USMV Options History — February 2021

In February 2021, USMV traded between $66.19 and $68.09. ATM implied volatility averaged 15.1%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.1% (HV 20d: 14.0%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 2.78.

Notable Days

2021-02-19: Highest Volume — 119 contracts
2021-02-25: Largest IV spike — 37.2% change
2021-02-01: Highest IV Rank — 17.1%
2021-02-01: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.38	$66.19	$68.09	$66.76	$66.19
Max Pain	$67.16	$67.00	$68.00	$68.00	$67.00
ATM IV	15.1%	11.5%	21.6%	21.6%	18.6%
Expected Move	4.5%	3.6%	6.2%	6.2%	5.3%
HV 20d	14.0%	10.9%	14.9%	14.7%	10.9%
HV 60d	11.1%	10.4%	12.3%	12.2%	10.8%
IV Rank	7.6%	3.5%	17.1%	17.1%	11.6%
IV Percentile	18.4%	4.0%	61.5%	61.5%	44.4%
Term Structure	2.1%	-1.3%	5.4%	-1.1%	-0.4%
VWIV	17.2%	11.0%	40.4%	23.0%	13.1%
Skew 25d	6.2%	-1.0%	15.2%	15.2%	7.6%
Skew 10d	13.5%	6.6%	25.3%	25.3%	13.7%
Call IV 25d	12.8%	10.7%	16.1%	14.6%	14.9%
Put IV 25d	19.1%	11.4%	29.8%	29.8%	22.4%
Bid-Ask Spread %	88.16	78.84	109.31	105.44	92.40
Gamma HHI	0.18	0.16	0.21	0.17	0.21
Net GEX	-140.4K	-235.7K	-59.8K	-191.8K	-235.7K
Net DEX	57.8K	-942.2K	1.3M	1.3M	953.9K
Net VEX	-16.8K	-20.5K	-12.9K	-20.5K	-15.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.78	0.00	25.50	0.06	0.03
Total Volume	38.368	1	119	34	33
Total OI	2,402.368	2,321	2,483	2,344	2,460

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
2021-02-01	$66.76	$68.00	21.6%	6.2%	14.7%	17.1%	23.0%	15.2%	-1.1%	-191.8K	1.3M	-20.5K	0.06	105.44	N/A	N/A	32	2	739	1,605
2021-02-02	$67.45	$68.00	17.3%	5.0%	14.7%	11.3%	11.0%	5.9%	2.4%	-158.7K	499.5K	-19.6K	0.03	109.31	N/A	N/A	31	1	763	1,603
2021-02-03	$67.01	$68.00	12.5%	3.6%	14.9%	4.8%	40.4%	6.6%	5.4%	-181.7K	699.3K	-19.3K	25.50	104.75	N/A	N/A	2	51	772	1,604
2021-02-04	$67.26	$67.00	13.7%	4.6%	14.7%	6.4%	19.8%	10.7%	2.8%	-174.6K	589.5K	-19.3K	3.07	83.60	N/A	N/A	14	43	773	1,624
2021-02-05	$67.74	$67.00	11.5%	4.3%	14.6%	3.5%	15.2%	6.7%	4.3%	-153.9K	-49.3K	-17.9K	0.35	86.88	N/A	N/A	20	7	759	1,623
2021-02-08	$67.92	$67.00	13.8%	4.3%	14.6%	6.1%	15.9%	2.7%	4.4%	-121.9K	-287.4K	-17.3K	1.87	87.65	N/A	N/A	15	28	777	1,619
2021-02-09	$68.09	$67.00	12.4%	4.2%	14.5%	4.2%	16.2%	-1.0%	4.5%	-87.6K	-429.8K	-17.2K	19.67	80.50	N/A	N/A	3	59	790	1,632
2021-02-10	$67.90	$67.00	14.5%	4.2%	14.4%	6.7%	19.0%	5.2%	4.3%	-106.5K	-504.7K	-17.1K	0.00	92.49	N/A	N/A	10	0	790	1,631
2021-02-11	$67.88	$67.00	15.2%	4.3%	14.4%	7.6%	0.0%	8.7%	2.6%	-115.2K	-181.8K	-17.4K	0.00	83.51	N/A	N/A	1	0	789	1,631
2021-02-12	$67.88	$67.00	13.9%	4.0%	14.2%	5.9%	0.0%	6.5%	4.8%	-129.9K	-161.3K	-17.1K	0.00	82.90	N/A	N/A	1	0	788	1,630
2021-02-16	$67.56	$67.00	13.7%	3.9%	14.3%	5.6%	12.4%	8.0%	3.1%	-134.5K	107.5K	-16.5K	0.00	87.31	N/A	N/A	4	0	790	1,628
2021-02-17	$67.67	$67.00	13.8%	4.0%	14.2%	5.4%	13.0%	3.1%	4.0%	-59.8K	-942.2K	-12.9K	0.07	79.02	N/A	N/A	29	2	794	1,628
2021-02-18	$67.85	$67.00	15.4%	4.4%	13.8%	7.5%	15.6%	3.6%	-0.9%	-146.6K	-437.2K	-14.9K	0.05	83.41	N/A	N/A	40	2	822	1,629
2021-02-19	$67.19	$67.00	15.3%	4.4%	14.1%	7.2%	13.0%	5.7%	0.0%	-107.4K	-455.0K	-14.8K	0.65	94.43	N/A	N/A	72	47	855	1,628
2021-02-22	$66.94	$67.00	14.7%	4.2%	14.1%	6.3%	16.2%	6.9%	1.4%	-147.6K	182.6K	-15.3K	0.68	79.13	N/A	N/A	34	23	804	1,517
2021-02-23	$67.08	$67.00	15.0%	4.3%	14.1%	6.7%	14.4%	6.0%	0.4%	-142.8K	-28.0K	-15.6K	0.12	80.94	N/A	N/A	17	2	827	1,538
2021-02-24	$67.34	$67.00	14.8%	4.2%	14.1%	6.4%	12.3%	5.9%	-0.1%	-97.5K	-364.9K	-15.1K	0.02	82.53	N/A	N/A	47	1	839	1,539
2021-02-25	$66.49	$67.00	20.3%	5.8%	11.3%	13.9%	21.3%	4.6%	-1.3%	-173.3K	622.6K	-16.5K	0.60	78.84	N/A	N/A	35	21	867	1,538
2021-02-26	$66.19	$67.00	18.6%	5.3%	10.9%	11.6%	13.1%	7.6%	-0.4%	-235.7K	953.9K	-15.8K	0.03	92.40	N/A	N/A	32	1	902	1,558