USMV Options History — August 2020

In August 2020, USMV traded between $63.50 and $65.26. ATM implied volatility averaged 15.0%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.5% (HV 20d: 8.5%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2020-08-31: Highest Volume — 470 contracts
  • 2020-08-27: Largest IV spike — 51.4% change
  • 2020-08-27: Highest IV Rank — 20.7%
  • 2020-08-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.27$63.50$65.26$63.50$65.26
Max Pain$59.86$59.00$60.00$59.00$60.00
ATM IV15.0%10.1%22.1%17.4%16.6%
Expected Move4.5%3.9%6.3%5.0%4.8%
HV 20d8.5%7.3%9.9%9.9%7.3%
HV 60d16.3%14.3%18.7%18.7%14.3%
IV Rank11.5%5.1%20.7%14.6%13.5%
IV Percentile47.4%20.6%69.0%54.8%52.4%
Term Structure2.6%0.6%5.3%1.2%0.6%
VWIV15.6%12.6%29.1%13.7%19.7%
Skew 25d6.5%0.5%13.3%8.1%5.6%
Skew 10d13.4%3.6%20.7%9.2%16.2%
Call IV 25d13.0%10.9%15.4%12.9%14.6%
Put IV 25d19.6%12.9%28.7%21.0%20.2%
Bid-Ask Spread %82.2739.27106.4895.4077.75
Gamma HHI0.240.200.370.220.24
Net GEX357.6K295.9K494.7K295.9K338.3K
Net DEX-3.8M-4.6M-3.0M-3.0M-4.6M
Net VEX-9.6K-10.7K-8.5K-10.6K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.000.000.00
Total Volume47.905147022470
Total OI1,802.4761,7341,8811,7711,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$63.50$59.0017.4%5.0%9.9%14.6%13.7%8.1%1.2%295.9K-3.0M-10.6K0.0095.40N/AN/A2201,398373
2020-08-04$63.64$59.0014.9%4.3%9.6%11.4%16.5%6.0%1.1%315.4K-3.3M-10.6K0.1593.70N/AN/A1321,411363
2020-08-05$63.64$59.0013.5%3.9%9.6%9.6%12.8%0.5%2.4%318.1K-3.3M-10.6K0.0792.52N/AN/A4531,416365
2020-08-06$63.77$60.0010.1%4.4%9.0%5.1%0.0%2.3%2.3%332.7K-3.4M-10.4K0.00106.48N/AN/A101,418366
2020-08-07$64.35$60.0014.7%4.7%9.0%11.1%15.1%7.4%3.1%315.9K-3.9M-10.7K0.0079.02N/AN/A2201,418366
2020-08-10$64.17$60.0013.6%4.6%8.9%9.7%17.1%6.1%3.6%329.8K-3.8M-10.3K0.0075.83N/AN/A2301,431366
2020-08-11$63.76$60.0012.8%4.4%8.8%8.7%14.3%5.5%3.7%357.7K-3.7M-9.9K0.0279.37N/AN/A11221,438366
2020-08-12$64.38$60.0016.6%4.8%8.8%13.6%14.2%8.2%3.8%354.5K-4.3M-10.5K0.0290.12N/AN/A4411,494364
2020-08-13$64.16$60.0015.7%4.5%9.0%12.4%16.3%7.5%3.2%355.0K-4.1M-10.3K0.7588.53N/AN/A431,521360
2020-08-14$64.08$60.0015.9%4.6%8.4%12.7%13.2%7.4%4.6%375.3K-4.0M-9.8K0.0094.10N/AN/A601,517362
2020-08-17$64.52$60.0014.4%4.1%8.6%10.8%14.5%6.7%4.2%406.9K-4.1M-9.2K0.0084.13N/AN/A201,464356
2020-08-18$64.56$60.0014.2%4.1%8.6%10.4%13.1%5.5%1.0%418.4K-4.1M-9.1K0.0086.49N/AN/A701,465356
2020-08-19$64.10$60.0015.1%4.3%8.6%11.7%29.1%4.2%5.3%421.6K-3.6M-8.7K0.1347.12N/AN/A5471,467356
2020-08-20$64.06$60.0014.8%4.2%8.3%11.2%15.8%9.0%4.4%431.8K-3.7M-9.2K1.0098.69N/AN/A661,505349
2020-08-21$63.97$60.0013.9%4.0%7.9%10.1%13.5%9.3%3.3%494.7K-3.6M-9.2K0.0878.91N/AN/A3831,505355
2020-08-24$64.30$60.0014.6%4.2%7.9%11.0%12.8%7.3%2.0%346.5K-3.5M-8.5K0.5763.46N/AN/A741,398336
2020-08-25$64.49$60.0015.3%4.4%7.9%11.8%12.6%7.3%1.2%332.1K-3.7M-8.8K0.0039.27N/AN/A4401,403340
2020-08-26$64.69$60.0014.6%4.2%7.6%11.0%13.8%5.3%0.8%334.5K-4.0M-9.0K0.1783.65N/AN/A2441,419340
2020-08-27$65.09$60.0022.1%6.3%7.4%20.7%18.0%13.3%1.1%298.8K-4.2M-9.3K0.7597.42N/AN/A1291,423343
2020-08-28$65.22$60.0014.8%4.2%7.4%11.2%15.7%4.9%1.6%335.6K-4.6M-8.8K0.0075.81N/AN/A601,430344
2020-08-31$65.26$60.0016.6%4.8%7.3%13.5%19.7%5.6%0.6%338.3K-4.6M-8.5K0.0077.75N/AN/A46911,436349