USMV Options History — September 2022

In September 2022, USMV traded between $66.38 and $73.94. ATM implied volatility averaged 21.5%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.5% (HV 20d: 18.0%). Max pain ranged from $68.00 to $74.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2022-09-28: Highest Volume — 946 contracts
  • 2022-09-12: Largest IV spike — 20.1% change
  • 2022-09-27: Highest IV Rank — 59.0%
  • 2022-09-27: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.25$66.38$73.94$71.88$66.38
Max Pain$70.86$68.00$74.00$74.00$70.00
ATM IV21.5%17.7%26.0%19.5%24.7%
Expected Move6.0%5.0%7.5%5.6%7.1%
HV 20d18.0%14.3%21.0%14.3%21.0%
HV 60d16.4%15.4%17.9%17.9%16.7%
IV Rank44.2%31.9%59.0%38.3%54.5%
IV Percentile77.1%57.9%97.2%67.5%93.7%
Term Structure-0.2%-1.6%2.4%0.1%-1.6%
VWIV20.0%16.4%26.5%17.4%21.7%
Skew 25d4.9%2.1%7.9%4.0%5.7%
Skew 10d9.6%-0.7%20.3%11.9%10.0%
Call IV 25d18.6%14.3%22.5%17.9%21.0%
Put IV 25d23.6%19.2%28.2%21.8%26.7%
Bid-Ask Spread %81.7574.7896.1576.9977.76
Gamma HHI0.240.120.660.150.66
Net GEX24.5K-240.0K206.3K100.0K-240.0K
Net DEX-68.1K-1.0M2.0M-497.7K2.0M
Net VEX-4.7K-8.8K-2.8K-4.0K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0025.000.001.05
Total Volume254.85709462487
Total OI655.0483431,1146021,114

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$71.88$74.0019.5%5.6%14.3%38.3%17.4%4.0%0.1%100.0K-497.7K-4.0K0.0076.99N/AN/A2051092
2022-09-02$71.09$74.0019.9%5.7%14.7%39.0%0.0%3.5%-0.6%84.5K-480.7K-3.9K0.0080.23N/AN/A0051192
2022-09-06$71.19$74.0021.2%5.5%14.6%43.2%20.5%4.1%-0.2%81.3K-388.0K-3.6K0.3582.56N/AN/A2017151192
2022-09-07$72.55$74.0017.8%5.2%16.4%32.2%17.6%5.9%-0.5%117.5K-567.6K-3.9K0.3478.35N/AN/A2067151193
2022-09-08$72.60$72.0021.0%5.8%15.7%42.6%19.5%5.4%-0.2%100.9K-557.1K-3.9K0.0496.15N/AN/A25151793
2022-09-09$73.67$72.0017.7%5.3%16.6%31.9%16.4%5.7%2.4%165.7K-848.8K-4.4K0.0088.98N/AN/A43053793
2022-09-12$73.94$70.0021.3%5.0%15.8%43.6%16.9%3.6%0.6%206.3K-1.0M-4.5K0.0087.60N/AN/A18054893
2022-09-13$71.50$70.0023.3%5.9%19.1%50.0%19.3%4.6%0.8%78.5K-498.2K-3.8K0.2874.78N/AN/A2908055893
2022-09-14$71.58$68.0019.9%5.7%18.9%39.0%17.6%4.9%0.7%66.3K-488.8K-3.7K0.9282.93N/AN/A131256098
2022-09-15$71.06$70.0019.5%5.6%19.0%37.8%0.0%4.3%1.1%47.1K-436.7K-3.7K0.0079.95N/AN/A10573102
2022-09-16$70.56$70.0020.2%5.8%19.0%40.0%18.6%5.0%-0.2%43.0K-377.9K-3.5K0.3382.04N/AN/A26789573102
2022-09-19$70.83$70.0020.1%5.8%19.1%39.7%19.4%4.3%-0.1%61.1K-518.5K-3.5K0.0783.75N/AN/A15130934
2022-09-20$70.24$70.0018.8%5.4%18.8%35.5%18.4%4.2%-0.1%59.1K-469.4K-3.4K0.6082.87N/AN/A5332835
2022-09-21$69.31$70.0022.4%6.4%19.1%47.0%18.4%2.1%-1.0%55.5K-461.5K-3.5K0.0088.37N/AN/A4033138
2022-09-22$69.37$70.0021.6%6.2%19.1%44.5%0.0%4.0%-0.1%50.7K-379.4K-3.2K0.0081.87N/AN/A0032938
2022-09-23$68.22$70.0023.8%6.8%19.3%51.9%0.0%7.9%-0.8%40.1K-275.0K-2.8K25.0080.72N/AN/A820032938
2022-09-26$67.43$70.0024.7%7.1%18.2%54.5%24.7%6.3%-1.2%16.8K-24.7K-5.2K4.4976.14N/AN/A170764337238
2022-09-27$66.76$70.0026.0%7.5%18.3%59.0%26.5%5.0%-0.9%-204.6K1.8M-8.7K4.4778.80N/AN/A171765337761
2022-09-28$68.23$70.0023.2%6.7%20.2%49.9%24.8%7.2%-1.0%-194.0K1.3M-8.8K4.3877.25N/AN/A176770337762
2022-09-29$66.90$70.0024.6%7.0%21.0%54.2%22.8%5.5%-1.3%-221.8K1.8M-8.7K1.4378.64N/AN/A174249342767
2022-09-30$66.38$70.0024.7%7.1%21.0%54.5%21.7%5.7%-1.6%-240.0K2.0M-8.4K1.0577.76N/AN/A238249344770