USMV Options History — October 2021

In October 2021, USMV traded between $73.35 and $77.77. ATM implied volatility averaged 12.1%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.7% (HV 20d: 11.4%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 33.98.

Notable Days

  • 2021-10-04: Highest Volume — 1,228 contracts
  • 2021-10-11: Largest IV spike — 38.1% change
  • 2021-10-04: Highest IV Rank — 44.1%
  • 2021-10-04: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.64$73.35$77.77$73.97$77.51
Max Pain$75.24$75.00$76.00$76.00$75.00
ATM IV12.1%8.8%17.8%14.2%8.8%
Expected Move3.4%2.5%4.6%4.1%2.5%
HV 20d11.4%9.2%13.1%11.1%9.8%
HV 60d9.3%8.9%9.6%9.0%9.6%
IV Rank22.8%10.6%44.1%30.8%10.8%
IV Percentile39.0%7.1%84.9%57.5%8.3%
Term Structure0.8%-0.5%2.0%0.5%1.9%
VWIV12.0%8.7%19.6%8.7%11.1%
Skew 25d6.0%3.6%10.4%7.4%5.3%
Skew 10d7.6%2.9%16.2%11.0%9.4%
Call IV 25d9.1%5.0%12.4%12.4%8.1%
Put IV 25d15.1%11.3%20.1%19.7%13.4%
Bid-Ask Spread %75.9324.44104.39103.9889.02
Gamma HHI0.270.170.340.220.34
Net GEX-266.6K-1.6M339.1K-11.7K335.0K
Net DEX-837.0K-4.2M4.5M245.4K-4.0M
Net VEX-25.2K-29.6K-22.4K-25.7K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.980.00604.003.002.20
Total Volume297.38111,2284438
Total OI2,628.9522,1583,5172,1582,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$73.97$76.0014.2%4.1%11.1%30.8%8.7%7.4%0.5%-11.7K245.4K-25.7K3.00103.98N/AN/A131,1131,045
2021-10-04$73.35$75.0017.8%4.6%11.1%44.1%19.6%7.9%0.9%-25.4K782.6K-25.1K50.1792.10N/AN/A241,2041,1121,047
2021-10-05$73.90$75.0015.0%3.9%11.3%33.7%0.0%8.1%0.6%-8.1K548.2K-25.3K2.0075.88N/AN/A8161,1131,050
2021-10-06$73.95$75.0015.4%4.2%11.0%35.0%0.0%10.4%0.3%-1.2M4.5M-29.3K0.0080.43N/AN/A101,1272,224
2021-10-07$74.70$75.0014.7%4.1%11.8%32.5%0.0%8.1%0.8%-909.6K1.6M-29.6K0.0091.72N/AN/A061,1322,230
2021-10-08$74.51$75.0011.2%3.4%11.7%19.5%0.0%5.3%1.4%-1.2M2.1M-28.6K0.1589.86N/AN/A1321,1332,230
2021-10-11$74.13$75.0015.4%3.9%11.7%35.2%10.7%6.3%0.3%-1.4M3.3M-27.0K0.2481.94N/AN/A68161,1332,230
2021-10-12$73.90$75.0015.8%3.9%11.7%36.4%13.5%5.2%1.2%-1.5M4.0M-26.7K1.4789.62N/AN/A32471,1452,231
2021-10-13$74.42$76.0013.4%3.8%11.8%27.7%13.5%6.5%-0.0%-1.6M2.3M-26.3K604.0086.53N/AN/A21,2081,2082,240
2021-10-14$75.49$76.0011.9%3.4%13.1%22.1%13.9%4.9%0.3%-813.5K-547.3K-24.6K1.0084.79N/AN/A14141,2402,277
2021-10-15$75.72$76.009.8%2.8%12.8%14.4%11.0%4.3%2.0%210.1K-2.0M-25.5K0.0362.97N/AN/A2911,2411,108
2021-10-18$75.78$76.0010.2%2.9%11.9%16.1%0.0%3.6%0.9%130.2K-1.8M-25.5K0.0068.80N/AN/A701,1811,064
2021-10-19$76.30$75.0010.3%3.0%12.0%16.4%0.0%6.7%0.7%239.6K-2.7M-22.6K0.0046.41N/AN/A201,1981,065
2021-10-20$76.80$75.0010.2%2.9%12.1%15.8%9.3%4.4%0.2%276.5K-3.0M-25.2K2.0055.40N/AN/A1482961,2071,063
2021-10-21$77.07$75.009.9%2.8%11.9%14.7%8.8%7.1%0.3%312.3K-3.6M-23.5K2.3163.08N/AN/A1282961,2311,019
2021-10-22$77.50$75.0011.0%3.2%11.9%19.0%10.8%5.6%-0.5%321.6K-4.1M-22.6K2.16104.39N/AN/A1372961,2241,024
2021-10-25$77.58$75.008.8%2.5%11.1%10.6%10.8%4.8%1.2%339.1K-4.1M-23.2K2.1051.20N/AN/A1412961,2231,024
2021-10-26$77.77$75.009.1%2.6%9.2%11.9%13.2%5.0%1.2%324.1K-4.2M-22.9K2.3724.44N/AN/A1403321,2151,024
2021-10-27$76.92$75.0010.3%3.0%10.3%16.4%12.5%4.9%0.7%307.1K-3.3M-23.7K2.1566.23N/AN/A1403011,2131,065
2021-10-28$77.13$75.0010.2%2.9%9.7%16.0%12.9%4.7%1.1%315.8K-3.6M-22.9K2.2085.72N/AN/A1373011,2131,066
2021-10-29$77.51$75.008.8%2.5%9.8%10.8%11.1%5.3%1.9%335.0K-4.0M-22.4K2.2089.02N/AN/A1373011,2141,066