USMV Options History — December 2022

In December 2022, USMV traded between $71.53 and $75.44. ATM implied volatility averaged 19.9%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.4% (HV 20d: 15.5%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-12-20: Highest Volume — 452 contracts
  • 2022-12-14: Largest IV drop — 42.0% change
  • 2022-12-12: Highest IV Rank — 76.6%
  • 2022-12-12: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.23$71.53$75.44$75.44$72.00
Max Pain$72.95$70.00$75.00$70.00$73.00
ATM IV19.9%16.6%31.4%18.7%17.2%
Expected Move5.0%4.8%5.4%5.4%4.9%
HV 20d15.5%12.9%17.9%17.0%13.8%
HV 60d19.4%18.0%20.7%20.7%18.0%
IV Rank36.1%23.4%76.6%34.9%25.4%
IV Percentile48.1%25.4%99.6%41.7%28.2%
Term Structure0.4%-2.3%1.7%-2.3%1.1%
VWIV17.4%14.4%20.7%19.5%15.1%
Skew 25d3.2%1.5%4.5%4.0%3.3%
Skew 10d7.4%2.4%12.4%8.7%5.2%
Call IV 25d15.4%14.4%17.5%15.7%15.0%
Put IV 25d18.6%16.9%19.9%19.7%18.2%
Bid-Ask Spread %76.1561.7496.6873.0461.77
Gamma HHI0.150.110.230.160.15
Net GEX107.1K26.5K179.1K154.2K68.6K
Net DEX-800.6K-1.6M-305.6K-1.6M-425.1K
Net VEX-3.9K-4.3K-3.2K-4.3K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.0011.910.001.00
Total Volume33.476045252
Total OI8105001,0727371,070

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$75.44$70.0018.7%5.4%17.0%34.9%19.5%4.0%-2.3%154.2K-1.6M-4.3K0.0073.04N/AN/A50454283
2022-12-02$75.38$70.0018.4%5.3%16.5%33.9%20.7%4.5%-2.3%164.2K-1.6M-4.2K0.2975.57N/AN/A72452283
2022-12-05$74.38$72.0021.2%4.9%17.6%43.2%20.3%1.8%0.9%159.7K-1.4M-4.1K0.0085.44N/AN/A023451284
2022-12-06$73.80$72.0022.4%5.1%17.9%47.2%0.0%2.2%0.1%146.9K-1.2M-4.0K0.0086.04N/AN/A00451297
2022-12-07$73.84$72.0023.5%5.2%17.7%50.5%17.5%3.9%0.2%150.4K-1.1M-4.3K0.5063.24N/AN/A21451297
2022-12-08$74.25$75.0022.7%5.0%16.8%47.8%0.0%4.4%1.6%153.0K-1.2M-4.1K1.0072.14N/AN/A22449298
2022-12-09$73.84$75.0022.8%5.3%12.9%48.2%16.8%3.9%-0.0%157.0K-1.1M-4.0K0.0373.11N/AN/A331449298
2022-12-12$74.69$75.0031.4%5.4%13.4%76.6%17.3%4.0%-0.7%143.6K-1.3M-4.2K1.0061.74N/AN/A22450298
2022-12-13$74.59$75.0029.5%5.2%13.4%68.3%18.0%1.5%-0.7%154.1K-800.6K-4.0K0.1870.19N/AN/A346381297
2022-12-14$74.15$73.0017.1%4.9%13.7%25.2%16.3%3.1%0.4%179.1K-739.6K-4.3K0.0088.84N/AN/A60393303
2022-12-15$72.70$73.0017.1%4.9%15.6%25.0%0.0%3.3%0.2%121.2K-527.7K-3.8K0.0091.61N/AN/A70395293
2022-12-16$72.25$73.0017.3%5.0%15.7%26.0%17.8%3.2%1.7%74.5K-412.0K-3.6K0.0096.68N/AN/A02402283
2022-12-19$71.53$73.0017.9%5.1%15.5%28.0%14.4%2.3%0.7%26.5K-307.2K-3.4K0.0085.33N/AN/A90232268
2022-12-20$71.82$73.0016.7%4.8%15.5%23.7%14.8%3.6%1.3%30.5K-305.6K-3.2K11.9179.21N/AN/A35417241268
2022-12-21$72.41$73.0016.6%4.8%15.4%23.4%15.2%3.3%1.5%37.0K-356.8K-3.4K0.0379.30N/AN/A381272719
2022-12-22$71.72$73.0017.0%4.9%15.6%24.9%19.6%3.5%1.2%53.0K-387.0K-3.7K0.5071.69N/AN/A42310719
2022-12-23$72.25$73.0016.9%4.8%15.8%24.3%0.0%3.5%1.3%61.0K-458.4K-3.6K0.0073.99N/AN/A230311720
2022-12-27$72.56$73.0017.5%5.0%15.5%26.4%16.1%2.8%0.7%67.6K-529.5K-3.8K0.1768.63N/AN/A234326720
2022-12-28$71.73$73.0018.1%5.2%16.0%28.6%18.2%3.3%0.5%67.1K-461.4K-3.8K0.5069.65N/AN/A21349721
2022-12-29$72.50$73.0017.4%5.0%13.8%26.0%15.1%2.5%1.5%80.5K-533.3K-3.8K0.2572.02N/AN/A41351721
2022-12-30$72.00$73.0017.2%4.9%13.8%25.4%0.0%3.3%1.1%68.6K-425.1K-3.5K1.0061.77N/AN/A11348722