USMV Options History — August 2023

In August 2023, USMV traded between $73.85 and $75.25. ATM implied volatility averaged 10.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.9% (HV 20d: 7.0%). Max pain ranged from $74.00 to $74.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.36.

Notable Days

  • 2023-08-16: Highest Volume — 113 contracts
  • 2023-08-25: Largest IV spike — 23.4% change
  • 2023-08-31: Highest IV Rank — 17.7%
  • 2023-08-31: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.65$73.85$75.25$75.18$75.06
Max Pain$74.00$74.00$74.00$74.00$74.00
ATM IV10.9%8.9%12.7%9.7%12.7%
Expected Move3.1%2.6%3.6%2.8%3.6%
HV 20d7.0%6.0%8.2%6.2%8.1%
HV 60d8.1%7.9%8.3%8.1%7.9%
IV Rank11.4%4.3%17.7%7.1%17.7%
IV Percentile20.9%4.8%36.1%13.5%36.1%
Term Structure0.4%-3.8%2.9%0.1%-3.1%
VWIV10.8%9.3%14.1%9.3%9.3%
Skew 25d3.5%-1.0%7.7%2.1%2.1%
Skew 10d6.0%0.9%11.7%0.9%4.0%
Call IV 25d8.6%5.5%12.3%8.1%8.6%
Put IV 25d12.1%8.8%13.8%10.2%10.7%
Bid-Ask Spread %69.0537.89104.2843.1961.94
Gamma HHI0.230.170.630.170.24
Net GEX205.1K119.1K656.5K187.7K201.7K
Net DEX-984.7K-1.4M-494.1K-1.4M-1.0M
Net VEX-4.5K-5.3K-4.0K-4.5K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.000.000.00
Total Volume10.783011310
Total OI504.913474593474535

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$75.18$74.009.7%2.8%6.2%7.1%0.0%2.1%0.1%187.7K-1.4M-4.5K0.0043.19N/AN/A10340134
2023-08-02$75.00$74.0011.0%3.2%6.3%11.8%0.0%3.0%-0.1%178.3K-1.3M-4.5K0.0037.89N/AN/A00341134
2023-08-03$74.78$74.0010.8%3.2%6.0%10.9%0.0%3.5%0.4%178.5K-1.2M-4.6K0.0055.25N/AN/A00341134
2023-08-04$74.31$74.0011.4%3.2%6.3%13.0%9.3%4.3%1.5%181.5K-1.1M-4.4K0.00103.47N/AN/A30341134
2023-08-07$74.90$74.0010.6%3.1%6.8%10.1%10.5%4.8%1.6%195.4K-1.2M-4.3K0.00104.28N/AN/A03344134
2023-08-08$74.85$74.0011.8%3.1%6.4%14.4%0.0%4.8%0.7%187.1K-1.2M-4.4K0.0077.81N/AN/A00344139
2023-08-09$75.05$74.0010.8%3.1%6.4%10.8%0.0%4.1%1.8%183.6K-1.3M-4.2K0.0059.31N/AN/A40344144
2023-08-10$74.72$74.008.9%2.6%6.6%4.3%0.0%-1.0%-2.4%185.8K-1.3M-4.5K0.0091.46N/AN/A20348144
2023-08-11$75.13$74.0010.9%3.1%6.8%11.3%0.0%7.1%0.9%196.0K-1.3M-4.2K0.0079.77N/AN/A00346144
2023-08-14$75.19$74.0010.9%3.1%6.8%11.5%12.2%3.3%1.2%197.3K-1.4M-4.0K0.0052.74N/AN/A40346144
2023-08-15$74.53$74.0010.6%3.0%7.5%10.2%9.3%3.0%2.6%211.0K-1.1M-4.0K0.0261.75N/AN/A601344144
2023-08-16$74.41$74.0012.2%3.5%7.3%15.9%14.1%4.2%-0.1%273.6K-1.1M-4.1K0.0056.55N/AN/A0113399145
2023-08-17$73.91$74.0011.1%3.2%7.4%11.9%12.2%0.9%2.9%314.2K-864.5K-5.3K2.0072.59N/AN/A24399193
2023-08-18$74.10$74.0012.2%3.5%6.9%15.8%10.9%3.3%0.5%656.5K-812.7K-4.9K1.3360.76N/AN/A34400193
2023-08-21$74.18$74.0011.8%3.4%6.9%14.6%10.4%3.8%0.1%124.2K-533.8K-4.6K0.0053.59N/AN/A40336168
2023-08-22$73.85$74.0011.4%3.3%6.9%12.9%10.2%3.0%0.2%119.1K-494.1K-4.6K1.3345.56N/AN/A912341168
2023-08-23$74.34$74.0011.1%3.2%7.4%11.9%9.3%2.6%0.7%132.1K-572.4K-4.5K0.0066.44N/AN/A20335168
2023-08-24$73.95$74.009.2%2.6%7.2%5.3%0.0%3.0%1.7%155.6K-639.6K-4.4K0.0083.74N/AN/A00336168
2023-08-25$74.45$74.0011.3%3.3%7.7%12.9%0.0%5.5%0.5%128.8K-587.2K-4.5K0.0096.03N/AN/A00337168
2023-08-28$74.63$74.0010.0%2.9%7.7%8.0%0.0%-0.1%0.1%153.6K-650.7K-4.4K0.0079.11N/AN/A00337168
2023-08-29$75.19$74.009.8%2.8%8.2%7.6%0.0%5.0%0.6%179.8K-761.4K-4.4K0.0053.44N/AN/A10337168
2023-08-30$75.25$74.0011.2%3.2%8.1%12.3%0.0%7.7%-3.8%196.0K-936.4K-4.4K0.0091.58N/AN/A160338168
2023-08-31$75.06$74.0012.7%3.6%8.1%17.7%0.0%2.1%-3.1%201.7K-1.0M-4.5K0.0061.94N/AN/A00367168