USMV Options History — September 2021

In September 2021, USMV traded between $73.78 and $78.33. ATM implied volatility averaged 11.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.0% (HV 20d: 8.4%). Max pain ranged from $74.00 to $78.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2021-09-01: Highest Volume — 442 contracts
  • 2021-09-20: Largest IV spike — 38.6% change
  • 2021-09-20: Highest IV Rank — 37.1%
  • 2021-09-20: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.24$73.78$78.33$77.92$73.78
Max Pain$77.05$74.00$78.00$74.00$76.00
ATM IV11.4%7.6%16.0%7.6%14.8%
Expected Move3.3%2.2%4.6%2.2%4.2%
HV 20d8.4%5.7%11.1%5.7%11.1%
HV 60d8.0%7.3%9.2%7.3%9.2%
IV Rank20.0%4.2%37.1%4.2%32.9%
IV Percentile32.0%2.8%70.6%2.8%62.7%
Term Structure1.5%-0.3%2.6%1.5%0.7%
VWIV12.1%7.0%17.9%7.0%11.0%
Skew 25d6.1%3.6%8.8%3.6%5.8%
Skew 10d11.9%6.5%18.7%6.5%7.4%
Call IV 25d9.7%6.8%13.0%6.8%12.6%
Put IV 25d15.8%10.5%21.9%10.5%18.3%
Bid-Ask Spread %73.0534.16101.4987.7474.51
Gamma HHI0.200.150.370.180.24
Net GEX42.1K-482.3K544.0K48.1K9.0K
Net DEX-2.1M-4.9M408.4K-4.2M44.5K
Net VEX-25.5K-27.8K-20.8K-20.8K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.005.000.460.75
Total Volume67.14314424427
Total OI2,655.5241,9583,4432,5932,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$77.92$74.007.6%2.2%5.7%4.2%7.0%3.6%1.5%48.1K-4.2M-20.8K0.4687.74N/AN/A3021401,0071,586
2021-09-02$78.15$78.008.5%2.8%5.8%6.2%12.9%5.2%1.9%57.9K-4.3M-21.2K5.0082.99N/AN/A6301,0131,604
2021-09-03$78.33$78.008.1%2.8%5.8%5.3%16.3%4.8%2.5%544.0K-4.9M-24.1K0.5768.15N/AN/A40231,2781,744
2021-09-07$77.44$78.009.5%3.1%7.3%13.5%0.0%6.4%1.9%289.5K-3.9M-23.2K0.4873.78N/AN/A42201,2771,774
2021-09-08$77.81$78.009.8%2.8%7.4%14.3%17.9%5.4%2.6%371.1K-4.2M-24.6K0.1068.57N/AN/A2021,3081,797
2021-09-09$77.44$78.0011.2%3.2%7.7%19.6%9.9%5.7%1.9%219.2K-3.8M-24.8K0.8770.61N/AN/A68591,3471,817
2021-09-10$76.99$78.0011.7%3.4%8.0%21.5%0.0%5.2%1.5%40.1K-3.1M-25.2K2.5076.94N/AN/A12301,3421,818
2021-09-13$76.60$78.0010.8%3.1%8.1%17.9%9.4%6.8%2.0%26.2K-2.7M-26.4K1.2978.99N/AN/A42541,4091,877
2021-09-14$76.31$78.0012.4%3.6%7.9%24.1%8.8%6.3%1.4%-12.8K-2.3M-26.4K4.1273.92N/AN/A17701,4131,899
2021-09-15$76.76$78.009.9%2.8%8.3%14.9%10.0%5.6%2.3%-42.7K-3.1M-25.4K1.5373.73N/AN/A58891,4131,922
2021-09-16$76.59$78.009.2%2.6%7.9%12.1%14.5%5.6%1.9%-103.5K-2.8M-25.9K0.1974.63N/AN/A1631,4171,962
2021-09-17$75.92$78.0011.5%3.3%8.4%20.7%14.0%6.2%1.5%-482.3K-1.6M-27.2K0.0739.54N/AN/A7051,4432,000
2021-09-20$74.94$78.0016.0%4.6%8.8%37.1%15.0%8.8%-0.1%-11.7K-329.2K-27.8K2.5081.86N/AN/A259541,004
2021-09-21$75.31$76.0015.2%4.3%9.0%34.2%15.2%7.2%-0.2%-7.2K-644.7K-27.4K4.2977.27N/AN/A7309641,008
2021-09-22$75.52$76.0011.8%3.4%9.1%21.7%11.9%8.8%1.1%2.3K-801.0K-27.2K0.0079.04N/AN/A1109661,011
2021-09-23$76.09$76.0011.4%3.3%9.6%20.4%10.5%5.1%1.2%8.4K-1.2M-26.9K0.6738.00N/AN/A329731,041
2021-09-24$75.78$76.0010.0%2.9%9.5%15.3%9.9%6.0%1.6%5.8K-1.0M-27.1K2.0034.16N/AN/A129811,041
2021-09-27$75.02$76.0010.7%3.1%9.8%17.6%0.0%5.5%2.0%-18.2K-420.3K-26.3K0.0086.67N/AN/A11109821,042
2021-09-28$73.90$76.0014.7%4.2%10.7%32.3%11.0%6.5%-0.3%-51.9K408.4K-25.7K0.1191.40N/AN/A919821,044
2021-09-29$74.34$76.0015.3%4.4%11.1%34.9%0.0%8.2%2.0%-6.3K-181.4K-26.2K0.00101.49N/AN/A101,1041,044
2021-09-30$73.78$76.0014.8%4.2%11.1%32.9%0.0%5.8%0.7%9.0K44.5K-26.7K0.7574.51N/AN/A431,1131,045