USMV Options History — December 2020

In December 2020, USMV traded between $66.38 and $67.70. ATM implied volatility averaged 15.2%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.4% (HV 20d: 9.8%). Max pain ranged from $63.00 to $68.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 8.09.

Notable Days

  • 2020-12-18: Highest Volume — 491 contracts
  • 2020-12-10: Largest IV spike — 20.2% change
  • 2020-12-10: Highest IV Rank — 14.2%
  • 2020-12-10: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.07$66.38$67.70$67.12$67.70
Max Pain$66.00$63.00$68.00$63.00$68.00
ATM IV15.2%13.2%17.6%15.2%13.5%
Expected Move4.3%3.3%5.0%4.4%3.9%
HV 20d9.8%7.0%15.1%15.1%7.2%
HV 60d15.4%14.1%17.2%17.2%14.1%
IV Rank11.0%8.4%14.2%11.5%8.7%
IV Percentile26.3%13.9%42.1%28.6%13.9%
Term Structure1.0%-3.0%6.2%0.0%1.1%
VWIV14.8%12.6%18.3%16.0%15.5%
Skew 25d5.7%1.8%7.3%3.8%5.9%
Skew 10d10.0%-0.8%17.6%-0.8%14.5%
Call IV 25d12.8%10.6%14.7%10.9%12.1%
Put IV 25d18.5%13.7%21.2%14.8%18.0%
Bid-Ask Spread %84.6260.64104.1196.1091.20
Gamma HHI0.220.160.480.180.18
Net GEX6.7K-232.9K197.3K130.6K-219.3K
Net DEX-830.9K-3.0M1.5M-3.0M890.9K
Net VEX-17.6K-25.4K-9.7K-9.7K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.090.0043.6435.3342.00
Total Volume95.545049110986
Total OI2,279.1361,9732,8261,9732,233

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$67.12$63.0015.2%4.4%15.1%11.5%16.0%3.8%0.0%130.6K-3.0M-9.7K35.3396.10N/AN/A31068171,156
2020-12-02$66.85$63.0015.2%4.4%13.5%11.4%15.9%1.8%6.2%74.3K-2.5M-11.2K0.67104.11N/AN/A328171,261
2020-12-03$66.74$65.0015.4%3.3%13.3%11.8%0.0%5.8%2.1%106.7K-2.5M-10.8K7.6990.99N/AN/A131008161,262
2020-12-04$67.06$65.0013.9%4.1%13.2%9.7%0.0%5.8%1.8%168.6K-2.4M-11.5K0.0091.67N/AN/A0708151,362
2020-12-07$66.92$65.0015.0%4.3%13.1%10.8%13.7%5.5%2.1%121.2K-2.0M-12.7K0.0087.69N/AN/A208151,432
2020-12-08$67.24$65.0013.2%4.2%10.9%8.4%12.8%5.3%1.6%153.1K-2.2M-12.4K9.0091.08N/AN/A9818171,432
2020-12-09$66.92$66.0014.6%4.2%11.1%10.3%0.0%6.9%1.0%183.7K-1.8M-13.6K0.1398.68N/AN/A818291,513
2020-12-10$66.77$66.0017.6%5.0%11.1%14.2%15.0%4.8%0.3%134.6K-1.6M-13.4K0.8668.67N/AN/A72628321,514
2020-12-11$66.81$66.0014.8%4.2%10.1%10.4%0.0%4.1%1.8%139.1K-1.7M-15.6K0.5366.88N/AN/A1588991,576
2020-12-14$66.38$66.0017.6%5.0%7.8%14.2%15.8%6.8%1.0%36.9K-1.1M-15.9K0.6261.37N/AN/A34218421,584
2020-12-15$66.94$66.0015.6%4.5%8.3%11.4%14.1%7.1%1.8%132.8K-1.5M-16.1K0.2083.03N/AN/A518671,605
2020-12-16$67.12$66.0015.4%4.4%8.2%11.3%0.0%6.0%1.8%149.7K-1.7M-16.0K0.2060.64N/AN/A518701,605
2020-12-17$67.67$66.0014.0%4.0%8.0%9.4%14.2%5.9%-2.7%197.3K-2.1M-15.6K14.1489.16N/AN/A283968741,605
2020-12-18$67.49$66.0015.9%4.6%8.1%11.9%12.6%5.9%-3.0%34.3K-1.6M-18.7K43.6473.89N/AN/A114808671,959
2020-12-21$66.95$66.0016.6%4.8%8.6%12.8%15.5%7.3%0.3%-174.0K1.5M-24.6K0.0090.37N/AN/A3205541,496
2020-12-22$66.88$66.0016.2%4.6%8.6%12.3%18.3%7.0%0.5%-157.7K1.5M-24.6K0.3184.40N/AN/A55175861,496
2020-12-23$67.01$66.0014.3%4.1%8.0%9.8%14.9%5.9%1.4%-166.8K993.3K-24.7K3.8586.59N/AN/A271046411,513
2020-12-24$67.08$68.0015.0%4.3%7.9%10.7%0.0%5.7%0.9%-213.9K1.3M-25.4K0.0075.87N/AN/A006551,612
2020-12-28$67.31$68.0014.5%4.1%8.0%10.0%14.7%5.9%1.0%-218.5K927.6K-23.9K0.0288.09N/AN/A21156551,612
2020-12-29$67.24$68.0015.2%4.4%7.8%11.0%12.8%5.8%0.7%-232.0K1.2M-23.5K1.6790.45N/AN/A356111,613
2020-12-30$67.24$68.0015.2%4.4%7.0%11.0%14.3%5.9%0.9%-232.9K1.2M-23.3K1.0090.73N/AN/A10106111,610
2020-12-31$67.70$68.0013.5%3.9%7.2%8.7%15.5%5.9%1.1%-219.3K890.9K-23.3K42.0091.20N/AN/A2846131,620