USMV Options History — October 2020

In October 2020, USMV traded between $61.33 and $66.33. ATM implied volatility averaged 21.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.5% (HV 20d: 16.0%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.84.

Notable Days

  • 2020-10-20: Highest Volume — 375 contracts
  • 2020-10-06: Largest IV spike — 69.6% change
  • 2020-10-28: Highest IV Rank — 33.0%
  • 2020-10-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.43$61.33$66.33$63.82$61.33
Max Pain$61.68$60.00$64.00$63.00$64.00
ATM IV21.5%15.7%31.5%20.0%28.5%
Expected Move6.3%5.0%9.0%5.7%8.2%
HV 20d16.0%11.9%20.8%20.8%16.8%
HV 60d15.1%14.6%16.6%14.6%16.6%
IV Rank19.9%12.4%33.0%18.0%29.1%
IV Percentile62.8%42.5%86.9%60.7%82.9%
Term Structure-0.3%-6.1%3.9%2.2%-0.6%
VWIV18.6%8.8%25.1%17.0%19.9%
Skew 25d7.7%2.3%13.8%2.8%8.3%
Skew 10d13.9%5.1%22.3%14.3%20.2%
Call IV 25d17.6%10.1%22.7%17.7%22.7%
Put IV 25d25.3%15.0%31.6%20.5%31.0%
Bid-Ask Spread %89.4666.64113.5379.8194.44
Gamma HHI0.210.180.250.190.24
Net GEX159.1K14.9K332.0K123.1K24.6K
Net DEX-1.6M-2.8M219.3K-1.5M219.3K
Net VEX-11.8K-13.5K-10.7K-11.1K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.840.0074.000.001.33
Total Volume34.68233752928
Total OI1,188.2279561,4369561,428

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$63.82$63.0020.0%5.7%20.8%18.0%17.0%2.8%2.2%123.1K-1.5M-11.1K0.0079.81N/AN/A290715241
2020-10-02$63.91$63.0019.7%5.6%18.2%17.6%18.3%4.9%3.8%133.8K-1.5M-10.9K0.11100.41N/AN/A374744241
2020-10-05$64.55$60.0017.9%6.1%18.5%15.2%21.5%8.5%1.1%178.3K-1.8M-11.3K0.0666.64N/AN/A342779245
2020-10-06$64.00$60.0030.3%6.5%18.0%31.4%20.3%7.4%1.4%175.8K-1.7M-11.3K2.3393.22N/AN/A614811257
2020-10-07$64.74$60.0017.0%5.7%17.6%14.1%8.8%7.7%1.0%215.8K-1.9M-11.5K0.0069.89N/AN/A50817271
2020-10-08$65.24$60.0015.7%5.8%16.8%12.4%20.3%6.0%0.8%239.9K-2.2M-11.5K0.0074.89N/AN/A50819271
2020-10-09$65.67$60.0015.9%5.0%16.9%12.6%17.3%6.7%3.9%247.8K-2.4M-11.2K0.0085.91N/AN/A110821271
2020-10-12$66.33$60.0016.5%5.2%16.4%13.5%16.2%2.3%0.8%256.7K-2.8M-10.9K0.0695.92N/AN/A352832271
2020-10-13$66.01$60.0017.2%5.4%16.5%14.4%17.4%12.5%-2.3%265.0K-2.6M-11.2K0.07103.67N/AN/A151834272
2020-10-14$65.67$60.0018.4%5.3%16.6%16.0%18.4%7.8%-1.8%291.8K-2.6M-11.1K2.0086.25N/AN/A12846273
2020-10-15$65.34$61.0018.4%5.3%16.2%15.9%18.9%8.6%-1.9%332.0K-2.2M-11.1K0.0094.10N/AN/A90846275
2020-10-16$65.55$61.0018.9%5.4%16.1%16.6%17.7%3.9%1.9%302.7K-2.4M-11.0K0.00106.87N/AN/A540846275
2020-10-19$64.45$61.0024.6%7.0%15.9%23.9%18.3%13.8%-6.1%137.9K-1.7M-11.1K0.13102.44N/AN/A81733264
2020-10-20$64.72$62.0021.1%6.1%15.4%19.4%18.7%8.3%-3.3%135.7K-1.7M-10.7K74.0080.61N/AN/A5370731265
2020-10-21$64.62$62.0021.3%6.1%12.4%19.7%20.1%7.8%-0.3%75.4K-1.1M-13.5K0.0079.17N/AN/A110736635
2020-10-22$64.83$62.0020.5%5.9%12.4%18.6%19.6%8.9%-0.5%82.4K-1.3M-13.1K0.5083.88N/AN/A21746635
2020-10-23$65.02$62.0020.5%5.9%11.9%18.7%17.2%8.5%-0.4%88.9K-1.3M-13.5K0.3087.31N/AN/A3310747636
2020-10-26$63.78$64.0025.2%7.2%13.2%24.8%20.4%8.0%-1.3%68.7K-903.5K-13.3K2.0085.99N/AN/A12777645
2020-10-27$63.74$64.0024.8%7.1%13.1%24.2%25.1%8.5%-2.0%77.4K-817.0K-13.2K0.3384.10N/AN/A31778647
2020-10-28$62.00$64.0031.5%9.0%16.4%33.0%19.9%7.2%-3.3%31.3K-255.6K-12.9K1.20113.53N/AN/A56781648
2020-10-29$62.09$64.0028.8%8.3%16.4%29.5%0.0%10.8%-0.2%14.9K-30.4K-12.3K0.0099.11N/AN/A100782654
2020-10-30$61.33$64.0028.5%8.2%16.8%29.1%0.0%8.3%-0.6%24.6K219.3K-12.3K1.3394.44N/AN/A1216774654