USMV Options History — July 2020

In July 2020, USMV traded between $60.66 and $63.60. ATM implied volatility averaged 19.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.8% (HV 20d: 14.6%). Max pain ranged from $53.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-07-06: Highest Volume — 963 contracts
  • 2020-07-08: Largest IV spike — 23.6% change
  • 2020-07-01: Highest IV Rank — 27.6%
  • 2020-07-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.25$60.66$63.60$61.08$63.17
Max Pain$58.09$53.00$60.00$57.00$59.00
ATM IV19.4%15.1%27.4%27.4%16.8%
Expected Move5.6%4.3%7.9%7.9%4.8%
HV 20d14.6%9.7%23.5%23.5%9.8%
HV 60d21.3%18.8%24.9%24.9%18.8%
IV Rank17.3%11.6%27.6%27.6%13.9%
IV Percentile62.2%48.0%82.1%82.1%52.0%
Term Structure0.9%-6.5%10.8%-3.5%2.4%
VWIV17.5%11.7%22.8%20.8%17.4%
Skew 25d9.8%3.6%22.4%10.3%7.1%
Skew 10d14.0%3.2%22.2%9.1%5.2%
Call IV 25d15.2%11.4%20.6%15.2%13.0%
Put IV 25d25.0%19.3%39.1%25.5%20.1%
Bid-Ask Spread %98.0183.43131.01111.4398.06
Gamma HHI0.180.140.230.150.20
Net GEX259.4K207.7K321.8K207.7K285.0K
Net DEX-2.3M-3.1M-1.4M-2.0M-2.7M
Net VEX-12.4K-14.4K-10.8K-14.4K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.003.253.200.00
Total Volume96.4550963424
Total OI1,811.2271,7661,8771,7771,771

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$61.08$57.0027.4%7.9%23.5%27.6%20.8%10.3%-3.5%207.7K-2.0M-14.4K3.20111.43N/AN/A10321,385392
2020-07-02$61.20$53.0025.0%7.2%23.2%24.5%11.7%14.0%-6.5%241.7K-1.9M-13.5K0.00131.01N/AN/A401,395418
2020-07-06$61.36$57.0019.2%6.6%21.7%16.9%22.7%22.4%-4.7%257.2K-2.1M-14.0K0.27101.17N/AN/A7572061,398418
2020-07-07$61.08$57.0019.1%6.1%21.3%16.8%0.0%13.2%0.1%230.8K-1.7M-13.5K0.00102.91N/AN/A501,401418
2020-07-08$61.09$57.0023.6%5.8%21.3%22.7%0.0%8.6%10.8%227.5K-1.8M-13.2K0.0090.65N/AN/A001,405418
2020-07-09$60.66$57.0018.6%5.9%21.4%16.2%0.0%7.9%1.9%220.9K-1.4M-11.8K0.2588.90N/AN/A821,405418
2020-07-10$61.18$57.0022.3%5.8%12.8%21.0%15.8%9.2%10.6%246.8K-1.4M-11.2K3.2590.63N/AN/A4131,403419
2020-07-13$60.95$60.0019.0%5.5%12.9%16.6%16.6%9.9%3.4%238.2K-1.8M-12.3K0.0099.74N/AN/A2601,403430
2020-07-14$61.65$60.0023.3%5.8%13.5%22.3%20.2%10.3%-0.9%263.2K-1.6M-10.8K0.1388.59N/AN/A1621,417430
2020-07-15$62.26$60.0022.3%6.4%12.6%20.9%22.8%14.9%-4.4%293.1K-2.3M-12.4K0.4688.36N/AN/A4722151,430429
2020-07-16$62.26$57.0021.1%6.1%12.6%19.4%17.9%10.9%-1.3%289.0K-2.3M-12.8K0.18101.09N/AN/A1121,439427
2020-07-17$62.91$60.0017.5%5.0%13.0%14.7%15.4%7.8%1.8%321.8K-2.8M-12.3K0.01103.04N/AN/A11811,450427
2020-07-20$63.00$57.0016.8%4.8%13.0%13.8%16.3%7.3%2.7%250.5K-2.6M-12.3K0.0083.43N/AN/A1601,377389
2020-07-21$63.02$57.0017.6%5.0%12.9%14.8%16.1%3.6%0.1%264.8K-2.7M-12.4K0.58101.70N/AN/A1271,393389
2020-07-22$63.60$59.0015.5%4.4%13.2%12.1%14.4%10.4%2.5%262.5K-3.0M-12.5K0.1193.15N/AN/A911,400396
2020-07-23$63.25$59.0017.3%4.9%11.0%14.4%20.7%6.1%1.4%252.6K-3.1M-13.0K0.00103.33N/AN/A401,401397
2020-07-24$62.82$59.0017.9%5.1%11.5%15.3%0.0%6.9%1.1%261.6K-2.7M-12.4K0.0098.62N/AN/A201,404397
2020-07-27$63.09$59.0017.6%5.1%10.4%14.9%14.5%7.6%1.2%263.1K-2.7M-12.0K1.4386.95N/AN/A21301,405397
2020-07-28$63.08$59.0017.0%4.9%10.4%14.1%16.8%6.5%-1.3%286.4K-2.8M-11.8K0.0091.15N/AN/A10201,424394
2020-07-29$63.58$59.0015.1%4.3%9.7%11.6%0.0%14.3%1.3%281.8K-3.1M-11.7K0.0097.30N/AN/A201,395374
2020-07-30$63.25$59.0017.5%5.0%9.7%14.7%17.4%5.5%2.0%261.6K-2.9M-11.6K0.33104.92N/AN/A621,395374
2020-07-31$63.17$59.0016.8%4.8%9.8%13.9%0.0%7.1%2.4%285.0K-2.7M-10.8K0.0098.06N/AN/A401,397374