USMV Options History — November 2021

In November 2021, USMV traded between $76.23 and $78.53. ATM implied volatility averaged 10.9%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.6% (HV 20d: 7.3%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2021-11-19: Highest Volume — 515 contracts
  • 2021-11-17: Largest IV spike — 37.5% change
  • 2021-11-30: Highest IV Rank — 39.2%
  • 2021-11-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.79$76.23$78.53$77.39$76.23
Max Pain$75.86$75.00$76.00$75.00$76.00
ATM IV10.9%7.9%16.5%10.9%16.5%
Expected Move3.2%2.3%4.7%3.1%4.7%
HV 20d7.3%4.9%9.2%9.0%9.2%
HV 60d9.6%9.4%10.4%9.6%10.4%
IV Rank18.3%7.5%39.2%18.5%39.2%
IV Percentile33.9%4.0%89.7%32.1%89.7%
Term Structure1.7%-2.2%4.6%0.8%-2.2%
VWIV13.0%11.0%19.1%13.3%19.1%
Skew 25d5.0%0.2%10.9%4.4%7.7%
Skew 10d5.9%1.0%11.1%8.6%4.0%
Call IV 25d9.4%7.0%15.7%8.7%14.0%
Put IV 25d14.4%9.2%21.7%13.1%21.7%
Bid-Ask Spread %93.9782.03106.1491.2787.80
Gamma HHI0.300.210.380.350.21
Net GEX372.4K85.9K500.5K346.8K85.9K
Net DEX-4.5M-5.5M-2.2M-4.0M-2.2M
Net VEX-18.7K-21.8K-16.4K-21.8K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.491.964.192.162.70
Total Volume462.571394515439488
Total OI2,247.1432,1042,3162,2802,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$77.39$75.0010.9%3.1%9.0%18.5%13.3%4.4%0.8%346.8K-4.0M-21.8K2.1691.27N/AN/A1393001,2141,066
2021-11-02$77.78$75.009.4%2.7%8.9%13.0%12.0%0.2%1.7%425.1K-4.5M-20.2K2.1694.31N/AN/A1393001,2181,067
2021-11-03$78.05$75.009.7%2.8%8.9%14.1%11.2%3.3%1.2%456.8K-4.8M-19.3K2.16102.49N/AN/A1393001,2181,067
2021-11-04$77.98$76.009.0%3.0%8.5%11.6%11.6%5.9%2.8%401.9K-4.8M-20.1K2.3195.79N/AN/A1343101,2181,067
2021-11-05$77.77$76.008.9%3.0%8.5%11.0%11.5%4.7%2.1%391.4K-4.6M-20.5K2.1993.45N/AN/A1423111,2171,077
2021-11-08$77.81$76.008.9%3.1%8.1%11.0%12.0%5.4%1.8%424.0K-4.6M-19.7K2.0582.03N/AN/A1523111,2291,078
2021-11-09$77.79$76.0010.0%3.1%7.9%15.0%12.0%4.8%2.2%428.1K-4.6M-19.9K2.0687.56N/AN/A1513111,2371,078
2021-11-10$77.65$76.0011.3%3.2%7.9%20.0%13.0%4.8%2.1%393.8K-4.4M-20.5K2.2488.47N/AN/A1513381,2381,078
2021-11-11$77.68$76.0011.2%3.2%6.4%19.4%12.7%5.5%2.1%427.3K-4.4M-20.1K2.2484.04N/AN/A1513381,2381,046
2021-11-12$78.20$76.0010.4%3.0%6.7%16.7%12.1%7.2%2.0%455.2K-5.1M-18.6K2.2592.53N/AN/A1503381,2381,046
2021-11-15$78.11$76.0010.9%3.1%6.8%18.5%11.6%4.9%1.9%478.8K-5.3M-17.9K2.1197.93N/AN/A1623421,2401,046
2021-11-16$78.53$76.007.9%2.3%6.6%7.5%11.0%6.5%3.9%500.5K-5.5M-16.9K2.30101.63N/AN/A1493421,2461,050
2021-11-17$78.27$76.0010.9%3.1%6.5%18.5%11.8%4.8%1.8%488.5K-5.3M-17.3K2.3196.41N/AN/A1493441,2521,050
2021-11-18$78.01$76.0010.7%3.1%6.6%17.8%11.4%3.7%1.2%364.8K-5.4M-17.5K2.0697.37N/AN/A1673441,2521,052
2021-11-19$77.88$76.0011.1%3.2%6.4%19.0%11.8%4.3%1.3%373.1K-5.2M-17.6K1.9694.29N/AN/A1743411,2471,052
2021-11-22$77.90$76.0010.9%3.1%6.4%18.4%12.2%4.5%2.2%315.8K-4.2M-17.2K2.3094.14N/AN/A1343081,1041,005
2021-11-23$77.71$76.0011.2%3.2%6.4%19.7%13.4%4.0%1.0%298.7K-3.8M-16.7K3.4495.25N/AN/A893061,0941,010
2021-11-24$77.85$76.0011.0%3.1%4.9%18.8%13.9%5.5%1.1%306.3K-3.9M-16.4K3.4392.94N/AN/A893051,0941,014
2021-11-26$77.24$76.0014.6%4.2%5.7%32.0%18.4%2.9%0.6%219.2K-3.3M-18.0K3.71106.14N/AN/A893301,0941,014
2021-11-29$77.75$76.0012.7%3.6%5.9%24.9%17.5%10.9%4.6%238.0K-3.6M-16.9K4.1997.62N/AN/A883691,0941,040
2021-11-30$76.23$76.0016.5%4.7%9.2%39.2%19.1%7.7%-2.2%85.9K-2.2M-19.2K2.7087.80N/AN/A1323561,0941,111