USMV Options History — September 2020

In September 2020, USMV traded between $62.10 and $66.48. ATM implied volatility averaged 20.8%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.9% (HV 20d: 18.0%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2020-09-02: Highest Volume — 145 contracts
  • 2020-09-03: Largest IV spike — 168.0% change
  • 2020-09-03: Highest IV Rank — 53.8%
  • 2020-09-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.96$62.10$66.48$65.01$63.66
Max Pain$62.81$60.00$64.00$60.00$63.00
ATM IV20.8%15.8%47.6%15.8%19.2%
Expected Move5.5%4.5%6.4%4.5%5.5%
HV 20d18.0%7.5%22.5%7.5%22.5%
HV 60d13.9%12.4%16.0%14.2%14.6%
IV Rank19.1%12.6%53.8%12.6%16.9%
IV Percentile62.2%51.6%93.3%51.6%57.9%
Term Structure1.9%-2.5%5.8%1.8%2.1%
VWIV19.6%16.0%30.1%16.0%17.7%
Skew 25d7.4%4.3%10.6%5.9%6.4%
Skew 10d15.1%2.1%24.9%13.7%12.8%
Call IV 25d16.7%13.0%20.7%14.6%17.0%
Put IV 25d24.1%20.2%30.2%20.5%23.3%
Bid-Ask Spread %83.2870.40106.6187.4375.27
Gamma HHI0.260.170.870.250.19
Net GEX283.7K73.5K1.3M264.5K106.8K
Net DEX-2.7M-5.4M-820.8K-3.8M-1.3M
Net VEX-10.2K-12.9K-8.0K-11.4K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0028.330.260.00
Total Volume41.66711457326
Total OI1,461.9056941,8761,806930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$65.01$60.0015.8%4.5%7.5%12.6%16.0%5.9%1.8%264.5K-3.8M-11.4K0.2687.43N/AN/A58151,456350
2020-09-02$66.48$60.0017.8%5.1%10.6%15.1%16.7%4.3%0.4%298.6K-5.4M-12.3K0.0270.98N/AN/A14231,507335
2020-09-03$64.58$63.0047.6%6.4%15.3%53.8%21.0%10.6%2.8%258.8K-4.1M-12.9K0.6373.59N/AN/A851,528333
2020-09-04$64.51$63.0020.5%5.6%15.0%18.7%21.5%9.6%3.6%312.8K-3.8M-12.3K0.0878.71N/AN/A1211,534337
2020-09-08$63.57$63.0024.8%5.3%15.9%24.3%0.0%10.2%-2.5%286.8K-3.0M-10.8K0.0082.39N/AN/A1501,535338
2020-09-09$64.56$63.0019.3%5.5%16.7%17.1%0.0%8.4%2.2%320.8K-3.8M-11.0K0.0672.05N/AN/A1611,528338
2020-09-10$63.59$63.0021.8%6.3%17.2%20.3%30.1%5.5%0.1%295.5K-3.1M-10.4K0.8376.02N/AN/A651,533337
2020-09-11$63.64$63.0018.9%5.4%17.2%16.6%0.0%8.3%3.3%319.8K-2.9M-9.7K0.0079.15N/AN/A501,535340
2020-09-14$64.67$64.0017.1%4.9%18.1%14.3%0.0%6.4%3.1%378.9K-3.7M-9.6K0.1075.91N/AN/A1011,525340
2020-09-15$64.80$64.0018.5%5.3%18.0%16.0%18.0%9.7%2.8%374.7K-3.9M-9.5K4.3398.94N/AN/A6261,531341
2020-09-16$64.99$63.0017.9%5.1%18.0%15.3%16.5%7.1%3.4%419.8K-4.2M-9.4K0.00100.86N/AN/A2601,524339
2020-09-17$64.26$63.0019.5%5.6%18.3%17.4%0.0%7.3%2.5%446.9K-3.1M-8.8K0.47106.61N/AN/A87411,526339
2020-09-18$64.06$63.0020.3%5.8%18.3%18.4%21.4%4.5%-2.4%1.3M-2.6M-8.9K0.3387.28N/AN/A30101,516360
2020-09-21$62.88$63.0019.8%5.7%19.5%17.8%25.1%7.3%2.9%90.6K-1.1M-8.2K0.1886.78N/AN/A17360490
2020-09-22$63.62$63.0017.9%5.1%19.9%15.3%16.0%6.6%-2.4%100.5K-1.3M-8.5K0.0084.89N/AN/A57061892
2020-09-23$62.11$63.0021.7%6.2%21.5%20.2%0.0%7.6%2.8%87.0K-1.1M-8.0K28.3379.87N/AN/A38560792
2020-09-24$62.10$63.0021.5%6.2%21.4%20.0%0.0%7.7%1.7%73.5K-820.8K-9.0K2.5786.49N/AN/A2359610177
2020-09-25$62.82$63.0018.4%5.3%21.8%15.9%16.7%9.9%5.8%73.7K-1.1M-10.4K3.2591.08N/AN/A413633236
2020-09-28$63.68$63.0018.4%5.3%22.4%15.9%17.6%6.1%4.0%86.7K-1.2M-10.5K0.0284.18N/AN/A541637240
2020-09-29$63.50$63.0020.8%6.0%22.4%19.0%0.0%6.0%2.1%103.5K-1.3M-10.9K0.0070.40N/AN/A10688241
2020-09-30$63.66$63.0019.2%5.5%22.5%16.9%17.7%6.4%2.1%106.8K-1.3M-10.9K0.0075.27N/AN/A260689241