USMV Options History — January 2023

In January 2023, USMV traded between $71.80 and $73.70. ATM implied volatility averaged 15.7%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.6% (HV 20d: 14.0%). Max pain ranged from $71.00 to $73.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 10.74.

Notable Days

  • 2023-01-24: Highest Volume — 420 contracts
  • 2023-01-09: Largest IV spike — 17.3% change
  • 2023-01-03: Highest IV Rank — 28.1%
  • 2023-01-05: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.74$71.80$73.70$72.03$72.88
Max Pain$71.20$71.00$73.00$73.00$71.00
ATM IV15.7%13.6%18.0%18.0%15.7%
Expected Move4.5%4.0%5.6%5.2%4.5%
HV 20d14.0%12.2%15.6%13.8%12.2%
HV 60d16.3%14.8%17.7%17.7%14.8%
IV Rank17.2%10.3%28.1%28.1%16.4%
IV Percentile16.6%6.0%35.7%35.7%16.3%
Term Structure0.2%-2.2%2.3%-0.1%-0.6%
VWIV14.8%8.8%19.4%19.4%15.9%
Skew 25d3.4%0.2%6.8%2.3%3.5%
Skew 10d5.9%2.6%10.3%3.5%4.9%
Call IV 25d14.0%10.6%16.3%16.3%14.4%
Put IV 25d17.4%15.8%19.2%18.6%17.9%
Bid-Ask Spread %78.0132.30104.1668.2440.33
Gamma HHI0.170.110.240.150.16
Net GEX74.2K4.1K147.3K72.1K68.0K
Net DEX-453.6K-715.7K-137.9K-451.6K-453.4K
Net VEX-3.7K-4.3K-3.3K-3.5K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.740.00180.000.200.14
Total Volume66.4504201224
Total OI1,198.56461,6201,0731,620

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$72.03$73.0018.0%5.2%13.8%28.1%19.4%2.3%-0.1%72.1K-451.6K-3.5K0.2068.24N/AN/A102350723
2023-01-04$72.20$73.0017.5%5.0%13.2%26.0%0.0%2.8%0.9%83.4K-523.8K-3.4K0.0076.62N/AN/A00356725
2023-01-05$71.95$71.0016.1%5.6%13.1%21.4%0.0%2.5%0.2%76.9K-455.3K-3.3K0.0080.16N/AN/A00356725
2023-01-06$73.59$71.0013.6%4.5%15.6%10.3%15.6%5.0%0.8%110.2K-637.7K-3.4K0.0088.96N/AN/A40356725
2023-01-09$73.06$71.0015.9%4.7%15.6%18.7%17.1%0.2%0.6%120.5K-687.9K-3.5K0.5090.23N/AN/A21360725
2023-01-10$73.06$71.0016.8%4.0%15.5%21.9%17.8%6.8%1.7%108.1K-604.2K-3.3K0.1097.03N/AN/A101361735
2023-01-11$73.59$71.0013.9%4.0%15.1%11.6%0.0%5.0%0.4%121.4K-704.5K-3.4K0.0091.95N/AN/A40371736
2023-01-12$73.41$71.0015.3%4.4%15.1%16.6%0.0%1.8%2.3%147.3K-715.7K-3.4K180.0090.12N/AN/A1180372736
2023-01-13$73.70$71.0014.3%4.1%15.1%11.4%13.9%5.2%0.3%134.6K-468.3K-4.1K0.8890.24N/AN/A2421372836
2023-01-17$73.34$71.0015.4%4.4%13.4%15.5%13.7%2.6%0.1%136.0K-496.5K-4.1K0.0083.10N/AN/A120391836
2023-01-18$72.09$71.0016.0%4.6%14.6%17.4%15.4%2.6%0.4%16.4K-195.6K-3.9K1.5082.64N/AN/A46391836
2023-01-19$71.80$71.0016.0%4.6%14.2%17.4%17.1%2.9%0.1%4.1K-137.9K-3.8K10.0083.11N/AN/A110393832
2023-01-20$72.19$71.0015.4%4.4%14.3%15.5%14.5%2.6%1.7%12.4K-165.2K-3.6K0.0089.26N/AN/A190394823
2023-01-23$72.62$71.0015.7%4.5%14.2%16.3%15.4%2.8%-0.1%21.5K-309.6K-3.7K0.0369.96N/AN/A2378290356
2023-01-24$72.59$71.0016.0%4.6%13.7%17.5%11.2%3.8%-2.2%29.4K-359.2K-4.1K0.00104.16N/AN/A4200526364
2023-01-25$72.69$71.0015.3%4.4%13.5%14.9%8.8%3.6%-0.3%43.9K-386.3K-3.9K0.0074.37N/AN/A2100942364
2023-01-26$72.78$71.0014.7%4.2%13.4%12.9%16.1%5.3%-0.2%74.7K-501.8K-4.3K0.0062.61N/AN/A6301,145364
2023-01-27$72.84$71.0014.9%4.3%12.6%13.5%13.0%3.4%-0.5%45.8K-416.3K-3.8K0.0464.86N/AN/A4821,205364
2023-01-30$72.41$71.0016.7%4.8%12.3%20.1%11.2%3.0%-0.9%57.6K-400.7K-3.9K0.0032.30N/AN/A501,248366
2023-01-31$72.88$71.0015.7%4.5%12.2%16.4%15.9%3.5%-0.6%68.0K-453.4K-3.9K0.1440.33N/AN/A2131,254366