USMV Options History — August 2021

In August 2021, USMV traded between $76.06 and $77.81. ATM implied volatility averaged 9.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.7% (HV 20d: 6.8%). Max pain ranged from $70.00 to $74.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2021-08-02: Highest Volume — 518 contracts
  • 2021-08-19: Largest IV spike — 42.4% change
  • 2021-08-19: Highest IV Rank — 16.6%
  • 2021-08-19: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.02$76.06$77.81$76.06$77.66
Max Pain$71.73$70.00$74.00$72.00$74.00
ATM IV9.5%7.2%12.8%9.4%7.3%
Expected Move2.8%2.1%3.7%2.7%2.1%
HV 20d6.8%4.8%9.1%8.9%5.7%
HV 60d7.9%7.1%9.6%9.6%7.3%
IV Rank8.5%3.1%16.6%8.3%3.3%
IV Percentile10.9%0.4%35.7%7.9%0.8%
Term Structure2.0%-1.4%3.4%2.1%2.0%
VWIV11.8%8.1%24.7%9.6%8.1%
Skew 25d5.3%1.9%8.1%3.7%5.5%
Skew 10d9.8%2.6%15.5%5.7%9.6%
Call IV 25d7.7%5.2%10.0%9.9%5.5%
Put IV 25d13.0%10.1%16.3%13.6%10.9%
Bid-Ask Spread %53.9817.10107.14105.6882.59
Gamma HHI0.190.130.280.130.20
Net GEX106.1K-56.7K240.1K-6.7K76.2K
Net DEX-4.2M-5.3M-2.3M-2.3M-4.1M
Net VEX-19.8K-24.2K-7.7K-11.0K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.006.250.011.73
Total Volume84.955151851830
Total OI2,385.6821,8802,6121,8912,480

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$76.06$72.009.4%2.7%8.9%8.3%9.6%3.7%2.1%-6.7K-2.3M-11.0K0.01105.68N/AN/A51445491,342
2021-08-03$76.47$72.0012.5%3.6%9.1%15.8%0.0%8.1%-1.4%-56.7K-2.6M-7.7K0.00107.14N/AN/A5205381,342
2021-08-04$76.38$72.0010.1%2.9%9.0%10.1%8.9%4.7%1.6%136.6K-4.2M-20.0K0.1493.25N/AN/A711,0011,346
2021-08-05$76.41$70.009.8%3.3%8.4%9.3%0.0%6.0%2.3%110.1K-3.7M-21.4K0.2037.70N/AN/A519591,346
2021-08-06$76.42$70.008.9%3.1%8.0%7.3%0.0%5.3%2.1%110.0K-3.9M-20.7K0.0139.77N/AN/A10419651,349
2021-08-09$76.53$70.007.2%2.7%8.0%3.1%8.4%5.4%2.7%127.0K-3.9M-20.3K0.0021.98N/AN/A1409651,348
2021-08-10$76.48$70.009.0%3.2%8.0%7.4%8.2%5.4%1.8%162.4K-4.4M-22.2K0.0617.10N/AN/A1711,0681,347
2021-08-11$76.56$70.008.9%2.6%8.0%7.3%18.5%4.7%3.3%167.3K-4.7M-21.3K5.0524.92N/AN/A211061,0751,347
2021-08-12$76.74$70.008.9%2.5%8.0%7.2%9.2%5.3%2.6%178.4K-4.7M-20.6K0.9523.78N/AN/A21201,0651,347
2021-08-13$77.03$70.008.8%2.5%8.1%7.0%11.6%4.8%3.4%240.1K-5.2M-19.2K2.2125.07N/AN/A24531,0841,280
2021-08-16$77.40$70.0010.1%2.9%6.2%10.2%11.6%5.0%2.5%183.1K-5.3M-18.6K0.4780.80N/AN/A127601,0861,316
2021-08-17$77.44$70.0011.2%3.2%4.8%12.8%12.9%5.6%2.1%152.4K-5.1M-19.6K6.2520.40N/AN/A12751,0801,369
2021-08-18$76.87$70.009.0%2.6%5.7%7.5%0.0%1.9%2.2%100.7K-4.5M-22.6K0.0029.65N/AN/A011,1031,439
2021-08-19$77.03$73.0012.8%3.7%5.6%16.6%13.7%6.4%2.1%10.3K-4.1M-24.2K3.6776.20N/AN/A3111,0981,513
2021-08-20$77.65$73.009.7%2.8%5.1%9.1%13.3%5.7%1.1%75.1K-4.9M-21.6K0.1718.81N/AN/A1221,0981,514
2021-08-23$77.81$73.008.9%2.5%5.0%7.1%11.1%4.7%1.7%104.6K-4.1M-20.7K0.9783.51N/AN/A38379731,453
2021-08-24$77.55$73.008.3%2.4%5.2%5.9%12.3%5.2%2.5%116.5K-4.0M-21.1K3.1425.17N/AN/A7229841,452
2021-08-25$77.58$74.007.6%2.2%5.2%4.2%24.7%4.8%1.5%95.0K-4.0M-20.4K2.2685.59N/AN/A471069911,465
2021-08-26$77.12$74.0010.2%2.9%5.7%10.4%14.2%6.5%1.2%68.1K-3.6M-21.6K1.9722.19N/AN/A29579951,471
2021-08-27$77.49$74.008.9%2.6%5.9%7.2%8.1%5.6%1.8%94.0K-4.0M-20.3K0.0082.52N/AN/A301,0021,461
2021-08-30$77.74$74.0010.5%3.0%5.9%11.0%8.6%5.4%1.8%90.1K-4.1M-20.7K0.9883.84N/AN/A1131111,0041,475
2021-08-31$77.66$74.007.3%2.1%5.7%3.3%8.1%5.5%2.0%76.2K-4.1M-20.5K1.7382.59N/AN/A11191,0051,475