USMV Options History — March 2024

In March 2024, USMV traded between $81.22 and $83.63. ATM implied volatility averaged 9.4%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.9% (HV 20d: 7.5%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 6.82.

Notable Days

2024-03-18: Highest Volume — 3,694 contracts
2024-03-05: Largest IV spike — 17.9% change
2024-03-18: Highest IV Rank — 16.6%
2024-03-05: Largest Expected Move — 2.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.46	$81.22	$83.63	$81.78	$83.63
Max Pain	$80.20	$78.00	$82.00	$78.00	$82.00
ATM IV	9.4%	7.3%	11.8%	9.0%	7.5%
Expected Move	2.5%	2.1%	2.9%	2.6%	2.1%
HV 20d	7.5%	6.4%	8.4%	7.5%	7.1%
HV 60d	7.6%	6.8%	8.4%	8.1%	7.0%
IV Rank	8.6%	0.0%	16.6%	4.7%	2.0%
IV Percentile	30.6%	0.0%	72.6%	17.5%	0.8%
Term Structure	0.8%	-0.9%	3.2%	-0.5%	1.1%
VWIV	9.3%	7.3%	12.5%	9.6%	7.3%
Skew 25d	1.7%	0.3%	3.9%	0.3%	1.3%
Skew 10d	2.9%	0.9%	6.2%	3.3%	2.4%
Call IV 25d	7.7%	5.3%	9.2%	9.2%	6.9%
Put IV 25d	9.4%	8.0%	10.6%	9.5%	8.2%
Bid-Ask Spread %	91.39	52.29	108.93	52.29	80.25
Gamma HHI	0.37	0.13	0.80	0.40	0.34
Net GEX	-151.4K	-1.4M	737.0K	427.9K	-98.2K
Net DEX	-15.9M	-31.1M	607.5K	-25.5M	-2.2M
Net VEX	-11.9K	-22.3K	-8.5K	-10.9K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.82	0.00	61.61	0.36	12.83
Total Volume	294.75	0	3,694	13	83
Total OI	4,256.2	858	5,657	3,899	5,657

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
2024-03-01	$81.78	$78.00	9.0%	2.6%	7.5%	4.7%	0.0%	0.3%	-0.5%	427.9K	-25.5M	-10.9K	0.00	52.29	N/A	N/A	0	13	3,373	526
2024-03-04	$81.88	$80.00	9.3%	2.7%	7.5%	5.8%	0.0%	1.7%	0.7%	244.8K	-25.9M	-9.5K	0.36	86.44	N/A	N/A	11	4	3,373	536
2024-03-05	$81.22	$80.00	11.0%	2.9%	7.8%	11.7%	9.6%	1.7%	0.7%	737.0K	-24.8M	-12.2K	0.20	87.12	N/A	N/A	10	2	3,380	537
2024-03-06	$81.95	$80.00	10.9%	2.8%	8.3%	11.2%	0.0%	2.2%	1.5%	327.3K	-25.9M	-9.8K	0.34	106.18	N/A	N/A	50	17	3,384	538
2024-03-07	$82.31	$80.00	11.6%	2.8%	8.3%	13.9%	0.0%	1.9%	0.6%	127.6K	-26.5M	-9.3K	0.33	107.08	N/A	N/A	18	6	3,426	555
2024-03-08	$82.13	$80.00	11.4%	2.7%	8.3%	13.2%	0.0%	2.1%	1.0%	103.7K	-26.4M	-9.2K	0.00	103.57	N/A	N/A	515	0	3,432	553
2024-03-11	$82.43	$80.00	11.8%	2.7%	8.4%	14.6%	0.0%	1.2%	1.2%	82.7K	-30.8M	-9.1K	0.67	104.83	N/A	N/A	3	2	3,937	553
2024-03-12	$82.73	$80.00	11.4%	2.6%	8.4%	12.9%	9.2%	1.4%	0.6%	103.9K	-31.1M	-8.5K	12.33	106.22	N/A	N/A	6	74	3,938	553
2024-03-13	$82.65	$80.00	9.9%	2.8%	7.5%	7.8%	9.2%	3.9%	-0.9%	95.2K	-30.8M	-9.9K	0.00	108.93	N/A	N/A	10	0	3,939	627
2024-03-14	$82.16	$80.00	9.4%	2.7%	7.9%	10.3%	8.8%	2.0%	0.6%	70.7K	-30.5M	-10.5K	0.00	106.93	N/A	N/A	54	0	3,947	627
2024-03-15	$82.13	$80.00	9.3%	2.7%	7.6%	14.5%	0.0%	3.8%	1.1%	61.7K	-30.4M	-10.9K	1.50	108.83	N/A	N/A	4	6	3,949	627
2024-03-18	$82.47	$80.00	9.3%	2.7%	7.7%	16.6%	11.5%	1.9%	0.9%	32.7K	-1.6M	-10.2K	61.61	83.20	N/A	N/A	59	3,635	398	460
2024-03-19	$82.78	$80.00	8.5%	2.4%	7.7%	8.3%	0.0%	1.3%	0.4%	-1.4M	607.5K	-22.3K	0.00	85.55	N/A	N/A	0	0	411	3,969
2024-03-20	$83.03	$80.00	7.9%	2.3%	7.7%	2.2%	7.9%	1.9%	1.4%	-776.5K	-1.5M	-11.5K	0.20	94.15	N/A	N/A	30	6	411	3,969
2024-03-21	$83.03	$80.00	7.7%	2.2%	6.4%	0.1%	0.0%	1.5%	1.1%	-412.3K	-1.5M	-13.1K	0.00	85.52	N/A	N/A	1	0	441	3,964
2024-03-22	$82.75	$80.00	7.4%	2.1%	6.4%	0.0%	7.4%	0.6%	1.5%	-641.5K	-987.0K	-15.3K	0.00	84.17	N/A	N/A	4	0	442	3,964
2024-03-25	$82.44	$80.00	8.7%	2.5%	6.4%	14.6%	12.5%	0.7%	-0.1%	-1.0M	-69.3K	-18.6K	25.60	83.01	N/A	N/A	10	256	447	3,964
2024-03-26	$82.47	$82.00	8.1%	2.3%	6.4%	7.6%	7.3%	1.2%	0.7%	-816.5K	-752.3K	-16.4K	0.00	73.51	N/A	N/A	0	1,005	447	4,213
2024-03-27	$83.20	$82.00	7.3%	2.1%	7.0%	0.0%	0.0%	2.4%	3.2%	-294.7K	-1.8M	-11.0K	0.00	80.06	N/A	N/A	1	0	447	5,210
2024-03-28	$83.63	$82.00	7.5%	2.1%	7.1%	2.0%	0.0%	1.3%	1.1%	-98.2K	-2.2M	-9.8K	12.83	80.25	N/A	N/A	6	77	447	5,210