USMV Options History — June 2021

In June 2021, USMV traded between $72.12 and $73.67. ATM implied volatility averaged 9.4%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.1% (HV 20d: 9.2%). Max pain ranged from $68.00 to $73.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.93.

Notable Days

  • 2021-06-29: Highest Volume — 577 contracts
  • 2021-06-18: Largest IV spike — 25.2% change
  • 2021-06-18: Highest IV Rank — 7.9%
  • 2021-06-18: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.94$72.12$73.67$72.17$73.66
Max Pain$71.68$68.00$73.00$68.00$73.00
ATM IV9.4%5.9%11.6%10.5%5.9%
Expected Move2.7%1.7%3.3%3.0%1.7%
HV 20d9.2%6.8%12.6%12.6%7.0%
HV 60d9.8%9.2%10.1%9.9%9.2%
IV Rank2.8%0.0%7.9%5.2%0.0%
IV Percentile2.7%0.0%12.3%2.0%0.0%
Term Structure2.0%0.2%4.8%0.8%4.8%
VWIV12.2%8.8%16.3%13.7%9.2%
Skew 25d4.3%-0.0%7.1%3.4%1.2%
Skew 10d9.3%1.3%14.5%7.0%1.3%
Call IV 25d8.0%4.5%9.8%9.5%5.8%
Put IV 25d12.3%7.0%15.5%12.9%7.0%
Bid-Ask Spread %43.5214.6788.4440.5181.36
Gamma HHI0.190.160.290.180.20
Net GEX80.0K-32.3K190.0K161.6K-17.6K
Net DEX-1.5M-2.9M-383.1K-2.7M-849.9K
Net VEX-8.5K-11.6K-5.2K-5.3K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0012.000.002.41
Total Volume96.545157781
Total OI1,241.1829391,5451,1961,257

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$72.17$68.0010.5%3.0%12.6%5.2%13.7%3.4%0.8%161.6K-2.7M-5.3K0.0040.51N/AN/A08585611
2021-06-02$72.30$68.0010.5%3.0%12.4%5.2%10.6%-0.0%0.2%176.5K-2.7M-5.3K0.0043.33N/AN/A90585619
2021-06-03$72.40$72.0011.1%3.2%12.4%6.5%15.5%5.2%2.1%190.0K-2.7M-5.2K0.0088.44N/AN/A057594619
2021-06-04$72.90$72.008.9%2.7%12.4%1.1%11.3%4.5%2.7%177.9K-2.9M-5.3K4.3163.03N/AN/A1356587676
2021-06-07$72.81$72.009.3%2.8%12.2%2.0%15.3%3.3%2.5%135.0K-2.6M-6.1K0.2545.09N/AN/A205566732
2021-06-08$72.81$72.009.0%2.8%12.1%1.3%0.0%3.8%2.1%155.5K-2.5M-5.7K0.0036.42N/AN/A040552732
2021-06-09$72.94$72.0010.4%3.0%11.1%4.8%9.4%4.0%2.0%145.3K-2.5M-6.3K0.0075.69N/AN/A590552764
2021-06-10$73.24$72.0010.3%2.9%10.0%4.6%0.0%4.4%2.0%124.3K-1.9M-6.2K4.3237.38N/AN/A37160455764
2021-06-11$73.16$72.009.4%2.7%8.8%2.3%16.3%4.2%2.8%83.5K-1.7M-7.9K1.5035.87N/AN/A812455906
2021-06-14$73.19$72.009.8%2.8%8.6%3.3%0.0%4.7%2.2%93.0K-1.5M-8.0K0.5018.46N/AN/A105429912
2021-06-15$73.10$72.0010.0%2.9%8.5%3.8%13.8%5.1%1.7%93.7K-1.4M-8.1K4.0019.72N/AN/A14437927
2021-06-16$72.58$72.009.5%2.7%8.9%2.6%10.3%4.9%2.3%89.6K-1.2M-8.4K4.2939.77N/AN/A730438927
2021-06-17$72.81$72.009.3%2.7%8.0%1.9%0.0%7.1%3.6%106.8K-1.2M-8.7K0.0036.71N/AN/A0150438957
2021-06-18$72.12$72.0011.6%3.3%6.8%7.9%11.8%6.2%2.0%129.3K-655.4K-10.6K0.1838.35N/AN/A2854381,107
2021-06-21$72.72$72.0010.1%2.9%7.4%4.0%8.8%5.4%0.2%-26.0K-445.9K-10.5K12.0043.66N/AN/A560359580
2021-06-22$73.06$72.0010.2%2.9%7.4%4.3%10.4%4.8%1.1%-28.3K-510.3K-10.8K2.8639.17N/AN/A1440364640
2021-06-23$72.76$72.008.4%2.4%7.3%0.0%10.5%4.1%1.4%-32.3K-383.1K-11.3K2.7814.67N/AN/A107297378680
2021-06-24$73.09$72.008.4%2.4%7.4%0.0%14.1%3.7%2.0%-15.7K-563.7K-10.9K0.4822.06N/AN/A16178379680
2021-06-25$73.49$72.008.9%2.5%7.6%1.3%13.5%5.4%1.7%4.0K-801.7K-11.6K1.6782.50N/AN/A1220420758
2021-06-28$73.65$72.007.5%2.1%7.5%0.0%0.0%4.2%2.0%15.6K-957.6K-11.2K8.3331.91N/AN/A325432778
2021-06-29$73.67$72.007.4%2.1%7.0%0.0%9.2%5.3%2.2%-2.3K-896.2K-11.4K2.4123.35N/AN/A169408434803
2021-06-30$73.66$73.005.9%1.7%7.0%0.0%0.0%1.2%4.8%-17.6K-849.9K-11.5K0.0081.36N/AN/A01435822