USMV Options History — May 2021 In May 2021, USMV traded between $71.33 and $73.23. ATM implied volatility averaged 12.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.6%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.32.
Notable Days 2021-05-06 : Highest Volume — 108 contracts2021-05-11 : Largest IV spike — 33.1% change2021-05-12 : Highest IV Rank — 22.2%2021-05-12 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $72.37 $71.33 $73.23 $72.38 $72.65 Max Pain $68.30 $68.00 $70.00 $70.00 $68.00 ATM IV 12.6% 9.0% 17.2% 11.9% 9.0% Expected Move 3.6% 2.6% 4.9% 3.4% 2.6% HV 20d 10.6% 7.3% 12.7% 7.3% 12.6% HV 60d 11.3% 10.5% 12.1% 10.5% 10.8% IV Rank 10.4% 1.3% 22.2% 8.6% 1.3% IV Percentile 13.4% 0.8% 52.0% 5.6% 0.8% Term Structure 1.3% -0.8% 3.3% 0.7% 0.9% VWIV 18.0% 11.5% 29.5% 25.0% 13.4% Skew 25d 6.2% 3.7% 13.0% 5.0% 3.7% Skew 10d 10.3% 3.8% 26.2% 9.9% 26.2% Call IV 25d 10.2% 8.2% 14.3% 8.2% 8.6% Put IV 25d 16.4% 12.3% 21.4% 13.3% 12.3% Bid-Ask Spread % 66.42 18.29 95.95 89.22 36.82 Gamma HHI 0.20 0.15 0.32 0.25 0.18 Net GEX 100.6K -69.7K 244.3K 119.6K 166.7K Net DEX -2.4M -3.1M -1.5M -2.6M -2.8M Net VEX -7.9K -10.3K -5.4K -8.7K -5.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.00 7.00 0.00 7.00 Total Volume 20.55 1 108 10 8 Total OI 1,341.5 1,169 1,483 1,339 1,190
Daily Data (20 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 2021-05-03 $72.38 $70.00 11.9% 3.4% 7.3% 8.6% 0.0% 5.0% 0.7% 119.6K -2.6M -8.7K 0.00 89.22 N/A N/A 10 0 659 680 2021-05-04 $71.92 $70.00 13.2% 3.8% 7.8% 12.1% 0.0% 5.3% -0.0% 86.1K -2.2M -10.3K 0.50 85.77 N/A N/A 2 1 661 680 2021-05-05 $72.03 $70.00 12.7% 3.7% 7.8% 10.9% 0.0% 5.7% -0.8% 113.1K -2.4M -9.5K 0.00 93.53 N/A N/A 2 0 661 681 2021-05-06 $72.44 $68.00 10.9% 3.4% 7.9% 6.0% 25.0% 6.1% 3.2% 114.2K -2.4M -8.9K 0.00 74.27 N/A N/A 0 108 661 681 2021-05-07 $72.94 $68.00 10.7% 3.2% 8.2% 5.7% 0.0% 5.8% 2.7% 110.9K -2.8M -8.4K 0.00 62.22 N/A N/A 1 0 661 714 2021-05-10 $73.23 $68.00 11.7% 3.4% 8.2% 8.2% 19.5% 4.2% 1.3% 135.6K -3.1M -7.5K 0.00 93.98 N/A N/A 11 0 662 714 2021-05-11 $72.26 $68.00 15.6% 4.2% 9.7% 18.1% 19.5% 7.0% 1.4% 67.0K -2.1M -9.5K 0.50 90.58 N/A N/A 2 1 666 714 2021-05-12 $71.33 $68.00 17.2% 4.9% 10.9% 22.2% 25.9% 7.0% -0.7% 29.9K -1.5M -10.2K 0.00 65.89 N/A N/A 0 14 667 715 2021-05-13 $72.33 $68.00 15.2% 4.4% 11.0% 17.2% 0.0% 13.0% 1.1% 80.9K -2.3M -8.5K 0.14 95.95 N/A N/A 14 2 667 727 2021-05-14 $72.69 $68.00 12.1% 3.5% 11.0% 9.3% 29.5% 8.4% 3.3% 146.5K -2.6M -8.2K 0.43 92.71 N/A N/A 7 3 669 729 2021-05-17 $72.45 $68.00 14.2% 4.1% 10.9% 14.6% 14.1% 6.2% 1.1% 144.9K -2.5M -8.0K 1.86 41.98 N/A N/A 21 39 673 726 2021-05-18 $72.28 $68.00 13.2% 3.8% 10.9% 12.0% 0.0% 5.6% 1.9% 97.7K -2.5M -7.2K 1.00 92.01 N/A N/A 2 2 687 765 2021-05-19 $71.51 $68.00 14.2% 4.1% 11.4% 14.5% 15.1% 7.1% 2.1% -69.7K -1.6M -8.3K 0.69 54.25 N/A N/A 16 11 687 766 2021-05-20 $72.62 $68.00 12.0% 3.5% 12.7% 9.1% 13.7% 6.0% 2.3% 244.3K -2.6M -6.8K 6.00 61.64 N/A N/A 5 30 701 776 2021-05-21 $72.45 $68.00 12.7% 3.6% 12.6% 10.7% 13.0% 5.5% 1.4% 57.4K -2.4M -6.9K 0.02 92.80 N/A N/A 59 1 697 786 2021-05-24 $72.80 $68.00 10.9% 3.1% 12.6% 6.1% 11.5% 6.5% 0.9% 81.5K -2.6M -6.5K 1.00 22.34 N/A N/A 4 4 574 595 2021-05-25 $72.45 $68.00 12.0% 3.4% 12.7% 8.9% 16.2% 4.9% 0.9% 78.3K -2.5M -6.5K 4.50 18.29 N/A N/A 2 9 576 597 2021-05-26 $72.33 $68.00 11.4% 3.3% 12.7% 7.5% 0.0% 4.9% 0.8% 76.7K -2.5M -6.4K 0.08 29.04 N/A N/A 12 1 577 605 2021-05-27 $72.31 $68.00 10.6% 3.0% 12.5% 5.5% 0.0% 5.0% 0.8% 130.7K -2.6M -5.8K 0.00 35.15 N/A N/A 7 0 577 606 2021-05-28 $72.65 $68.00 9.0% 2.6% 12.6% 1.3% 13.4% 3.7% 0.9% 166.7K -2.8M -5.4K 7.00 36.82 N/A N/A 1 7 584 606
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