USMV Options History — November 2020

In November 2020, USMV traded between $62.34 and $67.45. ATM implied volatility averaged 19.0%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.5% (HV 20d: 19.5%). Max pain ranged from $59.00 to $64.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.50.

Notable Days

  • 2020-11-20: Highest Volume — 498 contracts
  • 2020-11-11: Largest IV drop — 19.0% change
  • 2020-11-02: Highest IV Rank — 32.5%
  • 2020-11-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.05$62.34$67.45$62.34$66.47
Max Pain$60.75$59.00$64.00$64.00$63.00
ATM IV19.0%14.4%31.2%31.2%16.3%
Expected Move5.2%4.1%8.9%8.9%4.7%
HV 20d19.5%15.6%21.6%17.5%15.6%
HV 60d18.1%16.9%18.7%16.9%17.1%
IV Rank16.4%10.4%32.5%32.5%12.9%
IV Percentile46.4%24.2%86.5%86.5%32.9%
Term Structure-0.3%-4.8%4.1%-4.8%-0.5%
VWIV19.0%13.4%29.5%29.5%16.1%
Skew 25d7.5%3.5%12.7%9.5%4.1%
Skew 10d11.1%6.5%21.1%15.3%10.3%
Call IV 25d15.9%12.1%26.6%26.6%14.6%
Put IV 25d23.4%17.8%36.1%36.1%18.8%
Bid-Ask Spread %85.0769.12108.7492.9280.25
Gamma HHI0.190.160.230.230.21
Net GEX166.1K8.3K353.7K35.7K67.4K
Net DEX-2.3M-3.5M-140.9K-140.9K-2.4M
Net VEX-11.4K-12.7K-10.1K-12.0K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.500.0026.671.170.50
Total Volume42.204981315
Total OI1,629.51,4141,9701,4141,970

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$62.34$64.0031.2%8.9%17.5%32.5%29.5%9.5%-4.8%35.7K-140.9K-12.0K1.1792.92N/AN/A67764650
2020-11-03$63.80$64.0026.9%7.7%19.4%26.9%27.7%10.6%-3.1%65.9K-679.6K-11.5K0.0082.25N/AN/A170764650
2020-11-04$64.41$64.0024.1%6.9%19.3%23.3%24.0%10.9%-1.6%85.7K-1.2M-12.2K1.5099.57N/AN/A46780654
2020-11-05$64.83$59.0020.6%5.8%19.2%18.5%15.4%12.7%-3.2%116.3K-1.5M-11.9K20.0081.96N/AN/A120782652
2020-11-06$65.24$59.0021.3%5.5%19.2%19.3%0.0%8.1%-0.4%139.5K-1.4M-11.3K0.2585.52N/AN/A41783672
2020-11-09$66.65$59.0023.6%4.1%20.4%22.4%18.7%9.1%2.2%168.4K-2.5M-10.4K0.05108.74N/AN/A744783673
2020-11-10$66.67$59.0020.4%5.0%20.3%18.2%21.9%7.7%-1.3%203.8K-2.8M-11.4K0.0084.30N/AN/A200904676
2020-11-11$66.78$59.0016.5%4.7%20.2%13.2%20.1%6.5%-0.3%240.5K-2.9M-12.1K2.6077.76N/AN/A513905676
2020-11-12$65.95$59.0018.6%5.3%20.6%15.9%0.0%8.2%-1.1%218.5K-2.4M-12.6K0.0079.46N/AN/A00902689
2020-11-13$67.19$59.0016.2%4.6%21.6%12.7%15.7%6.4%0.7%246.4K-3.3M-10.4K0.5079.48N/AN/A63902689
2020-11-16$67.45$59.0016.7%4.8%20.5%13.4%14.5%5.6%0.7%325.7K-3.5M-10.6K0.2785.98N/AN/A113906687
2020-11-17$67.19$59.0016.6%4.8%20.6%13.2%15.6%5.6%2.1%280.6K-3.2M-11.2K0.2569.12N/AN/A82907690
2020-11-18$66.59$59.0016.9%4.8%21.0%13.6%19.5%12.6%0.5%253.2K-2.9M-11.8K0.8397.98N/AN/A65912691
2020-11-19$66.48$59.0017.3%5.0%21.0%14.2%16.8%7.8%4.1%347.3K-2.9M-10.1K0.4092.29N/AN/A208914689
2020-11-20$66.31$59.0016.4%4.7%21.0%13.1%22.0%5.9%-1.7%353.7K-2.8M-10.5K26.6787.10N/AN/A18480901694
2020-11-23$66.23$63.0016.0%4.6%19.6%12.5%19.1%6.3%-0.1%8.3K-1.7M-12.7K10.0076.08N/AN/A1107761,127
2020-11-24$66.85$63.0015.0%4.3%19.8%11.2%16.0%3.5%0.2%45.0K-2.3M-11.9K0.0788.58N/AN/A1517771,137
2020-11-25$66.73$63.0014.5%4.1%16.4%10.5%15.3%4.4%0.4%49.8K-2.3M-11.3K1.4373.49N/AN/A7107841,138
2020-11-27$66.77$63.0014.4%4.1%16.4%10.4%13.4%4.8%0.3%70.0K-2.4M-11.2K0.0678.57N/AN/A3127911,149
2020-11-30$66.47$63.0016.3%4.7%15.6%12.9%16.1%4.1%-0.5%67.4K-2.4M-10.7K0.5080.25N/AN/A1058191,151