USMV Options History — July 2021

In July 2021, USMV traded between $74.01 and $76.27. ATM implied volatility averaged 10.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.0% (HV 20d: 8.2%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.30.

Notable Days

  • 2021-07-01: Highest Volume — 360 contracts
  • 2021-07-08: Largest IV spike — 58.5% change
  • 2021-07-19: Highest IV Rank — 23.2%
  • 2021-07-19: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.24$74.01$76.27$74.01$76.19
Max Pain$71.14$70.00$73.00$73.00$72.00
ATM IV10.2%7.5%15.6%7.5%10.6%
Expected Move3.0%2.1%4.5%2.1%3.0%
HV 20d8.2%7.0%9.1%7.1%9.1%
HV 60d9.5%9.1%9.9%9.2%9.6%
IV Rank10.4%3.8%23.2%3.8%11.3%
IV Percentile13.3%1.2%57.5%1.2%14.7%
Term Structure1.2%0.1%2.8%1.8%1.3%
VWIV13.1%8.7%18.9%8.7%14.8%
Skew 25d5.6%2.8%9.1%4.7%5.8%
Skew 10d9.7%3.9%15.7%7.5%10.7%
Call IV 25d8.1%5.2%10.7%5.2%7.8%
Put IV 25d13.7%9.0%19.3%9.9%13.6%
Bid-Ask Spread %69.3417.71101.4217.7196.43
Gamma HHI0.170.130.240.210.13
Net GEX-8.5K-131.9K125.0K262-21.1K
Net DEX-1.5M-2.2M-403.3K-1.0M-2.2M
Net VEX-12.6K-15.1K-10.9K-11.3K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.0024.7124.710.00
Total Volume63036036043
Total OI1,743.6671,2581,9221,2581,892

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$74.01$73.007.5%2.1%7.1%3.8%0.0%4.7%1.8%262-1.0M-11.3K24.7117.71N/AN/A14346435823
2021-07-02$74.49$73.008.1%2.3%7.1%5.4%8.7%2.8%1.7%-25.6K-1.3M-11.4K4.0087.49N/AN/A251004481,023
2021-07-06$74.55$70.007.7%2.7%7.0%4.3%0.0%5.3%1.8%-47.0K-1.0M-13.1K1.3372.76N/AN/A684601,123
2021-07-07$74.94$70.007.9%2.8%7.2%4.8%10.4%5.2%1.2%-43.2K-1.2M-12.5K0.7337.86N/AN/A82604661,131
2021-07-08$74.38$70.0012.5%3.5%7.8%16.0%0.0%5.6%1.0%-9.1K-802.1K-13.5K8.0088.04N/AN/A2164831,180
2021-07-09$74.97$70.008.1%2.8%8.1%5.4%14.6%5.3%1.0%9.4K-1.4M-10.9K0.3848.20N/AN/A1354831,190
2021-07-12$74.95$70.009.1%2.7%8.1%7.8%9.4%5.2%1.2%80.5K-1.4M-11.5K1.7750.75N/AN/A13234921,190
2021-07-13$74.92$70.009.4%2.9%8.1%8.4%9.8%5.6%1.9%109.8K-1.4M-12.0K9.0036.68N/AN/A6545061,213
2021-07-14$75.15$70.0010.2%2.9%8.1%10.3%10.8%4.9%0.2%125.0K-1.7M-11.4K0.1447.76N/AN/A715121,267
2021-07-15$75.19$70.0010.7%3.1%7.5%11.5%16.9%5.8%0.3%68.8K-1.6M-11.6K14.70101.42N/AN/A101475131,268
2021-07-16$75.27$70.0011.0%3.2%7.5%12.3%15.2%5.6%0.1%115.7K-1.5M-13.3K0.00100.61N/AN/A3205071,415
2021-07-19$74.31$70.0015.6%4.5%8.2%23.2%18.9%8.6%2.8%-131.9K-403.3K-15.1K0.8094.65N/AN/A60484301,295
2021-07-20$75.26$72.0012.4%3.5%8.8%15.6%15.1%9.1%1.1%-120.7K-740.9K-14.6K0.0059.19N/AN/A5504421,341
2021-07-21$75.19$72.0011.6%3.3%8.8%13.6%12.8%6.4%0.3%-71.0K-1.2M-14.4K0.0275.59N/AN/A4114961,341
2021-07-22$75.47$72.0011.4%3.3%8.5%13.3%0.0%5.9%0.8%-57.3K-1.4M-14.5K0.0020.49N/AN/A605251,342
2021-07-23$76.27$72.009.6%2.7%9.1%8.8%12.0%4.8%2.3%-18.9K-2.2M-11.7K0.0975.20N/AN/A5455271,342
2021-07-26$76.08$72.0010.2%2.9%9.1%10.3%14.4%5.0%1.4%-40.5K-1.9M-12.9K0.1083.55N/AN/A2025271,342
2021-07-27$76.12$72.0011.2%3.2%9.1%12.8%16.6%5.9%0.7%-46.6K-1.9M-12.9K0.1783.70N/AN/A615371,342
2021-07-28$76.16$72.0010.1%2.9%9.1%10.2%9.7%5.2%1.5%-32.4K-2.0M-12.6K0.0084.99N/AN/A1105401,341
2021-07-29$76.26$72.0010.1%2.9%9.1%10.1%0.0%4.8%1.4%-22.3K-2.2M-11.7K0.0093.03N/AN/A005451,342
2021-07-30$76.19$72.0010.6%3.0%9.1%11.3%14.8%5.8%1.3%-21.1K-2.2M-11.4K0.0096.43N/AN/A4305501,342