USMV Options History — May 2020

In May 2020, USMV traded between $57.06 and $61.48. ATM implied volatility averaged 23.9%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.9% (HV 20d: 26.8%). Max pain ranged from $54.00 to $62.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.99.

Notable Days

  • 2020-05-01: Highest Volume — 408 contracts
  • 2020-05-06: Largest IV spike — 34.5% change
  • 2020-05-06: Highest IV Rank — 34.2%
  • 2020-05-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.12$57.06$61.48$57.78$61.48
Max Pain$60.10$54.00$62.00$54.00$60.00
ATM IV23.9%19.7%32.5%29.7%20.6%
Expected Move6.7%5.7%8.5%8.5%5.9%
HV 20d26.8%22.6%37.7%37.7%22.6%
HV 60d52.1%49.9%53.2%52.0%49.9%
IV Rank23.1%17.7%34.2%30.6%18.8%
IV Percentile79.6%73.4%88.1%86.1%73.4%
Term Structure-0.7%-9.3%3.0%-2.6%0.3%
VWIV21.6%11.2%27.7%24.7%19.1%
Skew 25d9.9%4.0%16.0%9.1%4.0%
Skew 10d19.3%5.9%27.0%5.9%17.9%
Call IV 25d19.4%16.2%22.1%21.7%19.0%
Put IV 25d29.2%23.0%37.9%30.8%23.0%
Bid-Ask Spread %89.9775.21105.12105.1296.41
Gamma HHI0.150.120.190.130.15
Net GEX102.3K45.8K235.3K64.0K235.3K
Net DEX228.7K-1.8M1.3M897.1K-1.8M
Net VEX-14.6K-17.3K-10.8K-15.7K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.990.0267.0067.000.04
Total Volume74.95140840824
Total OI2,763.82,5902,9222,7212,922

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$57.78$54.0029.7%8.5%37.7%30.6%24.7%9.1%-2.6%64.0K897.1K-15.7K67.00105.12N/AN/A64021,5441,177
2020-05-04$58.07$62.0028.8%7.8%36.9%29.4%25.3%16.0%-0.6%53.9K1.1M-14.7K0.7382.16N/AN/A15111,5381,179
2020-05-05$58.66$62.0024.1%7.2%30.0%23.4%13.1%13.9%0.1%74.5K575.0K-16.6K0.0394.59N/AN/A11931,5401,189
2020-05-06$57.99$62.0032.5%7.5%30.1%34.2%25.3%11.8%1.8%76.0K701.9K-16.0K0.1886.87N/AN/A1731,6541,188
2020-05-07$58.67$62.0025.4%6.8%29.5%25.0%14.5%13.0%-0.6%93.3K648.4K-15.3K12.0096.19N/AN/A5601,6561,190
2020-05-08$59.41$60.0020.7%6.6%27.4%18.9%24.2%9.9%1.4%111.3K146.7K-16.3K0.1384.75N/AN/A3041,6551,190
2020-05-11$59.34$60.0021.0%6.2%26.3%19.3%21.6%10.2%1.7%115.5K323.6K-14.6K0.1981.91N/AN/A1631,6841,189
2020-05-12$58.34$60.0025.7%6.7%25.2%25.4%11.2%12.8%1.7%90.3K235.2K-16.6K0.0985.44N/AN/A1111,6981,189
2020-05-13$57.06$60.0028.1%8.1%25.0%28.5%24.8%11.9%-2.7%45.8K1.3M-13.1K0.0375.21N/AN/A23081,6871,190
2020-05-14$57.76$60.0025.4%7.3%25.4%25.0%25.2%13.3%0.5%64.4K1.1M-13.1K8.0088.11N/AN/A3241,6711,194
2020-05-15$57.91$60.0023.7%6.8%23.5%22.8%27.7%11.4%3.0%79.7K1.0M-12.6K0.8282.79N/AN/A17141,6731,202
2020-05-18$60.10$60.0020.6%5.9%26.6%18.8%20.6%8.6%0.8%102.3K116.6K-14.1K2.5385.67N/AN/A17431,4661,124
2020-05-19$59.32$60.0022.3%6.4%25.3%20.9%20.8%8.5%0.6%95.4K423.0K-13.9K0.3084.64N/AN/A1031,4791,124
2020-05-20$59.66$60.0020.3%5.8%24.4%18.4%21.6%5.2%0.2%101.2K173.4K-14.0K0.1395.75N/AN/A82111,4841,125
2020-05-21$59.27$60.0022.7%6.5%24.4%21.5%21.9%8.4%-3.7%90.2K571.5K-10.8K1.0090.77N/AN/A221,5241,125
2020-05-22$59.36$60.0024.6%7.0%24.2%23.9%22.9%8.2%-7.0%91.6K159.8K-13.2K0.00100.48N/AN/A011,5261,126
2020-05-26$60.10$60.0019.7%5.7%23.8%17.7%22.8%7.4%2.1%131.5K-387.5K-12.6K0.0591.26N/AN/A13971,5241,094
2020-05-27$60.67$60.0020.7%5.9%24.0%18.9%22.7%8.0%-2.6%166.0K-996.3K-14.2K1.4594.96N/AN/A11161,6611,095
2020-05-28$61.36$60.0022.0%6.3%24.1%20.6%22.2%5.9%-9.3%164.4K-1.7M-17.3K0.0296.25N/AN/A12721,6911,109
2020-05-29$61.48$60.0020.6%5.9%22.6%18.8%19.1%4.0%0.3%235.3K-1.8M-16.5K0.0496.41N/AN/A2311,8111,111