USMV Options History — February 2023 In February 2023, USMV traded between $70.72 and $73.91. ATM implied volatility averaged 15.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.3% (HV 20d: 10.9%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.58.
Notable Days 2023-02-27 : Highest Volume — 38 contracts2023-02-21 : Largest IV spike — 30.2% change2023-02-01 : Highest IV Rank — 20.6%2023-02-01 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $72.42 $70.72 $73.91 $73.91 $70.72 Max Pain $70.58 $70.00 $71.00 $71.00 $71.00 ATM IV 15.3% 12.8% 16.8% 16.8% 14.8% Expected Move 4.3% 3.7% 4.8% 4.8% 4.2% HV 20d 10.9% 9.3% 13.6% 13.1% 10.5% HV 60d 13.6% 12.1% 15.0% 14.9% 12.1% IV Rank 14.8% 5.8% 20.6% 20.6% 13.2% IV Percentile 15.7% 2.0% 27.8% 27.0% 12.3% Term Structure 0.6% -1.7% 6.3% -1.7% 0.3% VWIV 15.2% 12.9% 18.1% 15.1% 18.1% Skew 25d 4.1% 2.2% 7.4% 4.4% 2.2% Skew 10d 7.9% 2.0% 13.4% 2.6% 5.6% Call IV 25d 13.1% 10.2% 15.0% 13.7% 13.8% Put IV 25d 17.2% 15.8% 20.2% 18.1% 16.0% Bid-Ask Spread % 63.70 49.45 82.86 64.00 55.12 Gamma HHI 0.18 0.14 0.26 0.15 0.26 Net GEX 54.5K -30.8K 115.5K 115.4K -27.1K Net DEX -404.4K -739.8K 11.0K -733.3K 11.0K Net VEX -3.7K -4.4K -3.0K -4.2K -3.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.00 2.50 0.05 0.11 Total Volume 11.737 0 38 20 10 Total OI 1,387.632 718 1,697 1,647 799
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-02-01 $73.91 $71.00 16.8% 4.8% 13.1% 20.6% 0.0% 4.4% -1.7% 115.4K -733.3K -4.2K 0.05 64.00 N/A N/A 19 1 1,278 369 2023-02-02 $73.45 $70.00 15.3% 4.2% 13.4% 14.9% 15.1% 3.7% 0.8% 115.5K -739.8K -4.1K 0.77 50.43 N/A N/A 13 10 1,290 370 2023-02-03 $72.91 $70.00 14.3% 4.1% 13.6% 11.4% 16.3% 4.3% 2.0% 97.1K -638.9K -4.4K 0.00 58.05 N/A N/A 0 5 1,304 372 2023-02-06 $72.81 $70.00 16.7% 4.3% 10.9% 20.2% 0.0% 3.9% 0.7% 86.5K -565.2K -4.2K 1.00 59.45 N/A N/A 1 1 1,304 376 2023-02-07 $73.10 $70.00 15.5% 4.2% 10.7% 15.8% 13.6% 5.1% 0.8% 92.8K -545.2K -4.1K 0.00 67.24 N/A N/A 5 0 1,305 377 2023-02-08 $72.48 $70.00 15.8% 4.5% 11.1% 16.8% 0.0% 3.4% 0.1% 74.4K -470.3K -4.0K 2.00 49.45 N/A N/A 1 2 1,305 377 2023-02-09 $72.16 $70.00 14.7% 4.2% 10.8% 12.9% 16.5% 2.5% -0.4% 81.7K -475.5K -4.1K 2.50 69.80 N/A N/A 2 5 1,306 377 2023-02-10 $72.69 $70.00 15.7% 4.5% 11.2% 16.3% 13.9% 7.4% 0.1% 69.7K -394.3K -3.8K 0.50 68.92 N/A N/A 4 2 1,304 378 2023-02-13 $73.22 $70.00 16.1% 4.6% 11.4% 17.7% 15.3% 4.0% -0.2% 104.7K -590.3K -3.9K 0.31 61.66 N/A N/A 16 5 1,306 379 2023-02-14 $72.91 $71.00 14.2% 4.1% 11.4% 10.9% 0.0% 4.4% 1.5% 82.1K -519.2K -3.6K 0.00 68.43 N/A N/A 20 0 1,313 384 2023-02-15 $72.81 $71.00 13.7% 3.9% 9.5% 9.3% 0.0% 3.6% 1.0% 67.4K -433.3K -3.5K 0.00 55.78 N/A N/A 0 0 1,309 384 2023-02-16 $72.59 $71.00 13.7% 3.9% 9.5% 9.1% 0.0% 4.0% 6.3% 60.4K -417.5K -3.4K 1.00 58.21 N/A N/A 1 1 1,309 384 2023-02-17 $72.81 $71.00 12.8% 3.7% 9.3% 5.8% 12.9% 5.8% -0.3% 60.0K -381.5K -3.2K 0.10 82.18 N/A N/A 10 1 1,309 385 2023-02-21 $72.06 $71.00 16.6% 4.8% 9.8% 19.8% 14.7% 5.6% -0.2% 15.5K -342.6K -3.7K 0.00 82.86 N/A N/A 11 0 342 376 2023-02-22 $71.52 $71.00 16.2% 4.6% 10.2% 18.2% 0.0% 3.0% -0.2% 2.0K -221.4K -3.2K 0.00 78.08 N/A N/A 10 0 353 376 2023-02-23 $71.66 $71.00 15.0% 4.3% 10.2% 13.8% 13.7% 4.0% -0.5% -9.7K -179.8K -3.2K 0.92 61.20 N/A N/A 13 12 364 376 2023-02-24 $71.02 $71.00 16.2% 4.6% 10.6% 18.2% 17.3% 3.6% 0.5% -21.9K -14.3K -3.1K 0.00 60.65 N/A N/A 0 4 375 387 2023-02-27 $71.07 $71.00 15.8% 4.5% 10.6% 16.7% 14.7% 2.3% 0.3% -30.8K -31.4K -3.1K 0.00 58.77 N/A N/A 38 0 374 389 2023-02-28 $70.72 $71.00 14.8% 4.2% 10.5% 13.2% 18.1% 2.2% 0.3% -27.1K 11.0K -3.0K 0.11 55.12 N/A N/A 9 1 410 389
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