USMV Options History — March 2022

In March 2022, USMV traded between $72.93 and $78.25. ATM implied volatility averaged 19.4%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.2% (HV 20d: 17.1%). Max pain ranged from $74.00 to $77.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2022-03-16: Highest Volume — 462 contracts
  • 2022-03-21: Largest IV spike — 25.1% change
  • 2022-03-01: Highest IV Rank — 100.0%
  • 2022-03-08: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.41$72.93$78.25$73.33$77.96
Max Pain$74.86$74.00$77.00$74.00$75.00
ATM IV19.4%11.2%27.0%26.6%11.2%
Expected Move5.8%4.0%9.5%7.6%4.1%
HV 20d17.1%15.4%18.8%15.8%15.4%
HV 60d14.9%13.9%15.5%13.9%15.4%
IV Rank64.3%25.1%100.0%100.0%25.2%
IV Percentile83.6%44.4%100.0%100.0%44.8%
Term Structure-0.7%-6.8%3.4%-3.3%2.7%
VWIV19.8%11.2%27.0%25.0%13.4%
Skew 25d6.2%2.7%9.4%6.0%4.5%
Skew 10d13.0%5.3%19.9%12.5%8.4%
Call IV 25d15.7%9.3%20.9%20.9%9.3%
Put IV 25d21.9%13.3%29.1%26.9%13.8%
Bid-Ask Spread %87.2660.49115.7694.2177.32
Gamma HHI0.230.130.670.250.14
Net GEX141.8K-81.6K1.1M75.9K70.3K
Net DEX-652.4K-3.3M425.3K367.6K-1.1M
Net VEX-7.9K-10.6K-6.2K-10.1K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.521.491.490.60
Total Volume317.261194462319237
Total OI1,197.2615391,6941,547570

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$73.33$74.0026.6%7.6%15.8%100.0%25.0%6.0%-3.3%75.9K367.6K-10.1K1.4994.21N/AN/A128191953594
2022-03-02$74.60$74.0023.8%6.8%17.0%86.4%24.4%7.6%-0.2%126.2K-363.6K-10.3K1.4897.31N/AN/A129191954594
2022-03-03$74.60$74.0023.5%6.7%16.6%85.0%21.5%7.2%-1.3%182.0K-817.8K-10.6K1.4899.84N/AN/A129191956594
2022-03-04$75.07$74.0024.5%7.0%16.3%90.0%24.4%7.8%-1.6%162.5K-655.0K-10.0K1.31100.30N/AN/A146191956594
2022-03-07$74.26$74.0027.0%7.7%16.7%100.0%26.1%4.5%-4.0%165.1K-707.9K-9.9K1.22107.43N/AN/A156191961594
2022-03-08$72.93$74.0026.8%9.5%17.7%99.0%27.0%9.4%-4.1%93.6K101.7K-9.7K1.07103.06N/AN/A182194973594
2022-03-09$74.11$74.0023.5%7.5%18.8%83.6%23.5%7.2%-1.7%87.9K-67.1K-9.2K0.84102.31N/AN/A232194994596
2022-03-10$73.70$74.0022.6%7.4%18.3%79.0%23.1%8.0%0.5%60.5K301.6K-8.7K0.84102.50N/AN/A2311941,045595
2022-03-11$73.38$74.0024.6%7.3%16.9%88.7%22.7%7.3%-1.9%102.8K-155.6K-8.9K0.84106.21N/AN/A2311941,045594
2022-03-14$73.09$77.0024.0%6.3%16.9%85.7%21.2%8.4%-2.4%45.2K425.3K-7.9K0.8664.72N/AN/A2261941,045594
2022-03-15$74.34$77.0021.3%5.9%17.9%73.2%20.4%8.9%-1.2%8.3K19.4K-7.1K0.8666.69N/AN/A2251941,049594
2022-03-16$74.89$77.0021.1%4.9%18.0%71.9%20.2%4.7%-6.8%-81.6K-490.1K-6.6K0.6979.15N/AN/A2731891,049594
2022-03-17$75.98$0.0016.8%4.4%18.7%51.6%0.0%5.7%-1.4%437.6K-2.2M-6.7K0.90115.76N/AN/A1921731,099589
2022-03-18$76.58$0.0014.2%4.6%18.3%39.6%16.8%6.6%2.3%1.1M-3.3M-6.3K0.7390.84N/AN/A2371731,100594
2022-03-21$76.22$75.0017.8%4.9%18.3%56.5%17.9%8.0%-1.0%61.9K-556.4K-6.6K0.7379.75N/AN/A11685333206
2022-03-22$76.85$75.0013.8%4.3%18.0%37.5%17.4%5.3%1.4%79.9K-642.2K-6.2K0.6580.55N/AN/A13185334207
2022-03-23$76.09$75.0016.0%4.5%17.7%47.7%16.9%2.7%-0.9%73.4K-670.0K-6.8K0.6263.57N/AN/A13383354207
2022-03-24$76.23$75.0015.4%4.4%17.6%45.1%16.3%5.7%0.5%73.5K-607.7K-6.7K0.6160.49N/AN/A13381356205
2022-03-25$76.58$75.0013.7%4.2%16.1%36.8%17.1%3.9%1.7%80.4K-749.1K-6.6K0.7082.99N/AN/A11480357209
2022-03-28$77.24$75.0014.0%4.1%15.8%38.2%15.3%4.2%1.7%84.1K-870.6K-6.6K0.6976.01N/AN/A11680357209
2022-03-29$78.25$75.0012.6%4.0%16.1%32.0%11.2%3.9%1.8%84.5K-1.1M-6.3K0.5279.02N/AN/A15380361209
2022-03-30$78.05$75.0011.2%4.2%15.4%25.1%13.3%4.3%3.4%70.1K-1.1M-6.6K0.5876.90N/AN/A13980361209
2022-03-31$77.96$75.0011.2%4.1%15.4%25.2%13.4%4.5%2.7%70.3K-1.1M-6.6K0.6077.32N/AN/A14889361209