USMV Options History — December 2023

In December 2023, USMV traded between $76.50 and $78.56. ATM implied volatility averaged 9.2%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.5% (HV 20d: 8.7%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2023-12-14: Highest Volume — 181 contracts
  • 2023-12-11: Largest IV spike — 19.2% change
  • 2023-12-11: Highest IV Rank — 12.7%
  • 2023-12-06: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.32$76.50$78.56$76.81$77.94
Max Pain$74.40$73.00$75.00$73.00$74.00
ATM IV9.2%8.2%11.3%9.5%8.2%
Expected Move2.6%2.3%2.8%2.7%2.3%
HV 20d8.7%6.8%10.7%7.8%10.3%
HV 60d10.3%10.1%10.6%10.2%10.1%
IV Rank5.4%1.6%12.7%6.3%1.6%
IV Percentile16.2%1.2%43.7%19.4%1.2%
Term Structure1.0%-0.1%1.8%-0.1%1.1%
VWIV9.8%9.1%10.3%10.0%10.3%
Skew 25d1.6%0.6%2.4%0.6%1.8%
Skew 10d4.4%2.1%7.0%3.1%2.3%
Call IV 25d8.3%7.3%9.1%9.1%7.3%
Put IV 25d9.9%8.9%11.0%9.7%9.1%
Bid-Ask Spread %73.9832.21100.6460.7190.65
Gamma HHI0.260.120.620.250.12
Net GEX173.0K34.9K423.7K217.3K58.8K
Net DEX-1.3M-2.4M-693.2K-1.5M-1.1M
Net VEX-5.7K-7.0K-4.5K-5.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.003.520.000.00
Total Volume22.750181320
Total OI556.55437706607488

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$76.81$73.009.5%2.7%7.8%6.3%0.0%0.6%-0.1%217.3K-1.5M-5.1K0.0060.71N/AN/A30396211
2023-12-04$76.81$75.009.7%2.8%7.5%7.2%0.0%2.2%1.1%226.8K-1.5M-5.0K0.0073.85N/AN/A00399211
2023-12-05$76.60$75.009.9%2.6%7.6%7.9%0.0%2.4%1.6%219.3K-1.4M-4.9K0.0077.19N/AN/A100399211
2023-12-06$76.50$75.0010.3%2.8%7.7%9.3%0.0%1.8%1.3%219.5K-1.4M-4.8K0.0078.83N/AN/A40399211
2023-12-07$76.56$75.0010.4%2.7%7.7%9.6%0.0%1.9%1.4%222.3K-1.4M-4.8K0.0081.22N/AN/A40399211
2023-12-08$76.63$75.009.5%2.6%6.8%6.3%0.0%2.2%1.5%232.7K-1.4M-4.7K0.0088.82N/AN/A150399211
2023-12-11$77.25$75.0011.3%2.7%6.8%12.7%0.0%2.0%1.3%299.2K-1.7M-4.6K0.3771.42N/AN/A2710403211
2023-12-12$77.60$75.009.4%2.4%6.8%6.1%0.0%1.7%1.8%345.4K-1.9M-4.6K0.2775.72N/AN/A4111419221
2023-12-13$78.56$75.008.5%2.4%6.8%2.7%10.0%1.4%1.5%229.2K-2.4M-4.5K0.0077.88N/AN/A30420212
2023-12-14$77.78$75.008.4%2.4%8.1%2.6%9.1%1.2%0.9%423.7K-2.0M-4.7K3.5286.79N/AN/A40141418212
2023-12-15$77.19$74.008.2%2.4%8.7%1.9%0.0%0.9%0.9%347.3K-1.5M-6.1K0.07100.64N/AN/A695434272
2023-12-18$77.84$74.009.0%2.6%9.0%4.8%0.0%1.3%0.6%34.9K-772.8K-6.3K0.0086.78N/AN/A330245192
2023-12-19$77.88$74.008.8%2.5%9.0%4.0%0.0%1.3%0.6%53.6K-890.8K-6.8K0.0092.72N/AN/A00279192
2023-12-20$76.77$74.009.1%2.6%10.6%5.0%0.0%1.5%1.3%53.5K-693.2K-7.0K0.0059.69N/AN/A10279192
2023-12-21$76.98$74.009.4%2.7%10.5%6.1%10.0%1.7%0.7%54.2K-736.3K-6.9K0.0092.87N/AN/A10278192
2023-12-22$77.44$74.009.5%2.7%10.6%6.2%10.3%1.4%0.7%54.2K-855.5K-6.8K0.3349.34N/AN/A31279192
2023-12-26$77.68$74.008.9%2.5%10.6%4.2%0.0%1.4%0.8%54.8K-917.6K-6.6K0.0055.96N/AN/A120280193
2023-12-27$77.56$74.008.3%2.4%10.6%2.2%0.0%1.2%1.0%57.3K-983.6K-6.6K0.0046.32N/AN/A00292193
2023-12-28$77.98$74.008.3%2.4%10.7%2.0%0.0%1.1%1.0%56.7K-1.1M-6.5K0.0032.21N/AN/A10293193
2023-12-29$77.94$74.008.2%2.3%10.3%1.6%0.0%1.8%1.1%58.8K-1.1M-6.5K0.0090.65N/AN/A200295193