USMV Options History — February 2022

In February 2022, USMV traded between $71.98 and $76.94. ATM implied volatility averaged 19.0%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.7% (HV 20d: 15.3%). Max pain ranged from $74.00 to $74.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2022-02-10: Highest Volume — 452 contracts
  • 2022-02-10: Largest IV spike — 42.0% change
  • 2022-02-23: Highest IV Rank — 96.5%
  • 2022-02-23: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.67$71.98$76.94$76.20$73.50
Max Pain$74.00$74.00$74.00$74.00$74.00
ATM IV19.0%13.0%24.5%17.5%23.3%
Expected Move5.5%3.7%7.0%5.0%6.7%
HV 20d15.3%13.3%17.3%13.3%16.9%
HV 60d13.2%12.1%14.1%12.1%14.1%
IV Rank67.9%36.8%96.5%60.2%90.6%
IV Percentile91.9%64.7%99.2%92.1%98.0%
Term Structure-0.8%-3.6%2.1%-1.2%-2.0%
VWIV19.7%14.9%23.7%17.4%20.6%
Skew 25d8.2%4.0%15.3%4.3%4.0%
Skew 10d14.0%4.6%20.7%8.6%4.6%
Call IV 25d14.9%11.9%19.3%15.3%15.3%
Put IV 25d23.1%19.0%28.7%19.6%19.3%
Bid-Ask Spread %86.7168.49103.9494.94103.56
Gamma HHI0.280.200.330.310.26
Net GEX121.3K-9.0K261.0K188.8K81.8K
Net DEX-429.7K-2.2M1.5M-1.4M326.2K
Net VEX-13.2K-15.5K-10.0K-14.7K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.791.681.051.37
Total Volume417.316367452405367
Total OI1,621.6321,5501,6781,5501,559

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$76.20$74.0017.5%5.0%13.3%60.2%17.4%4.3%-1.2%188.8K-1.4M-14.7K1.0594.94N/AN/A198207930620
2022-02-02$76.94$74.0015.1%4.3%14.0%48.0%18.2%6.3%0.4%229.0K-2.2M-14.3K1.02103.94N/AN/A202207962620
2022-02-03$76.06$74.0018.4%5.4%14.1%64.7%19.6%8.4%-2.0%197.3K-1.7M-15.5K1.0269.77N/AN/A202207966620
2022-02-04$76.07$74.0016.8%5.0%14.0%56.5%17.5%7.4%-0.3%202.2K-1.6M-15.3K0.8570.81N/AN/A203172966620
2022-02-07$75.65$74.0016.2%4.8%14.1%53.6%18.3%7.3%-0.2%194.0K-1.3M-14.7K0.8571.89N/AN/A203173967624
2022-02-08$75.83$74.0015.1%4.5%14.1%48.0%17.7%6.4%1.1%210.2K-1.4M-14.3K0.9668.49N/AN/A203195967626
2022-02-09$76.67$74.0013.0%3.7%14.6%36.8%14.9%7.2%2.1%261.0K-2.1M-14.0K0.7985.72N/AN/A247195971641
2022-02-10$75.11$74.0018.4%5.3%16.1%65.0%18.9%7.2%-0.7%167.6K-962.1K-14.8K0.8374.95N/AN/A2472051,013641
2022-02-11$74.61$74.0019.7%5.6%16.0%71.5%21.2%8.8%-1.3%126.7K-464.6K-14.9K0.9279.94N/AN/A2302121,013651
2022-02-14$74.12$74.0022.1%6.3%16.1%84.3%21.7%9.0%-2.2%97.4K-1.3K-14.0K0.9280.96N/AN/A2302121,013659
2022-02-15$74.43$74.0019.1%5.5%15.8%68.8%19.1%7.8%-0.5%101.9K-211.1K-13.6K0.9186.02N/AN/A2332121,013659
2022-02-16$74.61$74.0017.3%4.9%15.8%59.0%17.7%7.0%0.8%79.8K-107.8K-12.7K0.9087.67N/AN/A2312071,017655
2022-02-17$73.77$74.0018.7%5.4%15.9%66.7%20.3%10.5%-1.5%55.1K355.9K-12.5K0.9092.91N/AN/A2312071,017660
2022-02-18$73.56$74.0018.9%5.4%15.4%67.5%20.9%10.2%-0.5%39.8K679.3K-11.9K0.9191.41N/AN/A2232021,018660
2022-02-22$72.91$74.0023.5%6.7%15.7%91.3%23.7%10.4%-3.0%35.7K806.9K-11.4K1.0593.18N/AN/A194203944653
2022-02-23$71.98$74.0024.5%7.0%16.1%96.5%22.9%4.9%-1.8%5.4K1.2M-10.7K1.0892.67N/AN/A192207946672
2022-02-24$72.50$74.0022.6%6.5%15.4%86.6%21.6%13.6%-3.6%-9.0K1.5M-10.0K1.68101.83N/AN/A162272946672
2022-02-25$74.12$74.0020.2%5.8%17.3%74.5%22.5%15.3%1.1%40.0K388.3K-11.3K1.6696.78N/AN/A164272947683
2022-02-28$73.50$74.0023.3%6.7%16.9%90.6%20.6%4.0%-2.0%81.8K326.2K-10.5K1.37103.56N/AN/A155212951608