USMV Options History — December 2021

In December 2021, USMV traded between $76.02 and $81.18. ATM implied volatility averaged 13.4%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.0% (HV 20d: 12.4%). Max pain ranged from $72.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2021-12-17: Highest Volume — 597 contracts
  • 2021-12-13: Largest IV spike — 70.1% change
  • 2021-12-03: Highest IV Rank — 66.3%
  • 2021-12-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.82$76.02$81.18$76.02$81.18
Max Pain$76.91$72.00$80.00$76.00$80.00
ATM IV13.4%8.0%23.9%19.8%9.9%
Expected Move3.9%2.8%6.8%5.7%2.8%
HV 20d12.4%9.0%14.5%9.0%11.1%
HV 60d10.6%10.2%11.0%10.2%10.2%
IV Rank27.7%7.7%66.3%51.2%14.9%
IV Percentile56.6%4.4%99.6%96.4%23.8%
Term Structure0.9%-3.5%3.0%-2.2%1.9%
VWIV14.9%10.7%27.5%20.6%11.9%
Skew 25d7.2%4.1%14.5%9.5%4.2%
Skew 10d13.6%7.4%27.3%14.1%8.8%
Call IV 25d10.8%6.6%15.8%15.5%8.4%
Put IV 25d17.9%12.6%30.4%25.1%12.6%
Bid-Ask Spread %68.1440.7191.9979.8361.44
Gamma HHI0.230.170.320.210.21
Net GEX241.9K26.9K473.2K69.5K167.4K
Net DEX-3.7M-4.7M-1.7M-1.9M-4.4M
Net VEX-17.2K-21.6K-13.5K-19.7K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.981.072.612.611.52
Total Volume499.364377597477458
Total OI1,941.51,3732,3882,2261,421

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$76.02$76.0019.8%5.7%9.0%51.2%20.6%9.5%-2.2%69.5K-1.9M-19.7K2.6179.83N/AN/A1323451,0961,130
2021-12-02$76.87$76.0017.8%5.1%9.9%44.0%19.3%9.0%-1.5%136.9K-2.7M-18.9K2.4980.31N/AN/A1503741,0991,131
2021-12-03$76.24$76.0023.9%6.8%10.2%66.3%27.5%14.5%-3.5%26.9K-1.7M-21.6K2.5991.99N/AN/A1503891,1151,161
2021-12-06$77.21$72.0013.7%4.9%11.3%28.7%19.4%8.7%2.4%132.8K-2.6M-19.8K2.3574.98N/AN/A1503531,1151,169
2021-12-07$77.94$72.0013.5%3.9%11.8%27.9%15.8%7.1%1.4%266.2K-3.8M-17.6K2.3459.59N/AN/A1513531,1161,169
2021-12-08$78.19$72.0011.3%3.6%11.9%20.0%14.3%5.6%1.9%345.5K-4.1M-16.7K2.4064.45N/AN/A1523651,1141,169
2021-12-09$77.96$72.0012.4%3.6%11.9%23.8%15.0%6.1%1.1%308.8K-3.7M-17.7K2.4747.21N/AN/A1583901,1051,209
2021-12-10$78.61$72.008.0%3.1%12.3%7.7%10.7%5.9%1.8%473.2K-4.2M-17.3K2.1348.61N/AN/A1793811,1091,277
2021-12-13$78.97$72.0013.6%3.7%12.1%28.4%14.0%6.7%0.9%397.5K-4.0M-17.4K2.1341.92N/AN/A1793821,0421,277
2021-12-14$78.25$78.0017.6%4.2%12.6%43.1%15.6%6.8%0.8%327.1K-3.6M-18.2K1.9140.71N/AN/A1803431,0551,277
2021-12-15$79.15$78.0013.0%3.7%13.1%26.2%14.6%6.0%1.4%445.1K-4.4M-17.4K1.9166.31N/AN/A1903631,0551,286
2021-12-16$79.54$78.0013.1%3.8%13.1%26.7%15.7%8.4%-0.6%404.1K-4.7M-17.0K1.9666.82N/AN/A1903731,0661,304
2021-12-17$78.82$78.0013.8%4.0%13.5%29.2%12.9%6.9%0.8%443.4K-4.2M-17.4K1.9787.29N/AN/A2013961,0701,318
2021-12-20$78.13$80.0016.2%4.7%13.9%38.1%15.2%8.2%1.0%161.6K-2.9M-18.1K1.9078.74N/AN/A130247884489
2021-12-21$78.56$80.0013.7%3.9%14.0%28.6%13.6%9.2%1.3%159.6K-3.2M-17.6K1.9589.39N/AN/A133259894493
2021-12-22$79.25$80.0011.5%3.3%14.3%20.7%13.5%11.3%3.0%172.0K-3.5M-16.4K1.8891.84N/AN/A139261900512
2021-12-23$79.87$80.0010.6%3.1%14.5%17.5%12.1%5.5%2.0%185.3K-4.0M-15.6K1.7962.86N/AN/A146261905512
2021-12-27$80.44$80.0011.3%3.2%14.2%19.9%11.6%5.2%1.5%166.9K-4.2M-15.7K1.6363.42N/AN/A172281907512
2021-12-28$80.74$80.009.9%2.8%14.1%14.7%11.2%4.6%1.5%191.7K-4.5M-14.8K1.1267.82N/AN/A250281915532
2021-12-29$81.12$80.0010.0%2.9%11.6%15.0%11.9%4.1%1.8%171.6K-4.3M-13.5K1.0770.70N/AN/A255273858533
2021-12-30$81.08$80.0010.3%3.0%11.5%16.4%12.3%4.2%1.5%167.7K-4.4M-14.6K1.4262.81N/AN/A195276878534
2021-12-31$81.18$80.009.9%2.8%11.1%14.9%11.9%4.2%1.9%167.4K-4.4M-14.7K1.5261.44N/AN/A182276882539