USMV Options History — May 2023

In May 2023, USMV traded between $71.56 and $74.12. ATM implied volatility averaged 11.6%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.5% (HV 20d: 10.1%). Max pain ranged from $67.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2023-05-05: Highest Volume — 35 contracts
  • 2023-05-19: Largest IV spike — 30.3% change
  • 2023-05-24: Highest IV Rank — 15.7%
  • 2023-05-04: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.88$71.56$74.12$74.12$71.65
Max Pain$67.41$67.00$70.00$70.00$67.00
ATM IV11.6%8.3%13.8%11.2%10.3%
Expected Move3.4%2.4%4.3%3.2%2.9%
HV 20d10.1%7.6%10.9%9.7%7.6%
HV 60d11.2%10.9%11.5%11.2%10.9%
IV Rank7.0%0.0%15.7%1.9%7.0%
IV Percentile4.2%0.0%11.9%0.4%0.4%
Term Structure1.0%-0.5%4.9%-0.2%0.5%
VWIV12.2%6.2%28.9%11.0%11.0%
Skew 25d5.0%1.8%7.8%4.3%5.2%
Skew 10d6.4%0.6%15.4%8.0%5.9%
Call IV 25d9.4%6.3%12.4%8.5%8.5%
Put IV 25d14.3%10.2%17.9%12.8%13.6%
Bid-Ask Spread %86.9545.37109.9383.2987.98
Gamma HHI0.140.120.170.120.14
Net GEX124.1K71.1K180.1K125.8K71.1K
Net DEX-1.4M-1.7M-1.1M-1.7M-1.1M
Net VEX-3.6K-4.5K-2.4K-4.5K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.800.000.00
Total Volume5.503551
Total OI585.182557610557577

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$74.12$70.0011.2%3.2%9.7%1.9%0.0%4.3%-0.2%125.8K-1.7M-4.5K0.0083.29N/AN/A50432125
2023-05-02$73.38$70.0013.4%3.9%10.2%10.0%11.0%4.2%1.1%112.3K-1.5M-4.4K0.0059.95N/AN/A01435125
2023-05-03$73.30$70.0013.8%4.0%10.1%11.4%0.0%3.5%-0.1%118.2K-1.5M-4.4K0.00101.29N/AN/A00435125
2023-05-04$72.73$67.0013.8%4.3%10.1%11.2%0.0%6.7%0.7%107.6K-1.4M-4.5K0.0090.50N/AN/A06435125
2023-05-05$73.53$67.0010.9%3.5%10.8%0.8%10.4%6.4%0.4%112.0K-1.5M-4.2K0.0095.59N/AN/A350435131
2023-05-08$73.50$67.0012.5%3.8%10.8%6.6%6.2%5.7%0.7%142.5K-1.6M-4.5K0.0079.85N/AN/A10470131
2023-05-09$73.34$67.0013.0%3.9%10.8%8.3%0.0%6.0%-0.0%135.9K-1.5M-4.3K0.0089.60N/AN/A00471131
2023-05-10$73.63$67.0012.3%3.5%10.9%6.1%0.0%6.9%2.6%140.8K-1.6M-4.3K0.00108.80N/AN/A50471131
2023-05-11$73.31$67.0010.9%3.1%10.6%1.1%0.0%7.8%4.2%136.4K-1.6M-4.2K0.00104.26N/AN/A00476131
2023-05-12$73.41$67.0012.1%3.5%10.4%5.7%8.9%7.0%0.7%140.3K-1.6M-3.9K0.0098.92N/AN/A20476131
2023-05-15$73.38$67.0010.6%3.0%10.4%0.0%11.2%2.1%1.7%140.4K-1.6M-3.6K0.00109.93N/AN/A30477131
2023-05-16$72.75$67.0011.7%3.4%10.8%4.3%0.0%7.2%2.9%152.4K-1.6M-3.6K0.0099.04N/AN/A10479131
2023-05-17$72.88$67.0011.1%3.2%10.8%1.9%28.9%1.8%2.6%130.1K-1.4M-3.2K0.00108.06N/AN/A270478131
2023-05-18$72.97$67.008.3%2.4%10.8%0.0%0.0%7.7%4.9%128.7K-1.5M-3.4K0.00102.79N/AN/A10474131
2023-05-19$73.13$67.0010.8%3.1%10.7%9.1%9.6%3.9%-0.5%180.1K-1.5M-3.2K0.0086.89N/AN/A110475131
2023-05-22$73.02$67.0010.8%3.1%10.7%9.1%14.0%3.9%0.4%134.6K-1.5M-3.1K0.0074.97N/AN/A01456111
2023-05-23$72.38$67.0012.6%3.6%10.9%15.3%10.9%4.0%-0.5%118.3K-1.3M-3.1K0.6074.26N/AN/A53457113
2023-05-24$71.84$67.0012.7%3.6%10.1%15.7%0.0%6.0%-0.3%102.7K-1.2M-2.9K0.0073.59N/AN/A30458116
2023-05-25$71.66$67.0011.0%3.1%8.8%9.5%13.1%4.0%0.4%97.6K-1.1M-2.8K0.8065.66N/AN/A54456116
2023-05-26$71.82$67.0011.1%3.2%8.6%10.0%0.0%3.0%0.2%100.4K-1.1M-2.6K0.0072.21N/AN/A00460117
2023-05-30$71.56$67.0011.1%3.2%8.2%9.9%11.4%2.4%-0.3%102.3K-1.1M-2.5K0.0045.37N/AN/A10460117
2023-05-31$71.65$67.0010.3%2.9%7.6%7.0%11.0%5.2%0.5%71.1K-1.1M-2.4K0.0087.98N/AN/A10460117