USMV Options History — March 2021

In March 2021, USMV traded between $65.15 and $69.87. ATM implied volatility averaged 14.5%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.3% (HV 20d: 13.2%). Max pain ranged from $63.00 to $68.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.11.

Notable Days

  • 2021-03-17: Highest Volume — 497 contracts
  • 2021-03-29: Largest IV spike — 56.4% change
  • 2021-03-29: Highest IV Rank — 18.7%
  • 2021-03-29: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.93$65.15$69.87$66.92$69.26
Max Pain$64.48$63.00$68.00$67.00$68.00
ATM IV14.5%11.3%19.9%14.7%11.7%
Expected Move4.1%3.2%5.2%4.2%3.4%
HV 20d13.2%9.6%14.5%10.2%12.9%
HV 60d12.2%10.8%12.8%10.9%12.6%
IV Rank7.0%2.0%18.7%6.3%4.3%
IV Percentile15.6%0.4%54.0%12.3%1.6%
Term Structure0.8%-5.3%3.3%1.1%1.2%
VWIV14.4%10.2%18.6%15.4%11.2%
Skew 25d6.4%3.1%15.4%3.8%5.3%
Skew 10d12.3%5.5%19.2%6.5%5.6%
Call IV 25d11.3%8.4%13.8%13.4%9.5%
Put IV 25d17.7%14.1%24.1%17.3%14.7%
Bid-Ask Spread %72.3330.71101.4199.9135.16
Gamma HHI0.260.160.460.220.20
Net GEX89.3K-336.5K455.0K-94.1K100.4K
Net DEX-1.6M-4.2M2.0M-414.7K-1.4M
Net VEX-10.9K-13.8K-8.6K-13.7K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0019.250.4619.25
Total Volume64.913249716881
Total OI1,994.9138182,8432,4611,211

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$66.92$67.0014.7%4.2%10.2%6.3%15.4%3.8%1.1%-94.1K-414.7K-13.7K0.4699.91N/AN/A115539021,559
2021-03-02$66.91$67.0014.5%4.2%9.6%6.1%16.1%4.8%0.6%-140.3K-215.8K-13.7K1.0038.64N/AN/A228951,571
2021-03-03$66.12$67.0017.5%5.0%9.7%10.1%14.9%4.9%-3.4%-205.2K378.0K-13.2K0.1451.20N/AN/A718961,571
2021-03-04$65.15$63.0018.8%5.2%10.7%12.0%18.1%11.3%1.5%-336.5K2.0M-13.8K0.2070.21N/AN/A92189001,571
2021-03-05$66.74$63.0018.1%4.4%14.0%11.0%16.9%10.8%0.4%-230.0K-109.3K-12.9K1.6788.96N/AN/A359571,578
2021-03-08$67.17$64.0019.9%4.9%13.9%13.5%14.1%10.7%-1.1%-66.2K-1.1M-12.5K3.1469.38N/AN/A7229581,578
2021-03-09$67.37$64.0017.8%4.4%13.9%10.5%14.8%15.4%1.5%32.1K-1.6M-12.1K0.0093.82N/AN/A2909581,560
2021-03-10$67.69$64.0014.2%4.1%14.0%5.7%0.0%8.5%2.0%88.8K-2.0M-10.9K0.0093.92N/AN/A2609561,560
2021-03-11$67.88$64.0013.8%3.9%14.0%5.1%13.8%6.0%1.2%207.2K-2.6M-10.7K0.0091.21N/AN/A3709761,560
2021-03-12$68.10$64.0013.6%3.9%14.1%4.8%0.0%6.1%2.1%294.3K-2.9M-10.1K0.0088.65N/AN/A209891,560
2021-03-15$68.38$64.0013.5%3.9%14.1%4.6%12.5%4.3%1.9%372.0K-3.5M-9.1K0.0686.76N/AN/A3529881,560
2021-03-16$68.76$64.0015.4%4.4%14.1%7.3%0.0%3.5%-1.4%414.5K-4.2M-8.6K5.00101.41N/AN/A2101,0191,557
2021-03-17$68.42$64.0012.7%3.6%14.3%3.6%12.6%3.1%3.3%455.0K-3.8M-8.9K11.7493.44N/AN/A394581,0191,567
2021-03-18$67.94$64.0013.3%3.8%14.5%4.4%0.0%5.8%1.8%-28.6K-2.2M-10.3K0.0092.10N/AN/A201,0401,803
2021-03-19$68.09$64.0012.6%3.6%14.0%4.2%11.9%5.0%3.0%338.3K-3.2M-9.3K0.3089.11N/AN/A2061,0391,803
2021-03-22$68.31$64.0011.3%3.2%14.0%2.0%0.0%5.7%3.3%122.7K-1.2M-9.2K0.0099.30N/AN/A40517301
2021-03-23$68.26$64.0013.1%3.8%14.0%5.0%11.0%3.4%0.4%121.3K-1.2M-9.0K0.1445.66N/AN/A71521301
2021-03-24$68.38$64.0012.6%3.6%13.9%5.3%10.2%4.9%0.3%121.5K-1.2M-9.0K0.0034.30N/AN/A40528300
2021-03-25$68.31$64.0012.6%3.6%13.0%5.3%18.6%5.7%1.3%121.6K-1.2M-9.0K0.0291.84N/AN/A511532300
2021-03-26$69.12$64.0011.7%3.3%13.3%3.7%11.6%5.6%1.2%135.2K-1.6M-9.3K0.1840.15N/AN/A112583300
2021-03-29$69.87$64.0018.3%5.2%13.3%18.7%18.3%5.6%-5.3%117.2K-2.0M-9.6K4.0237.83N/AN/A50201595300
2021-03-30$69.26$64.0012.6%3.6%13.8%6.7%16.2%6.1%0.6%113.8K-1.5M-12.4K1.1330.71N/AN/A4045645499
2021-03-31$69.26$68.0011.7%3.4%12.9%4.3%11.2%5.3%1.2%100.4K-1.4M-13.0K19.2535.16N/AN/A477667544