USMV Options History — February 2024

In February 2024, USMV traded between $79.56 and $81.87. ATM implied volatility averaged 9.7%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.2% (HV 20d: 7.5%). Max pain ranged from $78.00 to $78.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.54.

Notable Days

2024-02-05: Highest Volume — 1,028 contracts
2024-02-23: Largest IV drop — 13.9% change
2024-02-21: Highest IV Rank — 12.1%
2024-02-21: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.64	$79.56	$81.87	$80.48	$81.47
Max Pain	$78.00	$78.00	$78.00	$78.00	$78.00
ATM IV	9.7%	9.1%	11.1%	9.6%	9.2%
Expected Move	2.8%	2.6%	3.2%	2.7%	2.6%
HV 20d	7.5%	6.7%	8.8%	6.7%	8.0%
HV 60d	8.1%	7.6%	8.4%	8.1%	8.1%
IV Rank	7.2%	4.9%	12.1%	6.6%	5.4%
IV Percentile	36.9%	20.6%	61.1%	35.3%	27.4%
Term Structure	0.9%	-1.1%	7.8%	1.0%	1.1%
VWIV	9.9%	6.4%	12.6%	11.5%	9.4%
Skew 25d	1.4%	0.6%	2.7%	1.4%	0.7%
Skew 10d	5.0%	1.3%	7.7%	4.8%	1.4%
Call IV 25d	9.2%	8.4%	10.3%	8.7%	9.1%
Put IV 25d	10.5%	9.6%	12.2%	10.1%	9.8%
Bid-Ask Spread %	67.16	41.55	90.18	86.49	46.41
Gamma HHI	0.57	0.21	0.76	0.21	0.52
Net GEX	1.1M	67.0K	1.8M	67.0K	663.3K
Net DEX	-18.7M	-25.0M	-1.6M	-1.6M	-25.0M
Net VEX	-20.2K	-32.2K	-9.3K	-9.3K	-12.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.00	3.00	0.24	0.00
Total Volume	183.75	0	1,028	230	18
Total OI	3,463.85	986	4,173	986	3,894

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
2024-02-01	$80.48	$78.00	9.6%	2.7%	6.7%	6.6%	11.5%	1.4%	1.0%	67.0K	-1.6M	-9.3K	0.24	86.49	N/A	N/A	185	45	432	554
2024-02-02	$80.50	$78.00	9.1%	2.7%	6.7%	4.9%	11.1%	1.4%	1.1%	151.5K	-2.6M	-11.0K	0.11	48.25	N/A	N/A	821	91	594	599
2024-02-05	$80.03	$78.00	9.4%	2.7%	6.9%	6.0%	10.5%	1.6%	0.8%	619.2K	-7.6M	-16.5K	0.00	48.21	N/A	N/A	1,026	2	1,415	551
2024-02-06	$79.95	$78.00	9.5%	2.6%	6.7%	6.2%	6.4%	1.5%	1.5%	1.2M	-14.0M	-23.4K	0.10	58.03	N/A	N/A	501	50	2,398	553
2024-02-07	$80.35	$78.00	9.2%	2.6%	6.8%	5.4%	12.6%	1.0%	0.8%	1.3M	-18.0M	-24.1K	1.29	45.21	N/A	N/A	48	62	2,899	603
2024-02-08	$80.23	$78.00	9.2%	2.6%	6.9%	5.3%	0.0%	1.7%	0.7%	1.4M	-17.8M	-25.1K	0.00	89.08	N/A	N/A	0	2	2,915	665
2024-02-09	$80.22	$78.00	9.2%	2.6%	6.9%	5.3%	10.8%	1.1%	1.0%	1.4M	-17.6M	-26.2K	0.00	86.09	N/A	N/A	601	0	2,915	667
2024-02-12	$80.25	$78.00	9.7%	2.8%	6.7%	7.0%	9.3%	1.3%	0.1%	1.7M	-21.0M	-27.0K	0.81	85.48	N/A	N/A	21	17	3,410	667
2024-02-13	$79.56	$78.00	10.4%	3.0%	7.4%	9.7%	0.0%	2.7%	0.6%	1.8M	-18.1M	-32.2K	0.00	80.05	N/A	N/A	0	10	3,411	682
2024-02-14	$80.00	$78.00	9.5%	2.7%	7.6%	6.5%	9.3%	2.1%	0.9%	1.7M	-20.3M	-28.0K	3.00	90.18	N/A	N/A	2	6	3,416	684
2024-02-15	$80.57	$78.00	10.3%	2.9%	7.7%	9.1%	10.3%	1.2%	7.8%	1.6M	-22.5M	-22.5K	1.00	86.06	N/A	N/A	35	35	3,417	692
2024-02-16	$80.50	$78.00	10.2%	2.9%	7.3%	8.9%	10.5%	1.6%	5.6%	1.5M	-21.9M	-24.7K	0.03	87.35	N/A	N/A	40	1	3,446	727
2024-02-20	$80.38	$78.00	11.0%	3.2%	7.4%	11.8%	10.3%	1.3%	-1.0%	1.6M	-20.8M	-25.9K	1.67	64.58	N/A	N/A	3	5	3,338	520
2024-02-21	$80.47	$78.00	11.1%	3.2%	7.3%	12.1%	0.0%	2.3%	-1.0%	1.6M	-21.1M	-25.6K	1.00	64.33	N/A	N/A	1	1	3,341	525
2024-02-22	$81.52	$78.00	10.5%	3.0%	8.5%	10.1%	9.9%	0.8%	-1.1%	924.2K	-24.1M	-16.7K	0.00	41.55	N/A	N/A	11	0	3,342	526
2024-02-23	$81.87	$78.00	9.1%	2.6%	8.5%	4.9%	0.0%	0.6%	-0.0%	673.7K	-24.9M	-14.0K	0.00	54.89	N/A	N/A	0	0	3,339	526
2024-02-26	$81.56	$78.00	9.4%	2.7%	8.7%	6.0%	7.0%	0.6%	-0.7%	617.7K	-25.0M	-12.8K	0.00	72.36	N/A	N/A	2	0	3,339	526
2024-02-27	$81.43	$78.00	9.4%	2.7%	8.8%	6.0%	9.4%	0.8%	-0.4%	586.9K	-25.0M	-12.7K	0.00	53.53	N/A	N/A	23	0	3,339	526
2024-02-28	$81.40	$78.00	9.8%	2.8%	8.7%	7.5%	0.0%	1.4%	-0.5%	832.0K	-24.6M	-14.3K	0.00	54.99	N/A	N/A	10	0	3,358	526
2024-02-29	$81.47	$78.00	9.2%	2.6%	8.0%	5.4%	0.0%	0.7%	1.1%	663.3K	-25.0M	-12.7K	0.00	46.41	N/A	N/A	18	0	3,368	526