USMV Options History — June 2022

In June 2022, USMV traded between $66.64 and $73.67. ATM implied volatility averaged 21.2%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.2% (HV 20d: 22.4%). Max pain ranged from $67.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-06-16: Highest Volume — 282 contracts
  • 2022-06-13: Largest IV spike — 21.2% change
  • 2022-06-13: Highest IV Rank — 61.3%
  • 2022-06-13: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.43$66.64$73.67$73.13$70.21
Max Pain$69.57$67.00$75.00$75.00$69.00
ATM IV21.2%17.8%25.9%20.5%21.7%
Expected Move6.0%4.9%7.4%5.9%6.2%
HV 20d22.4%19.2%24.3%24.2%23.7%
HV 60d20.4%18.9%22.0%19.5%22.0%
IV Rank46.6%36.3%61.3%44.7%48.3%
IV Percentile81.6%72.2%97.2%81.0%81.3%
Term Structure-0.5%-5.2%2.1%-1.5%-0.6%
VWIV19.9%16.6%23.8%18.3%20.9%
Skew 25d4.8%2.6%8.3%4.5%6.3%
Skew 10d8.4%-2.5%13.6%1.4%3.9%
Call IV 25d18.5%14.2%22.1%17.8%17.4%
Put IV 25d23.3%20.3%28.0%22.3%23.7%
Bid-Ask Spread %80.6071.3895.6295.6287.69
Gamma HHI0.120.090.260.110.10
Net GEX52.2K18.3K88.7K50.8K74.4K
Net DEX-105.7K-524.2K432.2K-239.7K-341.9K
Net VEX-3.8K-5.2K-2.1K-5.2K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.350.690.650.35
Total Volume219162282256217
Total OI553.81410629621472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$73.13$75.0020.5%5.9%24.2%44.7%18.3%4.5%-1.5%50.8K-239.7K-5.2K0.6595.62N/AN/A155101441180
2022-06-02$73.58$72.0018.3%5.1%22.7%38.0%16.8%6.5%1.4%53.4K-223.3K-5.1K0.5179.02N/AN/A14775440181
2022-06-03$73.04$72.0019.5%5.4%20.4%41.4%18.3%5.2%0.8%53.2K-211.9K-5.1K0.4977.44N/AN/A14872442181
2022-06-06$73.13$72.0021.3%5.4%20.4%46.9%18.3%2.7%1.1%62.0K-294.2K-4.9K0.5282.72N/AN/A14173442181
2022-06-07$73.67$72.0018.2%4.9%19.2%37.7%17.1%8.3%1.3%56.0K-245.0K-4.8K0.5281.64N/AN/A14173444180
2022-06-08$72.84$67.0017.8%5.1%19.7%36.3%16.6%4.8%1.3%55.2K-132.8K-4.6K0.5171.84N/AN/A14172444179
2022-06-09$71.41$67.0019.7%5.7%21.0%42.2%17.5%5.3%2.1%47.5K62.2K-4.1K0.5280.76N/AN/A14173442177
2022-06-10$70.32$67.0021.4%6.1%21.7%47.4%19.4%5.1%-0.2%28.7K155.0K-3.7K0.4778.05N/AN/A15272442164
2022-06-13$67.94$69.0025.9%7.4%23.3%61.3%20.7%5.1%-2.0%18.3K372.4K-2.9K0.5384.27N/AN/A14678447164
2022-06-14$67.60$69.0023.7%6.8%23.3%54.4%22.4%4.4%-1.3%20.0K432.2K-2.8K0.4980.80N/AN/A16179452167
2022-06-15$68.25$69.0022.6%6.5%23.4%51.1%21.5%3.7%-1.7%25.4K272.9K-2.6K0.4990.38N/AN/A16280463148
2022-06-16$66.64$69.0024.5%7.0%21.3%56.9%22.5%5.9%-2.8%28.4K410.1K-2.1K0.6174.71N/AN/A175107464147
2022-06-17$66.93$69.0023.2%6.7%21.4%52.9%21.4%5.6%-5.2%57.6K133.0K-2.4K0.6979.45N/AN/A155107494135
2022-06-21$68.48$69.0021.9%6.3%23.2%48.8%20.9%4.8%0.4%35.6K-92.2K-2.9K0.5371.94N/AN/A1065633674
2022-06-22$68.82$69.0021.1%6.1%22.6%46.5%20.2%3.6%0.4%40.5K-129.0K-3.0K0.4676.77N/AN/A1225634274
2022-06-23$69.77$69.0020.8%6.0%22.9%45.4%20.8%4.1%0.4%54.5K-248.0K-3.5K0.4577.56N/AN/A1255635874
2022-06-24$71.31$69.0019.9%5.7%24.3%42.9%19.5%3.5%-0.5%75.1K-430.8K-4.0K0.4174.37N/AN/A1355636675
2022-06-27$71.37$69.0020.1%5.8%23.7%43.3%21.0%3.6%-0.0%83.8K-485.6K-4.1K0.3771.38N/AN/A1525638075
2022-06-28$70.16$69.0020.5%5.9%23.7%44.7%23.8%2.6%-3.5%88.7K-524.2K-4.1K0.3589.84N/AN/A1625640175
2022-06-29$70.37$69.0021.5%6.2%23.8%47.8%21.1%4.6%-0.3%86.5K-459.8K-3.8K0.3586.36N/AN/A1615641275
2022-06-30$70.21$69.0021.7%6.2%23.7%48.3%20.9%6.3%-0.6%74.4K-341.9K-3.6K0.3587.69N/AN/A1615639775