USMV Options History — June 2023

In June 2023, USMV traded between $71.57 and $74.38. ATM implied volatility averaged 9.6%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.9% (HV 20d: 8.6%). Max pain ranged from $60.00 to $73.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.07.

Notable Days

  • 2023-06-30: Highest Volume — 205 contracts
  • 2023-06-14: Largest IV drop — 33.0% change
  • 2023-06-13: Highest IV Rank — 18.8%
  • 2023-06-06: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.94$71.57$74.38$71.57$74.38
Max Pain$68.62$60.00$73.00$67.00$73.00
ATM IV9.6%7.7%13.5%9.7%7.7%
Expected Move2.6%2.2%2.8%2.8%2.2%
HV 20d8.6%7.6%10.2%7.6%10.2%
HV 60d9.8%9.1%11.0%10.6%9.4%
IV Rank4.6%0.0%18.8%4.9%0.0%
IV Percentile2.7%0.0%20.6%0.4%0.0%
Term Structure1.3%-0.6%4.1%0.3%3.0%
VWIV11.8%8.4%25.9%9.3%12.9%
Skew 25d2.4%-2.1%6.8%1.8%3.7%
Skew 10d4.6%-0.4%8.8%0.4%1.1%
Call IV 25d7.9%4.8%10.3%9.4%5.3%
Put IV 25d10.3%8.2%11.8%11.2%9.0%
Bid-Ask Spread %65.4446.0694.3271.5366.80
Gamma HHI0.200.130.490.150.24
Net GEX144.6K73.0K280.4K73.0K280.4K
Net DEX-813.2K-1.8M-325.9K-1.1M-1.8M
Net VEX-3.3K-5.3K-2.2K-2.3K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.800.000.03
Total Volume30.23802052205
Total OI465.143311599578551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$71.57$67.009.7%2.8%7.6%4.9%0.0%1.8%0.3%73.0K-1.1M-2.3K0.0071.53N/AN/A20461117
2023-06-02$72.53$67.008.4%2.4%8.8%0.3%9.3%0.6%0.6%117.9K-1.3M-2.5K0.0064.31N/AN/A20463117
2023-06-05$72.41$71.0011.1%2.6%7.8%9.9%0.0%3.0%4.1%120.0K-1.3M-2.2K0.0094.32N/AN/A210465117
2023-06-06$72.13$71.009.0%2.8%7.9%2.6%9.8%2.4%2.0%114.1K-1.2M-2.6K0.0070.42N/AN/A60482117
2023-06-07$71.88$71.009.9%2.7%7.9%5.7%0.0%5.1%1.6%107.6K-325.9K-2.3K0.0077.97N/AN/A20355117
2023-06-08$72.30$71.009.9%2.7%8.1%5.6%8.4%6.8%1.1%118.5K-369.6K-2.7K0.2073.16N/AN/A51356117
2023-06-09$72.35$71.0010.4%2.8%8.0%7.6%8.4%3.1%1.2%130.4K-399.3K-2.5K0.0069.63N/AN/A20366117
2023-06-12$72.66$71.0010.7%2.7%8.2%8.6%0.0%2.0%-0.6%143.2K-513.6K-2.8K0.1070.38N/AN/A101367117
2023-06-13$72.85$71.0013.5%2.7%8.2%18.8%0.0%2.3%0.9%156.7K-584.1K-2.8K0.0064.22N/AN/A270377118
2023-06-14$72.88$71.009.1%2.6%7.6%2.7%25.9%2.1%1.2%160.2K-641.3K-2.9K0.0074.87N/AN/A280390118
2023-06-15$73.94$60.009.4%2.7%9.2%4.0%9.7%5.0%-0.3%213.7K-858.0K-3.1K0.0068.14N/AN/A370388118
2023-06-16$73.95$60.008.6%2.5%9.2%1.1%0.0%1.1%1.9%278.6K-998.2K-3.1K0.0071.89N/AN/A570398118
2023-06-20$73.44$60.009.6%2.7%9.5%4.4%15.6%1.4%3.7%93.6K-720.6K-3.9K0.8066.80N/AN/A10823279
2023-06-21$73.37$68.009.6%2.7%9.5%4.5%0.0%1.5%1.1%93.3K-626.8K-4.0K0.0052.24N/AN/A00236109
2023-06-22$73.34$68.009.3%2.7%8.9%3.5%0.0%2.3%0.9%96.0K-600.3K-3.9K0.0058.29N/AN/A00236109
2023-06-23$72.91$68.009.2%2.6%8.7%3.1%0.0%3.1%0.9%92.0K-519.2K-3.8K0.0048.44N/AN/A10236109
2023-06-26$73.03$68.009.1%2.6%8.7%2.8%0.0%2.4%0.5%92.9K-537.8K-3.8K0.0046.06N/AN/A00237109
2023-06-27$73.50$68.009.3%2.7%8.9%3.5%9.2%0.3%1.2%110.8K-642.1K-3.8K0.0749.53N/AN/A1007237109
2023-06-28$72.97$73.008.7%2.5%9.2%1.3%8.6%2.4%0.9%219.9K-913.5K-4.5K0.0050.71N/AN/A03336116
2023-06-29$73.44$73.009.0%2.6%9.4%2.5%0.0%-2.1%1.0%222.8K-1.1M-4.3K0.0064.55N/AN/A1000336115
2023-06-30$74.38$73.007.7%2.2%10.2%0.0%12.9%3.7%3.0%280.4K-1.8M-5.3K0.0366.80N/AN/A2005436115