USMV Options History — January 2022

In January 2022, USMV traded between $73.36 and $80.31. ATM implied volatility averaged 16.5%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.6% (HV 20d: 10.9%). Max pain ranged from $74.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2022-01-12: Highest Volume — 589 contracts
  • 2022-01-21: Largest IV spike — 28.1% change
  • 2022-01-26: Highest IV Rank — 100.0%
  • 2022-01-27: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.05$73.36$80.31$80.31$75.84
Max Pain$78.05$74.00$80.00$80.00$74.00
ATM IV16.5%10.0%25.1%10.3%19.2%
Expected Move4.8%2.9%7.2%2.9%5.5%
HV 20d10.9%9.1%13.3%11.5%13.3%
HV 60d10.7%10.3%12.0%10.3%12.0%
IV Rank54.6%15.2%100.0%16.1%69.0%
IV Percentile75.4%25.4%100.0%30.6%95.6%
Term Structure-0.5%-5.7%1.6%1.2%-1.2%
VWIV16.2%10.9%23.0%11.2%21.8%
Skew 25d6.8%3.8%9.8%4.2%9.8%
Skew 10d12.3%5.8%19.5%7.2%13.8%
Call IV 25d13.6%8.2%20.7%8.6%14.7%
Put IV 25d20.4%12.0%29.2%12.8%24.5%
Bid-Ask Spread %77.2348.15105.0483.9486.26
Gamma HHI0.250.200.310.230.31
Net GEX161.8K85.4K259.0K175.6K168.8K
Net DEX-2.0M-4.1M147.0K-4.1M-1.0M
Net VEX-15.4K-16.5K-13.9K-13.9K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.781.811.581.15
Total Volume452.3364589462387
Total OI1,512.351,4091,6261,4091,549

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$80.31$80.0010.3%2.9%11.5%16.1%11.2%4.2%1.2%175.6K-4.1M-13.9K1.5883.94N/AN/A179283870539
2022-01-04$80.26$80.0010.0%2.9%10.9%15.2%10.9%3.8%1.5%172.0K-3.9M-14.5K1.5660.95N/AN/A179280871544
2022-01-05$79.41$80.0012.8%3.7%11.4%25.4%12.1%4.7%0.5%167.5K-3.4M-14.9K1.6562.90N/AN/A177292869544
2022-01-06$78.94$78.0012.7%3.9%11.6%25.1%13.6%6.2%0.8%167.5K-3.1M-15.5K1.7064.85N/AN/A169288867544
2022-01-07$78.64$78.0012.4%3.8%11.6%23.9%13.3%6.5%0.1%165.7K-2.9M-15.7K1.7072.75N/AN/A169288867561
2022-01-10$78.15$78.0013.8%4.1%11.5%29.1%13.8%8.1%1.6%162.1K-2.6M-15.6K1.5486.76N/AN/A188290867563
2022-01-11$78.54$78.0010.7%3.4%11.5%26.7%12.5%7.4%0.4%191.8K-2.8M-15.2K1.8155.86N/AN/A166300883569
2022-01-12$78.66$78.0011.5%3.3%11.0%31.2%11.7%5.8%1.2%194.6K-3.0M-15.2K1.0451.69N/AN/A289300885589
2022-01-13$78.00$78.0013.7%3.9%10.6%43.3%12.9%6.2%0.6%259.0K-2.9M-16.2K0.8048.15N/AN/A2972381,010589
2022-01-14$77.66$78.0013.2%3.8%10.4%40.4%14.4%6.0%0.6%233.9K-2.3M-16.5K0.8675.96N/AN/A2592221,013588
2022-01-18$76.74$78.0016.3%4.7%10.8%57.9%16.1%6.4%0.1%180.8K-1.9M-16.2K0.9168.81N/AN/A2482261,008609
2022-01-19$76.96$78.0016.7%4.8%10.5%60.4%15.9%5.6%-0.1%173.8K-1.8M-16.3K0.9174.68N/AN/A2492261,009617
2022-01-20$76.27$78.0017.6%5.0%10.6%65.1%16.5%5.9%0.4%160.2K-1.7M-16.0K0.8784.46N/AN/A2482161,005616
2022-01-21$75.33$78.0022.6%6.5%10.6%92.7%17.1%9.4%-3.8%144.1K-854.2K-15.9K0.78105.04N/AN/A2742151,005616
2022-01-24$75.05$78.0023.1%6.6%9.8%95.9%22.4%8.5%-2.4%115.3K-458.9K-15.2K0.9591.05N/AN/A187177902577
2022-01-25$74.57$78.0023.2%6.7%9.1%96.3%23.0%7.1%-4.0%117.5K-503.2K-15.5K1.1589.79N/AN/A178205909580
2022-01-26$73.36$78.0024.8%7.1%9.7%100.0%22.2%6.2%-3.1%96.7K-164.4K-15.4K1.18101.15N/AN/A174206914619
2022-01-27$73.72$78.0025.1%7.2%9.7%100.0%20.8%9.1%-5.7%85.4K147.0K-15.1K1.1387.88N/AN/A184207915620
2022-01-28$74.68$77.0021.0%6.0%11.5%78.2%21.9%9.4%0.6%103.0K-219.5K-15.0K1.1691.67N/AN/A179207925620
2022-01-31$75.84$74.0019.2%5.5%13.3%69.0%21.8%9.8%-1.2%168.8K-1.0M-14.7K1.1586.26N/AN/A180207929620