USMV Options History — October 2023

In October 2023, USMV traded between $70.47 and $73.63. ATM implied volatility averaged 13.1%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.0% (HV 20d: 10.2%). Max pain ranged from $73.00 to $73.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 12.97.

Notable Days

  • 2023-10-03: Highest Volume — 211 contracts
  • 2023-10-03: Largest IV spike — 18.9% change
  • 2023-10-27: Highest IV Rank — 30.6%
  • 2023-10-27: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.17$70.47$73.63$71.81$71.69
Max Pain$73.00$73.00$73.00$73.00$73.00
ATM IV13.1%10.8%16.4%12.6%12.9%
Expected Move3.8%3.1%4.7%3.6%3.7%
HV 20d10.2%9.0%11.5%9.0%11.5%
HV 60d8.5%7.9%9.5%7.9%9.4%
IV Rank19.2%10.9%30.6%17.4%18.5%
IV Percentile48.7%25.4%75.4%42.9%49.6%
Term Structure-0.1%-0.9%0.8%-0.7%-0.2%
VWIV12.6%10.0%17.1%11.5%13.5%
Skew 25d3.4%2.9%4.2%2.9%3.6%
Skew 10d7.1%1.7%11.2%5.3%7.9%
Call IV 25d11.3%9.7%13.5%11.7%11.6%
Put IV 25d14.8%12.8%17.4%14.6%15.2%
Bid-Ask Spread %61.2940.7584.2043.7366.58
Gamma HHI0.380.180.880.600.19
Net GEX-336.3K-1.1M-10.9K-154.0K-10.9K
Net DEX1.1M328.0K3.2M1.2M498.8K
Net VEX-5.8K-7.5K-3.6K-6.4K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.970.00210.000.000.00
Total Volume24.955021132
Total OI792.3645421,005706583

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$71.81$73.0012.6%3.6%9.0%17.4%11.5%2.9%-0.7%-154.0K1.2M-6.4K0.0043.73N/AN/A30328378
2023-10-03$71.44$73.0015.0%4.3%9.0%25.9%13.6%3.1%-0.8%-136.7K1.4M-5.8K210.0046.28N/AN/A1210327376
2023-10-04$71.88$73.0012.9%3.7%9.4%18.4%0.0%3.1%-0.3%-379.3K1.9M-7.5K0.0055.43N/AN/A30327585
2023-10-05$71.84$73.0012.6%3.7%9.2%17.3%0.0%3.1%-0.7%-395.1K2.0M-7.1K0.0081.01N/AN/A01328585
2023-10-06$72.35$73.0012.0%3.5%9.7%15.3%10.0%3.2%0.4%-439.9K1.6M-7.3K2.0067.63N/AN/A24328586
2023-10-09$72.68$73.0012.7%3.4%9.8%17.5%11.1%3.6%0.3%-431.0K1.3M-7.2K0.0052.53N/AN/A30328590
2023-10-10$73.12$73.0011.9%3.3%10.1%15.0%0.0%3.0%0.5%-415.3K933.5K-7.1K0.0056.55N/AN/A00329590
2023-10-11$73.23$73.0011.3%3.2%10.1%12.6%0.0%3.0%0.8%-425.9K840.4K-6.9K0.0044.93N/AN/A10329590
2023-10-12$72.70$73.0011.0%3.1%9.7%11.6%0.0%3.1%0.7%-576.7K1.4M-6.5K0.0055.38N/AN/A40329590
2023-10-13$72.75$73.0012.7%3.6%9.5%17.8%11.3%3.8%-0.1%-474.0K1.3M-6.7K0.0058.73N/AN/A90333590
2023-10-16$73.63$73.0010.8%3.1%10.6%10.9%0.0%3.2%0.8%-356.0K328.0K-6.0K0.3184.20N/AN/A134338590
2023-10-17$73.43$73.0011.9%3.4%10.6%14.8%12.9%3.0%0.3%-460.2K493.2K-6.2K1.0061.89N/AN/A11348592
2023-10-18$73.02$73.0012.9%3.7%10.7%18.3%14.1%4.2%0.1%-658.6K930.2K-6.0K2.6740.75N/AN/A1540350593
2023-10-19$72.20$73.0013.7%3.9%10.7%21.3%0.0%3.7%0.0%-809.5K2.2M-5.7K0.0061.36N/AN/A00361633
2023-10-20$71.78$73.0013.6%3.9%10.8%21.0%0.0%4.2%0.2%-1.1M3.2M-5.0K3.4767.89N/AN/A34118362643
2023-10-23$71.41$73.0014.1%4.0%10.9%22.5%11.1%3.8%-0.1%-27.9K660.2K-4.5K0.0070.88N/AN/A140321234
2023-10-24$71.91$73.0013.4%3.8%10.1%20.2%0.0%3.6%-0.4%-16.2K524.6K-4.5K0.0067.28N/AN/A00312230
2023-10-25$71.69$73.0014.4%4.1%10.0%23.7%12.8%4.0%-0.6%-14.5K539.3K-4.6K0.0061.97N/AN/A40314230
2023-10-26$71.41$73.0015.7%4.5%10.0%28.2%0.0%3.8%-0.8%-18.0K605.4K-4.4K0.0064.41N/AN/A06318230
2023-10-27$70.47$73.0016.4%4.7%10.8%30.6%17.1%3.8%-0.9%-31.5K854.8K-3.6K1.0070.63N/AN/A33318230
2023-10-30$71.31$73.0014.6%4.2%11.4%24.4%13.5%3.0%-0.5%-25.6K658.2K-4.0K0.0468.39N/AN/A482325231
2023-10-31$71.69$73.0012.9%3.7%11.5%18.5%0.0%3.6%-0.2%-10.9K498.8K-4.3K0.0066.58N/AN/A20350233