USMV Options History — June 2020

In June 2020, USMV traded between $59.36 and $63.81. ATM implied volatility averaged 22.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.6% (HV 20d: 22.9%). Max pain ranged from $45.00 to $61.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2020-06-04: Highest Volume — 1,200 contracts
  • 2020-06-11: Largest IV spike — 33.5% change
  • 2020-06-24: Highest IV Rank — 28.5%
  • 2020-06-24: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.24$59.36$63.81$61.85$60.53
Max Pain$53.00$45.00$61.00$60.00$57.00
ATM IV22.3%16.8%28.1%21.0%20.0%
Expected Move6.4%5.0%8.0%6.0%5.7%
HV 20d22.9%20.9%26.6%20.9%23.8%
HV 60d38.3%27.9%49.7%49.7%27.9%
IV Rank21.0%13.9%28.5%19.3%17.9%
IV Percentile74.9%65.5%82.9%75.0%66.3%
Term Structure0.3%-6.1%8.7%-0.7%1.4%
VWIV22.8%15.1%29.7%21.3%21.4%
Skew 25d10.2%6.6%20.0%8.8%8.0%
Skew 10d18.6%10.9%28.4%18.3%14.0%
Call IV 25d18.9%14.9%22.3%17.5%17.3%
Put IV 25d29.0%22.8%37.6%26.3%25.3%
Bid-Ask Spread %91.4674.24112.8692.6292.17
Gamma HHI0.160.140.220.150.15
Net GEX230.3K182.4K334.4K224.9K208.9K
Net DEX-2.2M-3.9M-1.0M-2.2M-1.6M
Net VEX-15.8K-18.2K-12.4K-17.5K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.0010.631.001.50
Total Volume136.36431,20045
Total OI2,589.4551,7382,9862,9431,775

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$61.85$60.0021.0%6.0%20.9%19.3%21.3%8.8%-0.7%224.9K-2.2M-17.5K1.0092.62N/AN/A221,8321,111
2020-06-02$61.77$60.0018.7%5.4%21.0%16.3%15.1%7.9%0.2%234.5K-2.1M-16.9K0.4089.46N/AN/A521,8321,112
2020-06-03$62.61$60.0017.5%5.0%21.1%14.7%17.5%7.9%-1.0%243.1K-2.8M-18.2K0.1792.95N/AN/A1831,8351,114
2020-06-04$61.86$59.0018.8%5.7%21.2%16.4%19.9%8.0%1.2%248.5K-2.2M-16.9K0.8574.24N/AN/A6485521,8441,116
2020-06-05$63.19$59.0018.7%5.3%22.0%16.3%18.0%8.2%1.2%247.8K-3.4M-17.5K0.0390.93N/AN/A6621,8651,121
2020-06-08$63.81$57.0016.8%5.0%21.8%13.9%18.4%8.3%1.4%262.0K-3.9M-17.4K2.7986.00N/AN/A24671,8671,117
2020-06-09$63.41$61.0020.6%5.7%22.1%18.8%18.3%7.2%-0.7%267.7K-3.6M-17.9K0.0075.40N/AN/A4701,8741,088
2020-06-10$63.14$61.0019.3%5.5%20.9%17.0%19.5%20.0%0.4%251.2K-3.5M-17.7K0.20105.05N/AN/A1531,8801,088
2020-06-11$60.16$61.0025.7%7.4%26.6%25.4%27.6%6.7%-0.5%201.5K-1.6M-16.4K0.9194.62N/AN/A54491,8891,090
2020-06-12$60.14$61.0026.9%7.7%26.3%27.0%27.0%6.6%-6.1%188.2K-1.3M-15.6K0.2999.47N/AN/A721,8891,092
2020-06-15$60.09$60.0024.3%7.0%26.4%23.6%29.7%14.1%1.7%226.4K-1.0M-13.8K0.0783.47N/AN/A11681,8801,089
2020-06-16$61.11$45.0023.6%6.8%23.6%22.6%23.9%9.7%4.3%245.3K-2.6M-17.2K0.1184.47N/AN/A1821,8851,087
2020-06-17$61.10$45.0026.8%7.7%23.0%26.8%0.0%16.6%1.6%265.1K-2.6M-17.2K0.00112.86N/AN/A301,8851,087
2020-06-18$61.00$45.0024.4%7.0%23.0%23.7%25.4%10.6%-1.2%334.4K-2.2M-15.0K10.6398.80N/AN/A8851,8851,087
2020-06-19$60.94$45.0023.3%6.7%22.8%22.3%24.5%8.9%1.5%272.8K-2.5M-15.3K0.32102.24N/AN/A93301,8841,098
2020-06-22$60.84$45.0023.1%6.6%22.9%22.1%26.9%11.0%8.7%182.4K-1.6M-14.5K0.0094.53N/AN/A5001,367371
2020-06-23$60.97$45.0022.0%6.3%22.5%20.6%24.4%8.6%0.0%215.9K-1.9M-14.6K0.3585.94N/AN/A5972081,408371
2020-06-24$59.82$45.0028.1%8.0%23.3%28.5%26.8%15.5%-5.4%185.5K-1.3M-13.9K2.6093.68N/AN/A5131,412371
2020-06-25$60.01$45.0022.5%6.5%22.9%21.3%15.6%10.1%-0.1%187.5K-1.2M-13.6K0.0093.68N/AN/A1501,411383
2020-06-26$59.36$45.0025.0%7.2%23.1%24.5%29.7%10.8%-0.3%188.7K-1.3M-13.4K0.0184.66N/AN/A16121,425383
2020-06-29$59.66$45.0023.2%6.6%23.1%22.1%27.1%10.4%0.1%184.8K-1.1M-12.4K3.3384.79N/AN/A3101,385383
2020-06-30$60.53$57.0020.0%5.7%23.8%17.9%21.4%8.0%1.4%208.9K-1.6M-13.7K1.5092.17N/AN/A231,382393