USMV Options History — August 2022

In August 2022, USMV traded between $71.76 and $76.67. ATM implied volatility averaged 16.2%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.5% (HV 20d: 12.8%). Max pain ranged from $69.00 to $74.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2022-08-31: Highest Volume — 292 contracts
  • 2022-08-04: Largest IV spike — 22.3% change
  • 2022-08-29: Highest IV Rank — 49.2%
  • 2022-08-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.41$71.76$76.67$73.56$71.76
Max Pain$72.52$69.00$74.00$69.00$74.00
ATM IV16.2%12.9%22.7%15.6%19.1%
Expected Move4.7%3.7%6.5%4.5%5.5%
HV 20d12.8%10.4%14.9%13.6%14.3%
HV 60d18.4%17.2%20.4%20.4%17.9%
IV Rank28.6%18.2%49.2%26.9%37.7%
IV Percentile52.7%36.1%85.7%51.2%65.9%
Term Structure1.6%-1.6%5.6%1.6%1.6%
VWIV15.1%9.4%20.7%14.4%18.5%
Skew 25d4.1%-1.3%6.7%4.2%2.8%
Skew 10d6.2%-0.8%14.3%5.0%8.1%
Call IV 25d14.5%10.9%19.6%13.4%17.8%
Put IV 25d18.6%16.3%25.2%17.6%20.5%
Bid-Ask Spread %89.2471.34100.1794.9175.97
Gamma HHI0.140.130.160.130.15
Net GEX180.8K95.2K224.3K174.4K95.2K
Net DEX-1.5M-2.4M-517.6K-1.2M-517.6K
Net VEX-5.7K-6.5K-4.2K-5.6K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.000.750.430.33
Total Volume851292242292
Total OI632.435596695601603

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$73.56$69.0015.6%4.5%13.6%26.9%14.4%4.2%1.6%174.4K-1.2M-5.6K0.4394.91N/AN/A1697351487
2022-08-02$73.30$69.0014.0%4.0%13.4%21.7%15.0%1.5%5.6%176.6K-1.2M-5.8K0.5097.52N/AN/A1467351787
2022-08-03$74.05$69.0012.9%3.7%13.4%18.2%12.1%3.6%2.7%204.6K-1.3M-5.7K0.5284.83N/AN/A1467652887
2022-08-04$73.84$73.0015.8%4.8%13.5%27.4%14.5%5.9%1.2%181.5K-1.3M-5.8K0.5291.12N/AN/A1467653090
2022-08-05$73.93$73.0014.8%4.6%13.4%24.4%14.4%5.7%2.2%183.0K-1.3M-5.7K0.5291.23N/AN/A1467653090
2022-08-08$74.24$73.0016.0%4.8%13.2%28.0%15.0%4.3%0.8%191.1K-1.4M-5.7K0.5286.64N/AN/A1467653090
2022-08-09$74.12$73.0015.9%4.8%12.5%27.8%0.0%4.5%0.8%196.8K-1.4M-5.6K0.0088.04N/AN/A14053090
2022-08-10$75.01$73.0015.8%4.5%12.9%27.3%13.6%2.5%1.2%203.0K-1.7M-5.9K0.00100.17N/AN/A49054490
2022-08-11$74.60$73.0014.9%4.3%13.0%24.2%13.0%2.9%1.1%224.3K-1.9M-6.3K0.1092.74N/AN/A10157290
2022-08-12$75.67$73.0014.3%4.1%13.4%22.6%15.2%6.7%2.6%203.9K-2.0M-6.2K0.0794.98N/AN/A30257791
2022-08-15$76.27$73.0014.6%4.2%12.1%23.5%14.5%3.1%2.6%220.1K-2.2M-6.4K0.0094.90N/AN/A30058391
2022-08-16$76.67$73.0013.9%4.0%10.4%21.2%14.5%3.5%4.4%209.9K-2.4M-6.4K0.7590.71N/AN/A8659191
2022-08-17$76.38$73.0015.1%4.3%10.6%25.1%15.1%3.7%2.6%190.3K-2.3M-6.4K0.0094.70N/AN/A9059297
2022-08-18$76.34$73.0014.8%4.2%10.7%23.8%15.3%5.2%3.0%193.3K-2.3M-6.4K0.0096.53N/AN/A7059297
2022-08-19$75.84$73.0014.5%4.2%11.0%23.2%13.7%4.0%3.5%211.0K-2.2M-6.5K0.0489.30N/AN/A25159897
2022-08-22$74.73$73.0017.5%5.0%12.6%32.7%19.8%4.9%-1.6%174.2K-1.5M-6.2K0.0981.50N/AN/A47453790
2022-08-23$74.31$73.0017.4%5.0%12.9%32.4%0.0%4.3%1.8%167.4K-1.2M-5.5K0.0090.87N/AN/A0150294
2022-08-24$74.42$73.0017.3%5.0%12.0%31.9%13.8%5.4%0.7%171.3K-1.1M-5.5K0.0071.34N/AN/A2050795
2022-08-25$74.81$73.0016.6%4.7%11.5%29.6%9.4%4.2%-0.1%183.9K-1.2M-5.4K0.0080.28N/AN/A6050795
2022-08-26$73.06$73.0019.7%5.6%14.2%39.6%16.8%4.9%-1.5%162.3K-1.0M-5.3K0.2093.28N/AN/A5151095
2022-08-29$72.78$73.0022.7%6.5%14.2%49.2%20.7%6.7%0.4%122.0K-729.5K-4.7K0.2179.24N/AN/A29650896
2022-08-30$71.80$73.0019.8%5.7%14.9%39.8%17.6%-1.3%-0.7%117.3K-640.2K-4.5K0.0591.80N/AN/A20152292
2022-08-31$71.76$74.0019.1%5.5%14.3%37.7%18.5%2.8%1.6%95.2K-517.6K-4.2K0.3375.97N/AN/A2207251093