USMV Options History — October 2022

In October 2022, USMV traded between $65.97 and $71.60. ATM implied volatility averaged 23.5%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.8% (HV 20d: 22.8%). Max pain ranged from $62.00 to $70.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2022-10-21: Highest Volume — 624 contracts
  • 2022-10-12: Largest IV drop — 9.0% change
  • 2022-10-11: Highest IV Rank — 65.1%
  • 2022-10-12: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.12$65.97$71.60$67.75$71.34
Max Pain$64.19$62.00$70.00$70.00$62.00
ATM IV23.5%21.1%27.9%22.9%22.3%
Expected Move6.7%6.1%7.3%6.6%6.4%
HV 20d22.8%20.4%24.1%22.5%21.7%
HV 60d18.7%17.3%19.9%17.3%19.9%
IV Rank50.8%43.1%65.1%48.9%46.6%
IV Percentile83.2%64.3%99.2%84.1%72.6%
Term Structure-0.4%-2.0%1.1%-1.3%1.1%
VWIV21.9%18.4%24.8%21.9%23.9%
Skew 25d4.1%0.1%10.8%5.4%0.1%
Skew 10d7.4%0.3%19.0%13.2%5.6%
Call IV 25d21.2%17.6%23.6%20.5%21.3%
Put IV 25d25.3%21.4%28.3%25.9%21.4%
Bid-Ask Spread %78.3563.3799.6375.1090.26
Gamma HHI0.460.100.730.570.12
Net GEX-216.3K-691.8K112.0K-220.5K107.3K
Net DEX508.6K-1.6M2.2M1.2M-1.6M
Net VEX-6.7K-8.6K-5.0K-8.6K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.681.051.050.74
Total Volume552.905487624488578
Total OI1,104.7627251,3561,181771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$67.75$70.0022.9%6.6%22.5%48.9%21.9%5.4%-1.3%-220.5K1.2M-8.6K1.0575.10N/AN/A238250410771
2022-10-04$69.00$70.0022.7%6.5%23.7%48.0%21.8%4.8%-1.2%-177.0K646.8K-8.4K1.0577.04N/AN/A237250410771
2022-10-05$69.09$70.0021.9%6.3%22.4%45.7%21.9%4.1%-0.4%-168.3K516.1K-8.2K1.0572.77N/AN/A237250420771
2022-10-06$67.90$65.0022.7%6.3%23.0%48.0%19.7%4.8%0.0%-245.2K1.2M-8.3K1.0563.37N/AN/A237250420771
2022-10-07$66.27$65.0024.3%6.9%23.1%53.2%19.8%3.1%-1.0%-282.5K2.1M-7.7K0.9976.95N/AN/A253250420771
2022-10-10$66.43$65.0025.8%7.1%23.1%58.1%21.4%6.1%-1.3%-307.1K2.0M-7.4K1.0173.71N/AN/A247250435771
2022-10-11$66.21$65.0027.9%7.3%20.5%65.1%24.3%4.9%0.0%-260.3K2.1M-7.3K1.0174.02N/AN/A247250446771
2022-10-12$65.97$65.0025.4%7.3%20.4%57.0%24.8%4.5%-2.0%-281.4K2.2M-7.3K1.0275.91N/AN/A245250447771
2022-10-13$67.14$65.0024.2%6.9%21.8%52.9%22.7%10.8%-0.2%-356.2K1.9M-7.2K0.9197.28N/AN/A275250446772
2022-10-14$66.04$64.0025.2%7.2%22.3%56.2%18.4%4.2%0.7%-305.9K1.5M-7.3K0.9199.63N/AN/A276250460772
2022-10-17$67.29$64.0023.9%6.8%23.5%52.0%22.9%4.8%-0.9%-463.5K1.4M-6.6K0.7377.70N/AN/A358263461772
2022-10-18$67.91$62.0023.4%6.7%23.7%50.4%24.0%3.7%-0.2%-448.0K257.2K-6.7K0.7771.28N/AN/A346265553794
2022-10-19$67.29$62.0024.2%6.9%23.5%53.1%24.3%3.6%-1.6%-611.1K817.5K-6.6K0.7670.13N/AN/A348265556797
2022-10-20$66.75$62.0022.9%6.6%23.6%48.8%23.8%1.1%0.9%-691.8K1.2M-5.9K0.7685.41N/AN/A348265559797
2022-10-21$68.03$62.0023.2%6.6%24.0%49.6%18.9%2.7%-1.7%-259.4K-629.1K-5.3K0.7483.36N/AN/A359265559796
2022-10-24$68.96$62.0023.5%6.7%24.1%50.6%19.8%3.7%-0.4%65.2K-919.1K-5.0K0.7585.08N/AN/A327245479246
2022-10-25$69.74$62.0022.5%6.5%24.0%47.5%22.4%3.6%0.3%76.4K-1.1M-5.5K0.7166.82N/AN/A347246490249
2022-10-26$69.90$62.0022.4%6.4%22.9%47.3%19.7%3.7%0.6%85.5K-1.2M-5.6K0.6872.57N/AN/A360246512250
2022-10-27$69.92$62.0021.6%6.2%21.5%44.4%20.3%1.8%0.2%89.3K-1.3M-5.5K0.7076.87N/AN/A349246515250
2022-10-28$71.60$62.0021.1%6.1%22.4%43.1%23.9%4.7%0.9%112.0K-1.5M-5.8K0.7180.18N/AN/A347246518250
2022-10-31$71.34$62.0022.3%6.4%21.7%46.6%23.9%0.1%1.1%107.3K-1.6M-5.2K0.7490.26N/AN/A332246521250