USMV Options History — January 2021 In January 2021, USMV traded between $66.10 and $68.37. ATM implied volatility averaged 18.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 8.9% (HV 20d: 9.4%). Max pain ranged from $58.00 to $68.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.60.
Notable Days 2021-01-26 : Highest Volume — 127 contracts2021-01-11 : Largest IV spike — 104.1% change2021-01-11 : Highest IV Rank — 34.3%2021-01-29 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $67.58 $66.10 $68.37 $66.97 $66.10 Max Pain $65.53 $58.00 $68.00 $58.00 $68.00 ATM IV 18.3% 13.8% 33.0% 18.2% 23.4% Expected Move 4.8% 3.9% 6.7% 5.0% 6.7% HV 20d 9.4% 8.1% 14.5% 8.3% 14.5% HV 60d 13.6% 11.7% 14.2% 14.2% 12.9% IV Rank 13.6% 6.5% 34.3% 14.9% 19.5% IV Percentile 38.9% 9.9% 88.1% 44.8% 68.7% Term Structure 1.5% -2.7% 5.0% 5.0% -2.7% VWIV 16.2% 12.0% 20.8% 16.3% 14.4% Skew 25d 8.7% 3.7% 14.6% 7.7% 8.8% Skew 10d 10.6% 3.1% 19.2% 13.8% 3.1% Call IV 25d 13.6% 10.6% 16.8% 14.4% 16.8% Put IV 25d 22.3% 17.5% 28.8% 22.1% 25.6% Bid-Ask Spread % 97.74 67.56 109.45 88.44 109.27 Gamma HHI 0.17 0.16 0.20 0.18 0.17 Net GEX -208.1K -278.7K -145.3K -245.1K -197.8K Net DEX 721.3K -220.3K 1.6M 1.5M 1.5M Net VEX -21.4K -23.4K -18.8K -23.4K -21.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.60 0.00 30.75 4.11 0.04 Total Volume 29.421 1 127 46 24 Total OI 2,337.789 2,251 2,444 2,251 2,339
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-01-04 $66.97 $58.00 18.2% 5.0% 8.3% 14.9% 16.3% 7.7% 5.0% -245.1K 1.5M -23.4K 4.11 88.44 N/A N/A 9 37 615 1,636 2021-01-05 $66.99 $58.00 17.4% 5.1% 8.1% 13.9% 0.0% 14.6% 0.6% -276.5K 1.6M -23.1K 0.00 90.14 N/A N/A 0 1 654 1,672 2021-01-06 $67.51 $58.00 16.8% 4.6% 8.5% 13.0% 16.0% 9.4% 2.0% -278.7K 1.1M -22.1K 0.25 93.36 N/A N/A 4 1 654 1,673 2021-01-07 $68.08 $58.00 21.3% 4.5% 8.9% 19.1% 16.1% 11.8% 2.6% -214.9K 888.6K -23.1K 2.14 100.85 N/A N/A 7 15 657 1,674 2021-01-08 $68.33 $67.00 16.2% 4.3% 8.7% 12.3% 18.1% 11.2% 1.7% -233.7K 405.4K -21.5K 0.33 100.20 N/A N/A 43 14 663 1,674 2021-01-11 $67.99 $67.00 33.0% 4.2% 8.9% 34.3% 20.8% 6.9% 1.5% -200.2K 234.0K -22.1K 2.00 102.09 N/A N/A 1 2 706 1,688 2021-01-12 $67.62 $67.00 20.0% 4.5% 9.2% 16.1% 14.9% 6.3% 0.5% -219.3K 773.1K -22.4K 0.00 101.24 N/A N/A 8 0 707 1,689 2021-01-13 $67.70 $67.00 17.6% 5.0% 8.8% 12.6% 0.0% 8.0% -0.9% -221.2K 732.4K -22.2K 0.00 101.14 N/A N/A 5 0 710 1,689 2021-01-14 $67.34 $67.00 16.5% 4.7% 8.6% 11.1% 18.7% 9.6% 3.9% -245.8K 866.0K -21.8K 3.23 97.13 N/A N/A 13 42 707 1,689 2021-01-15 $67.33 $67.00 17.5% 5.0% 8.5% 12.5% 12.0% 14.6% 0.7% -274.0K 1.3M -22.5K 8.83 101.61 N/A N/A 6 53 714 1,730 2021-01-19 $67.74 $67.00 14.3% 4.1% 8.3% 8.2% 16.2% 3.7% 3.2% -158.2K 622.4K -21.2K 9.00 109.45 N/A N/A 2 18 676 1,582 2021-01-20 $68.37 $68.00 15.7% 4.5% 8.8% 9.2% 14.5% 4.4% 1.8% -186.5K -113.6K -18.8K 0.06 67.56 N/A N/A 35 2 678 1,598 2021-01-21 $68.06 $68.00 13.9% 4.0% 8.5% 6.6% 14.1% 5.6% 2.1% -145.3K 142.3K -20.5K 2.56 99.21 N/A N/A 9 23 703 1,600 2021-01-22 $67.84 $68.00 13.8% 3.9% 8.6% 6.5% 16.7% 6.1% 1.6% -189.4K 124.5K -19.9K 0.22 100.80 N/A N/A 9 2 708 1,621 2021-01-25 $68.09 $68.00 15.6% 4.5% 8.6% 9.0% 18.2% 5.0% 1.0% -154.2K 144.5K -19.7K 0.30 93.51 N/A N/A 10 3 708 1,622 2021-01-26 $68.31 $68.00 15.3% 4.4% 8.7% 8.6% 15.1% 6.7% 1.5% -148.7K -220.3K -19.2K 30.75 92.41 N/A N/A 4 123 712 1,623 2021-01-27 $66.52 $68.00 20.7% 5.9% 13.0% 15.9% 0.0% 10.5% 1.6% -190.9K 1.3M -20.8K 0.07 102.12 N/A N/A 14 1 715 1,602 2021-01-28 $67.12 $68.00 19.9% 5.7% 13.4% 14.8% 17.8% 14.0% 0.0% -174.1K 756.2K -20.4K 0.90 106.55 N/A N/A 10 9 727 1,603 2021-01-29 $66.10 $68.00 23.4% 6.7% 14.5% 19.5% 14.4% 8.8% -2.7% -197.8K 1.5M -21.1K 0.04 109.27 N/A N/A 23 1 735 1,604
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