USMV Options History — November 2023

In November 2023, USMV traded between $72.27 and $76.18. ATM implied volatility averaged 9.6%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 1.5% (HV 20d: 11.1%). Max pain ranged from $73.00 to $73.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2023-11-02: Highest Volume — 40 contracts
  • 2023-11-03: Largest IV drop — 12.1% change
  • 2023-11-01: Highest IV Rank — 16.6%
  • 2023-11-01: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.58$72.27$76.18$72.27$76.18
Max Pain$73.00$73.00$73.00$73.00$73.00
ATM IV9.6%8.1%12.4%12.4%9.0%
Expected Move2.8%2.3%3.6%3.6%2.6%
HV 20d11.1%8.2%12.6%11.6%8.3%
HV 60d10.0%9.6%10.3%9.6%10.1%
IV Rank6.7%1.4%16.6%16.6%4.7%
IV Percentile16.0%0.8%44.0%44.0%11.1%
Term Structure0.8%-0.6%1.7%-0.6%0.5%
VWIV9.1%5.4%12.5%5.4%8.8%
Skew 25d2.1%1.0%3.2%2.3%2.4%
Skew 10d5.9%2.5%10.0%7.9%6.4%
Call IV 25d8.8%7.6%11.3%11.3%7.9%
Put IV 25d10.9%8.9%13.6%13.6%10.3%
Bid-Ask Spread %35.5212.9880.3449.5520.79
Gamma HHI0.190.160.280.190.21
Net GEX109.9K-2.2K185.6K-2.2K185.6K
Net DEX-553.6K-1.2M322.3K322.3K-1.2M
Net VEX-5.2K-5.6K-4.6K-4.6K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.000.330.00
Total Volume8.33304080
Total OI617568656585608

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$72.27$73.0012.4%3.6%11.6%16.6%0.0%2.3%-0.6%-2.2K322.3K-4.6K0.3349.55N/AN/A62352233
2023-11-02$73.16$73.0011.4%3.2%12.4%13.0%5.4%3.2%0.9%38.1K6.8K-5.0K1.0036.00N/AN/A2020358235
2023-11-03$73.81$73.0010.0%3.1%12.5%8.1%12.5%3.0%0.9%60.8K-271.8K-5.4K1.8275.20N/AN/A1120358255
2023-11-06$73.80$73.0010.3%3.0%12.4%9.3%0.0%2.8%0.9%59.9K-221.2K-5.6K0.0076.76N/AN/A02369267
2023-11-07$73.91$73.009.9%3.0%12.3%7.6%9.6%2.6%0.9%69.8K-269.3K-5.5K0.0080.34N/AN/A30369267
2023-11-08$73.91$73.0010.1%2.9%12.3%8.4%0.0%2.6%1.3%74.5K-299.3K-5.5K0.0029.94N/AN/A00370269
2023-11-09$73.31$73.0011.1%3.2%12.3%11.8%0.0%2.5%1.1%23.3K-25.4K-5.3K0.0027.91N/AN/A10370269
2023-11-10$73.90$73.0010.0%2.9%12.6%8.1%0.0%2.6%1.2%74.9K-244.3K-5.2K0.2023.92N/AN/A102371269
2023-11-13$73.94$73.0010.2%2.9%11.9%8.7%10.1%2.5%1.4%86.1K-308.4K-5.2K1.0024.45N/AN/A11381269
2023-11-14$74.84$73.009.4%2.7%12.6%5.9%7.3%1.9%1.6%154.4K-740.3K-5.4K0.0022.08N/AN/A220381272
2023-11-15$74.78$73.009.2%2.6%12.4%5.3%9.7%1.8%1.7%154.1K-678.0K-5.4K0.0012.98N/AN/A130383272
2023-11-16$74.69$73.008.8%2.5%11.5%4.0%0.0%2.2%0.5%146.9K-602.7K-5.1K0.0028.76N/AN/A00383272
2023-11-17$74.72$73.008.7%2.5%11.2%3.6%8.7%1.3%0.6%152.7K-629.1K-5.2K0.0026.65N/AN/A40384272
2023-11-20$75.10$73.008.8%2.5%10.9%4.0%9.8%1.7%0.7%116.7K-690.9K-5.0K2.0027.59N/AN/A12364204
2023-11-21$75.28$73.009.2%2.6%10.7%5.2%9.2%1.3%0.1%127.5K-763.0K-5.0K0.0027.45N/AN/A20365206
2023-11-22$75.72$73.008.4%2.4%10.6%2.3%0.0%1.8%0.7%153.0K-937.3K-4.9K0.0024.75N/AN/A100367207
2023-11-24$75.87$73.008.1%2.3%10.3%1.4%0.0%1.2%0.8%161.4K-1.0M-5.0K0.0033.62N/AN/A20377207
2023-11-27$75.81$73.008.5%2.4%8.5%3.0%0.0%1.8%0.5%162.8K-1.1M-4.7K0.1931.02N/AN/A163379208
2023-11-28$75.66$73.008.7%2.5%8.2%3.7%8.8%1.4%0.3%157.6K-1.0M-5.2K0.0022.82N/AN/A10395212
2023-11-29$75.52$73.009.1%2.6%8.3%4.8%0.0%1.0%0.0%150.1K-977.5K-5.1K0.0043.34N/AN/A00396212
2023-11-30$76.18$73.009.0%2.6%8.3%4.7%0.0%2.4%0.5%185.6K-1.2M-5.1K0.0020.79N/AN/A00396212