USMV Options History — July 2023 In July 2023, USMV traded between $73.43 and $76.06. ATM implied volatility averaged 9.2%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.7% (HV 20d: 8.5%). Max pain ranged from $70.00 to $74.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.06.
Notable Days 2023-07-12 : Highest Volume — 23 contracts2023-07-21 : Largest IV drop — 12.6% change2023-07-20 : Highest IV Rank — 8.7%2023-07-20 : Largest Expected Move — 2.9%Monthly Statistics Metric Avg Min Max Open Close Price $74.74 $73.43 $76.06 $74.30 $75.16 Max Pain $72.90 $70.00 $74.00 $71.00 $74.00 ATM IV 9.2% 8.2% 10.2% 8.2% 9.4% Expected Move 2.7% 2.4% 2.9% 2.4% 2.7% HV 20d 8.5% 6.3% 9.6% 9.3% 6.3% HV 60d 9.1% 8.3% 9.4% 9.3% 8.3% IV Rank 5.3% 1.8% 8.7% 1.8% 6.0% IV Percentile 5.7% 0.4% 11.9% 0.4% 9.1% Term Structure 0.6% -0.7% 1.5% 1.3% 0.8% VWIV 10.4% 9.0% 14.6% 9.1% 9.4% Skew 25d 2.6% 1.3% 3.7% 2.7% 2.2% Skew 10d 3.0% -0.7% 8.2% 2.6% 1.9% Call IV 25d 7.8% 5.8% 8.8% 6.2% 7.7% Put IV 25d 10.4% 8.9% 12.4% 8.9% 9.9% Bid-Ask Spread % 59.66 32.27 87.28 32.27 48.16 Gamma HHI 0.19 0.16 0.23 0.20 0.17 Net GEX 195.7K 155.6K 230.7K 205.8K 182.4K Net DEX -1.4M -1.8M -1.1M -1.4M -1.3M Net VEX -4.3K -4.6K -4.0K -4.6K -4.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.06 0.00 0.50 0.25 0.00 Total Volume 6.45 0 23 0 1 Total OI 474.95 438 515 459 473
Daily Data (20 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 2023-07-03 $74.30 $71.00 8.2% 2.4% 9.3% 1.8% 0.0% 2.7% 1.3% 205.8K -1.4M -4.6K 0.00 32.27 N/A N/A 0 0 349 110 2023-07-05 $74.16 $71.00 9.2% 2.6% 9.3% 5.1% 9.1% 2.2% 1.0% 206.0K -1.3M -4.6K 0.00 47.50 N/A N/A 0 1 349 110 2023-07-06 $73.77 $74.00 9.7% 2.9% 9.4% 7.0% 14.6% 3.4% 1.1% 207.5K -1.2M -4.5K 0.00 56.97 N/A N/A 0 8 349 111 2023-07-07 $73.43 $70.00 8.7% 2.9% 9.5% 3.6% 0.0% 3.4% 0.7% 230.7K -1.1M -4.4K 0.25 46.42 N/A N/A 4 1 349 119 2023-07-10 $73.53 $70.00 8.9% 2.8% 9.3% 4.3% 9.8% 3.6% 0.4% 222.8K -1.1M -4.4K 0.00 60.28 N/A N/A 2 0 349 120 2023-07-11 $74.02 $70.00 9.9% 2.9% 9.6% 7.8% 0.0% 3.2% 0.3% 215.9K -1.2M -4.3K 0.00 60.51 N/A N/A 1 0 349 120 2023-07-12 $74.30 $70.00 9.5% 2.7% 9.5% 6.5% 9.5% 1.9% 0.3% 228.6K -1.4M -4.2K 0.00 74.14 N/A N/A 0 23 355 120 2023-07-13 $74.44 $74.00 9.6% 2.8% 9.5% 6.7% 0.0% 2.8% 0.4% 205.1K -1.3M -4.3K 0.00 50.29 N/A N/A 0 3 355 140 2023-07-14 $74.32 $74.00 9.5% 2.7% 9.6% 6.4% 0.0% 2.0% 0.7% 197.9K -1.4M -4.2K 0.00 51.14 N/A N/A 2 0 355 138 2023-07-17 $74.45 $74.00 8.9% 2.6% 8.2% 4.3% 0.0% 3.3% 1.4% 207.0K -1.4M -4.0K 0.00 73.30 N/A N/A 22 0 354 138 2023-07-18 $74.56 $74.00 8.4% 2.4% 8.2% 2.5% 11.3% 2.0% 1.5% 199.5K -1.4M -4.2K 0.00 53.17 N/A N/A 11 0 355 138 2023-07-19 $74.91 $74.00 9.2% 2.6% 7.8% 5.3% 0.0% 1.8% 0.2% 199.6K -1.6M -4.2K 0.00 64.94 N/A N/A 4 0 366 138 2023-07-20 $75.30 $74.00 10.2% 2.9% 7.9% 8.7% 10.4% 3.7% -0.7% 187.7K -1.7M -4.3K 0.00 83.77 N/A N/A 5 0 373 138 2023-07-21 $75.81 $74.00 8.9% 2.5% 8.1% 4.1% 9.0% 2.7% 0.0% 184.8K -1.8M -4.2K 0.00 71.62 N/A N/A 9 0 377 138 2023-07-24 $75.94 $74.00 9.1% 2.6% 7.6% 4.8% 0.0% 2.5% 1.0% 155.6K -1.5M -4.0K 0.00 71.65 N/A N/A 0 10 315 123 2023-07-25 $76.06 $74.00 9.5% 2.7% 7.6% 6.4% 0.0% 3.2% 0.0% 159.1K -1.5M -4.2K 0.00 59.35 N/A N/A 1 0 319 132 2023-07-26 $75.75 $74.00 8.7% 2.5% 7.7% 3.6% 10.3% 2.8% 0.6% 159.9K -1.4M -4.3K 0.50 87.28 N/A N/A 2 1 318 132 2023-07-27 $75.20 $74.00 9.5% 2.7% 7.7% 6.4% 0.0% 1.8% 0.9% 175.6K -1.3M -4.3K 0.00 61.68 N/A N/A 16 0 320 133 2023-07-28 $75.32 $74.00 9.0% 2.6% 7.5% 4.8% 0.0% 1.3% 0.5% 182.2K -1.4M -4.6K 0.00 38.84 N/A N/A 2 0 339 133 2023-07-31 $75.16 $74.00 9.4% 2.7% 6.3% 6.0% 9.4% 2.2% 0.8% 182.4K -1.3M -4.6K 0.00 48.16 N/A N/A 0 1 340 133
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