.9%25.3%
Call IV 25d26.0%18.3%40.7%40.7%18.3%
Put IV 25d38.0%30.3%59.1%59.1%32.3%
Bid-Ask Spread %68.3349.2987.1783.1087.17
Gamma HHI0.250.130.440.390.13
Net GEX-480.8K-2.6M300.7K-2.4M87.1K
Net DEX5.3M-107.9K30.4M30.4M331.8K
Net VEX-24.7K-68.9K-14.9K-68.9K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.520.0546.8035.693.50
Total Volume110.95254774775
Total OI12,726.6672,47620,78119,8342,717

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$51.55$63.0048.0%13.8%73.0%54.7%29.3%18.4%-4.5%-2.4M30.4M-68.9K35.6983.10N/AN/A134641,09418,740
2020-04-02$52.85$53.0041.3%11.3%74.0%46.0%22.1%12.6%-3.1%-2.3M23.5M-59.2K0.6559.78N/AN/A71461,10218,702
2020-04-03$52.01$45.0040.6%10.6%74.0%45.1%48.4%14.8%-1.3%-2.6M23.9M-55.6K46.8063.44N/AN/A52341,17418,776
2020-04-06$55.42$45.0036.3%9.5%77.4%39.6%29.0%16.2%-1.8%-1.6M11.3M-37.2K3.6249.29N/AN/A291051,17219,002
2020-04-07$56.19$45.0039.7%10.7%77.4%43.9%0.0%14.2%-4.9%-1.3M8.1M-29.9K0.4075.81N/AN/A120481,18719,103
2020-04-08$57.34$45.0035.4%10.1%76.9%38.4%28.7%13.6%-3.4%-732.1K4.3M-22.7K1.0970.26N/AN/A23251,24319,060
2020-04-09$59.25$50.0029.3%8.4%71.0%30.6%35.5%12.8%-0.2%-200.5K766.1K-17.0K1.6959.57N/AN/A591001,25819,057
2020-04-13$58.00$54.0033.4%9.6%70.9%35.8%29.4%6.6%-3.1%-170.9K1.9M-15.1K1.2262.11N/AN/A9111,33019,111
2020-04-14$59.56$54.0028.4%8.2%66.8%29.4%22.5%11.5%-1.5%109.8K448.1K-14.9K0.0868.98N/AN/A302241,33219,122
2020-04-15$58.17$54.0031.8%9.1%66.5%33.7%38.3%13.9%-0.8%103.4K1.1M-16.1K5.1359.15N/AN/A16821,61719,126
2020-04-16$58.39$54.0032.4%9.3%58.6%34.5%31.8%12.8%-0.7%119.5K952.6K-16.8K0.0554.57N/AN/A2211,62619,155
2020-04-17$59.90$54.0027.7%7.9%58.6%28.5%32.3%11.8%0.2%300.7K-107.9K-18.1K0.3063.25N/AN/A93281,62619,144
2020-04-20$58.92$54.0028.7%8.2%54.7%29.8%23.2%11.5%-0.4%67.7K543.1K-16.8K2.1770.93N/AN/A30651,3791,097
2020-04-21$57.45$54.0037.0%10.6%51.0%40.4%36.9%14.8%-3.8%42.8K1.1M-16.2K1.5663.91N/AN/A9141,4061,144
2020-04-22$58.59$54.0030.9%8.8%44.1%32.6%34.0%12.5%0.4%56.8K714.4K-16.9K5.8660.91N/AN/A7411,4101,155
2020-04-23$58.12$54.0031.2%8.9%42.7%33.0%28.0%5.4%0.6%49.8K1.1M-14.9K0.1178.64N/AN/A911,4161,141
2020-04-24$58.59$54.0026.5%7.6%41.9%26.7%28.3%9.9%0.3%65.3K771.9K-16.1K0.2769.57N/AN/A1541,4191,140
2020-04-27$59.62$54.0023.4%6.7%42.1%22.7%24.8%9.8%1.1%78.4K424.9K-15.6K0.1077.20N/AN/A149151,4171,143
2020-04-28$59.61$54.0024.1%6.9%41.8%23.6%23.2%4.6%-2.6%97.8K321.7K-17.0K0.1374.01N/AN/A811,5321,172
2020-04-29$60.27$54.0023.5%6.7%40.9%22.6%28.6%11.1%4.0%106.3K-59.4K-17.3K3.5083.26N/AN/A6211,5411,172
2020-04-30$59.03$54.0026.2%7.5%37.0%26.0%28.2%14.0%0.4%87.1K331.8K-17.1K0.0087.17N/AN/A051,5441,173