USMV Options History — September 2023 In September 2023, USMV traded between $72.37 and $75.44. ATM implied volatility averaged 10.0%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.3% (HV 20d: 7.7%). Max pain ranged from $72.00 to $74.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.55.
Notable Days 2023-09-27 : Highest Volume — 225 contracts2023-09-21 : Largest IV spike — 14.9% change2023-09-28 : Highest IV Rank — 18.8%2023-09-28 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $74.32 $72.37 $75.44 $75.05 $72.37 Max Pain $72.20 $72.00 $74.00 $74.00 $73.00 ATM IV 10.0% 7.9% 13.0% 7.9% 11.9% Expected Move 2.9% 2.3% 3.7% 2.3% 3.4% HV 20d 7.7% 6.8% 9.0% 7.8% 8.7% HV 60d 7.7% 7.4% 7.9% 7.8% 7.8% IV Rank 8.1% 0.7% 18.8% 0.7% 14.9% IV Percentile 18.2% 0.4% 46.4% 0.4% 37.7% Term Structure 0.5% -5.7% 2.1% 1.5% 0.5% VWIV 9.4% 8.4% 12.2% 9.2% 10.3% Skew 25d 2.7% 1.2% 3.9% 2.5% 3.5% Skew 10d 5.8% 2.6% 8.1% 5.3% 4.2% Call IV 25d 8.9% 6.9% 11.9% 6.9% 9.8% Put IV 25d 11.6% 9.3% 13.8% 9.3% 13.4% Bid-Ask Spread % 73.60 52.69 93.32 59.31 53.55 Gamma HHI 0.27 0.16 0.63 0.23 0.63 Net GEX 110.7K -183.6K 308.7K 194.3K -183.6K Net DEX -438.8K -1.1M 1.0M -907.5K 1.0M Net VEX -5.1K -7.1K -3.8K -4.4K -6.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.55 0.00 14.00 0.00 1.00 Total Volume 24.05 0 225 10 4 Total OI 521.15 385 703 535 703
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 2023-09-01 $75.05 $74.00 7.9% 2.3% 7.8% 0.7% 0.0% 2.5% 1.5% 194.3K -907.5K -4.4K 0.00 59.31 N/A N/A 10 0 367 168 2023-09-05 $74.66 $72.00 8.6% 2.7% 7.5% 3.0% 9.2% 3.9% 2.0% 173.3K -835.5K -4.2K 0.00 93.32 N/A N/A 5 0 363 168 2023-09-06 $74.31 $72.00 9.5% 3.0% 7.7% 6.3% 0.0% 3.4% -0.1% 135.6K -623.7K -4.2K 0.00 66.94 N/A N/A 0 0 366 168 2023-09-07 $74.53 $72.00 8.4% 2.8% 7.7% 2.4% 0.0% 3.3% 1.6% 151.5K -625.6K -4.0K 0.00 82.41 N/A N/A 0 0 366 168 2023-09-08 $74.66 $72.00 8.5% 2.6% 7.6% 2.9% 8.5% 3.0% 2.1% 165.8K -694.6K -4.0K 0.00 83.60 N/A N/A 2 0 366 168 2023-09-11 $74.94 $72.00 9.0% 2.7% 7.4% 4.6% 0.0% 2.3% 0.9% 196.1K -819.7K -3.8K 0.00 86.40 N/A N/A 23 0 367 168 2023-09-12 $74.69 $72.00 9.6% 2.7% 7.5% 6.7% 9.8% 2.4% 0.9% 195.3K -733.8K -4.2K 0.43 58.92 N/A N/A 7 3 387 168 2023-09-13 $74.82 $72.00 9.3% 2.7% 6.8% 5.8% 9.2% 2.5% 1.3% 216.2K -775.7K -4.1K 0.00 72.36 N/A N/A 8 0 388 171 2023-09-14 $75.44 $72.00 8.8% 2.5% 7.3% 4.0% 8.4% 2.0% 0.9% 191.8K -1.1M -4.1K 0.01 73.56 N/A N/A 72 1 388 171 2023-09-15 $74.91 $72.00 8.9% 2.6% 7.4% 4.3% 8.9% 2.4% 0.8% 308.7K -791.2K -4.4K 1.37 85.30 N/A N/A 19 26 401 172 2023-09-18 $74.91 $72.00 9.0% 2.6% 7.4% 4.7% 8.5% 2.4% 0.6% 91.6K -600.3K -5.1K 1.54 87.50 N/A N/A 13 20 267 118 2023-09-19 $75.03 $72.00 9.2% 2.6% 7.4% 5.3% 9.5% 2.7% 0.9% 95.9K -559.7K -5.6K 2.67 63.56 N/A N/A 6 16 280 138 2023-09-20 $75.10 $72.00 9.6% 2.8% 7.1% 6.8% 0.0% 2.0% 0.4% 91.8K -564.7K -6.1K 0.71 81.97 N/A N/A 7 5 286 154 2023-09-21 $74.28 $72.00 11.1% 3.2% 7.9% 11.8% 0.0% 3.3% 0.4% 73.0K -301.4K -6.0K 0.00 52.69 N/A N/A 0 5 293 160 2023-09-22 $74.25 $72.00 11.4% 3.3% 7.7% 13.2% 0.0% 2.9% 0.1% 70.5K -270.7K -6.1K 0.00 57.50 N/A N/A 0 0 293 165 2023-09-25 $74.09 $72.00 11.3% 3.2% 7.3% 12.8% 0.0% 3.2% 0.4% 66.6K -218.1K -5.9K 0.00 86.88 N/A N/A 4 0 293 165 2023-09-26 $72.97 $72.00 12.8% 3.7% 9.0% 18.1% 0.0% 1.2% -0.1% 61.8K -80.0K -5.9K 0.00 81.67 N/A N/A 0 0 313 165 2023-09-27 $72.57 $72.00 11.9% 3.4% 8.5% 15.0% 12.2% 2.8% 0.5% 53.9K 10.5K -5.6K 14.00 86.47 N/A N/A 15 210 313 165 2023-09-28 $72.80 $73.00 13.0% 3.7% 8.6% 18.8% 0.0% 2.0% -5.7% -136.9K 643.4K -7.1K 0.00 58.10 N/A N/A 0 0 328 375 2023-09-29 $72.37 $73.00 11.9% 3.4% 8.7% 14.9% 10.3% 3.5% 0.5% -183.6K 1.0M -6.5K 1.00 53.55 N/A N/A 2 2 328 375
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