USMV Options History — July 2022

In July 2022, USMV traded between $70.07 and $73.86. ATM implied volatility averaged 19.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.2% (HV 20d: 18.8%). Max pain ranged from $69.00 to $72.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2022-07-28: Highest Volume — 262 contracts
2022-07-11: Largest IV spike — 33.4% change
2022-07-12: Highest IV Rank — 59.6%
2022-07-26: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.42	$70.07	$73.86	$71.12	$73.86
Max Pain	$69.15	$69.00	$72.00	$69.00	$69.00
ATM IV	19.0%	13.6%	25.9%	20.0%	13.6%
Expected Move	5.4%	3.9%	6.5%	5.7%	3.9%
HV 20d	18.8%	13.5%	24.5%	24.1%	14.0%
HV 60d	21.8%	21.0%	22.3%	22.2%	21.0%
IV Rank	37.7%	20.4%	59.6%	40.8%	20.4%
IV Percentile	68.4%	40.5%	96.8%	73.8%	40.5%
Term Structure	0.5%	-3.0%	4.7%	0.1%	2.3%
VWIV	18.6%	14.1%	21.6%	20.2%	16.1%
Skew 25d	5.8%	2.8%	10.1%	3.9%	4.3%
Skew 10d	7.3%	-2.8%	14.1%	9.9%	5.3%
Call IV 25d	15.5%	10.1%	18.5%	17.5%	12.3%
Put IV 25d	21.3%	16.6%	26.5%	21.5%	16.6%
Bid-Ask Spread %	87.18	67.22	103.03	83.79	98.43
Gamma HHI	0.13	0.10	0.15	0.10	0.14
Net GEX	110.9K	84.5K	178.2K	89.1K	178.2K
Net DEX	-509.5K	-1.2M	-298.4K	-477.3K	-1.2M
Net VEX	-3.8K	-5.6K	-3.1K	-4.0K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.35	0.61	0.35	0.39
Total Volume	211.45	171	262	217	262
Total OI	501	463	599	472	599

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-07-01	$71.12	$69.00	20.0%	5.7%	24.1%	40.8%	20.2%	3.9%	0.1%	89.1K	-477.3K	-4.0K	0.35	83.79	N/A	N/A	161	56	397	75
2022-07-05	$70.68	$72.00	21.7%	5.8%	24.1%	46.3%	19.4%	5.8%	0.1%	84.5K	-405.9K	-3.7K	0.41	67.22	N/A	N/A	157	64	397	75
2022-07-06	$71.46	$69.00	22.2%	6.0%	24.5%	47.9%	20.2%	7.6%	0.9%	94.5K	-513.0K	-4.0K	0.42	79.16	N/A	N/A	154	64	398	76
2022-07-07	$71.59	$69.00	18.5%	5.4%	24.3%	36.0%	19.5%	5.5%	0.1%	110.1K	-579.6K	-4.0K	0.41	67.89	N/A	N/A	157	64	414	76
2022-07-08	$71.54	$69.00	16.4%	5.3%	24.0%	29.4%	19.3%	8.0%	0.3%	126.4K	-598.0K	-4.0K	0.40	81.08	N/A	N/A	162	64	425	76
2022-07-11	$71.12	$69.00	21.9%	5.8%	23.1%	46.8%	19.6%	5.2%	0.2%	122.3K	-519.5K	-3.8K	0.39	78.92	N/A	N/A	165	64	429	76
2022-07-12	$70.43	$69.00	25.9%	6.2%	22.7%	59.6%	19.4%	5.0%	0.2%	110.9K	-470.7K	-3.8K	0.41	79.06	N/A	N/A	156	64	442	76
2022-07-13	$70.43	$69.00	20.9%	6.0%	18.6%	43.5%	19.2%	6.1%	-0.2%	115.6K	-393.0K	-3.3K	0.41	79.42	N/A	N/A	158	64	443	76
2022-07-14	$70.18	$69.00	20.5%	5.9%	18.6%	42.3%	19.4%	6.2%	-0.1%	94.9K	-298.4K	-3.2K	0.42	86.14	N/A	N/A	151	64	443	76
2022-07-15	$70.94	$69.00	16.3%	4.7%	18.6%	29.1%	21.6%	8.3%	1.6%	126.2K	-391.3K	-3.2K	0.48	99.80	N/A	N/A	132	64	443	76
2022-07-18	$70.07	$69.00	18.1%	5.2%	16.9%	34.7%	18.0%	5.5%	4.7%	87.9K	-346.7K	-3.2K	0.52	97.51	N/A	N/A	114	59	394	69
2022-07-19	$71.55	$69.00	17.1%	4.9%	18.1%	31.7%	18.2%	7.9%	0.5%	87.2K	-336.8K	-3.1K	0.53	97.18	N/A	N/A	112	59	398	71
2022-07-20	$71.48	$69.00	19.0%	5.5%	16.6%	37.7%	18.9%	4.9%	0.1%	96.3K	-434.7K	-3.5K	0.52	81.77	N/A	N/A	113	59	404	71
2022-07-21	$71.76	$69.00	17.1%	4.9%	16.6%	31.7%	18.5%	4.7%	1.0%	104.1K	-479.0K	-3.6K	0.52	81.20	N/A	N/A	113	59	406	71
2022-07-22	$71.49	$69.00	17.5%	5.0%	16.1%	33.0%	17.4%	2.9%	1.0%	100.9K	-444.1K	-3.5K	0.61	78.19	N/A	N/A	114	70	406	71
2022-07-25	$71.46	$69.00	17.4%	5.0%	14.2%	32.4%	16.7%	2.8%	1.8%	108.7K	-439.0K	-3.6K	0.48	100.65	N/A	N/A	147	70	409	82
2022-07-26	$71.46	$69.00	22.7%	6.5%	14.2%	49.5%	18.0%	6.4%	-1.0%	108.0K	-533.5K	-4.3K	0.48	101.74	N/A	N/A	147	70	443	82
2022-07-27	$72.51	$69.00	17.5%	5.0%	13.5%	32.7%	17.8%	4.3%	-3.0%	130.2K	-589.4K	-4.4K	0.49	103.03	N/A	N/A	144	70	443	82
2022-07-28	$73.36	$69.00	16.1%	4.6%	14.0%	28.4%	14.1%	10.1%	-0.1%	143.0K	-783.3K	-4.5K	0.39	101.43	N/A	N/A	189	73	448	82
2022-07-29	$73.86	$69.00	13.6%	3.9%	14.0%	20.4%	16.1%	4.3%	2.3%	178.2K	-1.2M	-5.6K	0.39	98.43	N/A	N/A	189	73	512	87