USMV Options History — November 2022

In November 2022, USMV traded between $69.36 and $75.13. ATM implied volatility averaged 19.8%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.4% (HV 20d: 19.3%). Max pain ranged from $62.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2022-11-18: Highest Volume — 670 contracts
  • 2022-11-08: Largest IV spike — 29.1% change
  • 2022-11-08: Highest IV Rank — 52.2%
  • 2022-11-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.17$69.36$75.13$71.16$75.13
Max Pain$68.29$62.00$70.00$62.00$70.00
ATM IV19.8%16.6%23.9%22.4%18.7%
Expected Move5.7%4.7%6.4%6.4%5.4%
HV 20d19.3%16.9%21.9%20.9%18.6%
HV 60d20.6%19.9%21.2%19.9%21.0%
IV Rank38.5%28.0%52.2%47.0%34.9%
IV Percentile52.8%30.6%87.3%72.6%42.1%
Term Structure-0.1%-2.1%4.3%-0.4%-2.1%
VWIV19.1%11.2%21.5%21.3%12.1%
Skew 25d3.7%0.1%5.3%0.1%4.0%
Skew 10d8.1%4.9%12.3%6.5%11.5%
Call IV 25d17.2%13.9%20.7%20.7%16.1%
Put IV 25d20.9%17.9%23.8%20.8%20.0%
Bid-Ask Spread %82.8664.4395.4382.0577.96
Gamma HHI0.170.110.590.120.15
Net GEX144.7K65.9K448.4K107.5K141.9K
Net DEX-1.5M-2.1M-1.0M-1.6M-1.4M
Net VEX-4.4K-5.3K-3.8K-5.3K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.001.770.730.00
Total Volume466.381667058357
Total OI765.571640861771691

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$71.16$62.0022.4%6.4%20.9%47.0%21.3%0.1%-0.4%107.5K-1.6M-5.3K0.7382.05N/AN/A337246521250
2022-11-02$69.96$62.0019.7%5.7%21.9%38.5%21.4%4.7%4.3%105.3K-1.5M-5.1K0.7595.43N/AN/A337253526250
2022-11-03$69.36$69.0021.5%6.3%21.2%44.2%20.7%4.8%-0.9%65.9K-1.1M-4.8K0.7790.70N/AN/A328253526256
2022-11-04$69.70$67.0022.5%6.1%19.0%47.4%20.7%1.9%-1.1%79.5K-1.2M-4.7K0.7794.27N/AN/A328253525256
2022-11-07$70.38$67.0018.6%6.1%19.2%34.6%20.6%4.4%-0.9%94.0K-1.3M-4.7K0.7880.94N/AN/A328257525256
2022-11-08$71.02$69.0023.9%6.1%19.1%52.2%21.0%4.5%-2.0%103.7K-1.5M-4.9K0.7885.26N/AN/A328257523260
2022-11-09$70.10$69.0021.8%6.3%19.9%45.3%21.1%4.7%-1.1%107.8K-1.4M-5.0K0.7886.14N/AN/A328257543260
2022-11-10$72.41$69.0019.6%5.6%21.9%37.8%20.1%3.6%2.0%154.5K-1.9M-4.7K0.7884.74N/AN/A328257543260
2022-11-11$72.19$69.0020.0%5.7%20.7%39.1%19.0%2.9%-0.6%148.8K-1.8M-4.7K0.7487.19N/AN/A348257543260
2022-11-14$72.25$69.0021.1%6.0%20.1%42.8%21.5%3.8%2.3%163.0K-2.0M-4.3K0.6794.35N/AN/A382257564260
2022-11-15$72.31$69.0019.5%5.6%20.0%37.7%20.3%3.9%-0.1%170.4K-2.0M-4.4K0.6788.44N/AN/A382256597260
2022-11-16$72.28$69.0020.1%5.8%19.5%39.8%20.1%3.6%0.6%171.1K-2.0M-4.0K0.6888.20N/AN/A382258597260
2022-11-17$72.05$69.0019.0%5.4%19.2%36.0%19.6%3.3%-0.5%172.2K-1.7M-4.2K0.6885.12N/AN/A382258600261
2022-11-18$72.90$69.0018.7%5.4%18.6%35.0%19.0%5.3%1.3%448.4K-2.1M-3.9K0.6381.29N/AN/A412258600260
2022-11-21$73.15$69.0019.0%5.5%18.2%36.1%19.6%4.0%-0.7%117.8K-1.1M-4.1K1.6577.60N/AN/A147242394246
2022-11-22$73.84$69.0017.6%5.0%18.1%31.4%16.6%4.3%-0.5%136.6K-1.3M-4.0K1.7671.33N/AN/A145255404246
2022-11-23$74.07$69.0016.6%4.7%18.1%28.0%18.6%4.1%0.1%142.3K-1.3M-4.2K1.7776.85N/AN/A145257418261
2022-11-25$74.34$69.0017.1%4.9%18.1%29.8%11.2%3.5%0.8%148.4K-1.4M-3.8K0.0080.37N/AN/A019418263
2022-11-28$73.55$70.0017.8%5.1%16.9%32.2%17.7%3.2%-0.6%133.2K-1.1M-4.3K0.4067.34N/AN/A104418281
2022-11-29$73.37$70.0020.2%5.8%16.9%39.7%0.0%3.9%-1.6%125.6K-1.0M-4.1K0.0064.43N/AN/A60412283
2022-11-30$75.13$70.0018.7%5.4%18.6%34.9%12.1%4.0%-2.1%141.9K-1.4M-4.1K0.0077.96N/AN/A570408283