USMV Options History — January 2024

In January 2024, USMV traded between $77.84 and $80.45. ATM implied volatility averaged 9.2%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.4% (HV 20d: 7.8%). Max pain ranged from $65.00 to $78.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.92.

Notable Days

  • 2024-01-19: Highest Volume — 163 contracts
  • 2024-01-16: Largest IV spike — 14.6% change
  • 2024-01-17: Highest IV Rank — 10.6%
  • 2024-01-17: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.97$77.84$80.45$78.16$79.78
Max Pain$70.95$65.00$78.00$74.00$78.00
ATM IV9.2%8.5%10.7%9.1%9.3%
Expected Move2.7%2.4%3.1%2.6%2.7%
HV 20d7.8%5.0%10.3%10.0%6.2%
HV 60d9.3%8.1%10.1%10.1%8.1%
IV Rank5.2%2.8%10.6%5.0%5.8%
IV Percentile20.4%6.0%43.7%17.9%27.8%
Term Structure0.3%-0.5%0.7%0.6%0.0%
VWIV9.4%8.6%10.6%9.0%10.0%
Skew 25d1.4%0.2%2.3%1.0%0.8%
Skew 10d3.9%-0.9%6.5%3.0%-0.9%
Call IV 25d8.7%8.0%9.5%8.8%9.2%
Put IV 25d10.0%9.2%11.6%9.8%10.0%
Bid-Ask Spread %78.6121.0799.2776.0081.84
Gamma HHI0.190.120.230.130.22
Net GEX98.7K7.1K164.3K57.6K59.5K
Net DEX-1.3M-1.7M-1.1M-1.1M-1.3M
Net VEX-7.8K-9.3K-6.3K-6.3K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.0025.500.8025.50
Total Volume2501631853
Total OI719.19488933488933

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$78.16$74.009.1%2.6%10.0%5.0%9.0%1.0%0.6%57.6K-1.1M-6.3K0.8076.00N/AN/A108295193
2024-01-03$78.19$77.009.3%2.7%10.0%5.7%0.0%0.9%0.5%53.6K-1.1M-6.3K0.0048.20N/AN/A600300201
2024-01-04$78.19$65.009.2%2.9%9.9%5.2%9.5%2.2%0.1%94.4K-1.1M-6.7K0.0060.07N/AN/A130360201
2024-01-05$77.84$65.008.5%2.8%10.1%2.8%8.6%2.3%0.7%119.9K-1.1M-6.7K2.0072.57N/AN/A24373193
2024-01-08$78.32$65.008.9%2.8%10.3%4.2%9.6%1.9%0.7%128.5K-1.2M-6.5K0.0992.12N/AN/A111375197
2024-01-09$78.28$65.008.6%2.7%10.3%3.3%0.0%1.7%0.6%145.7K-1.3M-6.4K0.0064.22N/AN/A00385198
2024-01-10$78.41$65.009.3%2.7%10.0%5.5%0.0%1.3%0.7%150.9K-1.4M-6.4K0.0051.71N/AN/A120385198
2024-01-11$78.34$65.009.1%2.6%9.9%5.0%8.6%1.5%0.5%150.5K-1.3M-6.4K0.1990.17N/AN/A163385198
2024-01-12$78.72$65.008.8%2.5%9.0%3.7%9.2%1.7%0.7%164.3K-1.4M-7.0K0.0099.27N/AN/A130402228
2024-01-16$78.47$65.0010.0%2.9%8.3%8.3%0.0%1.8%0.5%163.2K-1.4M-7.2K15.0096.48N/AN/A230410228
2024-01-17$78.35$65.0010.7%3.1%7.8%10.6%10.6%2.1%0.3%135.2K-1.1M-8.2K2.3695.07N/AN/A1126412288
2024-01-18$78.78$65.009.5%2.7%7.5%6.5%0.0%2.2%0.3%149.2K-1.3M-8.5K0.0095.81N/AN/A00418317
2024-01-19$79.38$65.009.3%2.7%7.9%5.6%10.1%1.4%0.4%121.6K-1.6M-8.1K3.7997.44N/AN/A34129418317
2024-01-22$79.50$78.009.4%2.7%5.4%6.0%9.1%1.6%0.2%7.1K-1.1M-9.3K0.8383.23N/AN/A1210389473
2024-01-23$79.81$78.008.6%2.5%5.4%3.3%0.0%1.0%0.4%29.3K-1.4M-8.9K0.0083.19N/AN/A00404483
2024-01-24$79.65$78.008.5%2.4%5.4%2.9%0.0%1.1%0.2%23.1K-1.3M-9.0K0.0085.45N/AN/A100404483
2024-01-25$79.81$78.008.8%2.5%5.3%3.7%0.0%0.9%0.3%57.5K-1.4M-9.1K0.0021.07N/AN/A30424483
2024-01-26$79.91$78.009.0%2.6%5.2%4.5%0.0%0.7%-0.3%69.0K-1.4M-9.1K0.0069.56N/AN/A10427483
2024-01-29$80.10$78.009.4%2.7%5.0%5.9%0.0%0.4%-0.0%86.9K-1.6M-8.6K2.0092.11N/AN/A1020428483
2024-01-30$80.45$78.009.4%2.7%5.1%6.1%10.0%0.2%-0.5%106.2K-1.7M-8.7K0.0095.18N/AN/A210428503
2024-01-31$79.78$78.009.3%2.7%6.2%5.8%0.0%0.8%0.0%59.5K-1.3M-9.3K25.5081.84N/AN/A251430503