USMV Options History — May 2024

In May 2024, USMV traded between $80.53 and $84.03. ATM implied volatility averaged 7.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.3% (HV 20d: 6.9%). Max pain ranged from $79.00 to $81.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 47.08.

Notable Days

  • 2024-05-15: Highest Volume — 1,805 contracts
  • 2024-05-28: Largest IV spike — 80.5% change
  • 2024-05-28: Highest IV Rank — 45.1%
  • 2024-05-14: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.53$80.53$84.03$80.72$82.31
Max Pain$79.41$79.00$81.00$81.00$79.00
ATM IV7.2%5.4%10.4%7.7%6.2%
Expected Move2.0%1.6%3.1%2.2%1.8%
HV 20d6.9%5.5%8.3%8.1%8.3%
HV 60d7.6%7.2%7.9%7.7%7.7%
IV Rank10.4%0.0%45.1%4.6%6.7%
IV Percentile8.7%0.0%67.1%2.0%2.0%
Term Structure2.0%-6.1%14.5%-0.6%2.6%
VWIV10.1%5.8%18.8%8.1%18.8%
Skew 25d1.0%-0.5%5.1%0.6%0.7%
Skew 10d-0.8%-3.8%5.9%-1.9%0.9%
Call IV 25d6.5%5.3%7.9%7.9%5.9%
Put IV 25d7.5%6.0%10.6%8.5%6.6%
Bid-Ask Spread %111.97106.43120.28120.28109.72
Gamma HHI0.270.160.400.300.21
Net GEX-282.7K-740.9K69.4K-514.1K-37.5K
Net DEX-533.0K-1.9M1.2M731.4K-909.1K
Net VEX-16.2K-21.9K-12.4K-19.6K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio47.080.00360.005.000.25
Total Volume118.54501,80515
Total OI3,255.6822,5414,7482,5413,658

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$80.72$81.007.7%2.2%8.1%4.6%8.1%0.6%-0.6%-514.1K731.4K-19.6K0.00120.28N/AN/A014762,065
2024-05-02$80.53$81.007.3%2.1%7.3%0.5%0.0%-0.4%-0.7%-618.5K1.2M-20.7K0.00113.66N/AN/A004772,064
2024-05-03$81.09$81.007.0%2.0%7.5%0.0%0.0%0.8%2.6%-167.9K-385.6K-15.5K0.00118.95N/AN/A034772,064
2024-05-06$81.45$79.007.7%2.0%7.8%7.3%8.0%0.9%3.6%-450.9K331.7K-17.5K5.00115.95N/AN/A154772,067
2024-05-07$82.05$79.006.6%1.8%8.2%0.0%7.1%2.7%4.2%-370.0K-310.3K-16.4K25.00114.08N/AN/A2504792,067
2024-05-08$82.19$79.007.2%2.4%7.9%5.5%0.0%0.5%0.3%-353.8K-330.4K-16.0K0.00111.24N/AN/A074812,117
2024-05-09$82.50$79.008.9%1.9%8.0%23.3%6.0%0.5%2.9%-248.0K-596.7K-14.4K21.33109.45N/AN/A61284812,124
2024-05-10$82.91$79.006.5%1.7%6.3%0.0%0.0%4.7%5.6%-51.4K-1.2M-13.8K0.00106.43N/AN/A02004812,252
2024-05-13$82.85$79.008.6%2.1%5.6%21.4%0.0%0.1%5.6%-77.2K-781.3K-16.2K0.00110.88N/AN/A004812,452
2024-05-14$82.97$79.009.5%3.1%5.5%30.8%9.8%0.2%-0.1%-64.9K-1.1M-15.2K0.00106.75N/AN/A204812,452
2024-05-15$83.48$79.008.7%2.5%5.6%22.3%16.2%0.7%1.0%3.1K-1.7M-13.0K360.00109.58N/AN/A51,8004802,452
2024-05-16$83.85$79.005.5%1.6%5.7%0.0%10.1%2.5%14.5%69.4K-1.9M-12.4K0.00114.79N/AN/A0314804,237
2024-05-17$84.03$79.006.6%1.9%5.6%10.7%0.0%1.2%0.5%-45.5K-1.6M-13.2K0.00108.57N/AN/A014804,268
2024-05-20$83.90$79.005.4%1.6%5.6%0.0%6.3%-0.2%2.8%-261.3K-1.2M-14.6K15.00107.15N/AN/A3454573,003
2024-05-21$83.81$80.005.5%1.6%5.6%0.7%16.7%1.4%0.2%-350.3K-885.2K-16.5K44.20110.58N/AN/A52214593,048
2024-05-22$83.77$80.005.6%1.6%5.7%1.6%0.0%-0.5%0.0%-639.8K398.9K-21.9K0.00111.39N/AN/A004643,269
2024-05-23$82.87$80.007.6%2.2%7.1%20.4%11.2%5.1%2.0%-703.9K474.2K-21.7K0.00118.15N/AN/A0824643,269
2024-05-24$82.97$79.005.7%1.6%7.0%2.9%5.8%0.3%2.4%-347.5K-1.1M-15.3K0.00110.02N/AN/A104643,191
2024-05-28$82.19$79.0010.4%3.0%8.0%45.1%0.0%-0.1%-6.1%-740.9K-16.3K-18.9K0.00106.95N/AN/A004643,191
2024-05-29$81.66$79.007.1%2.0%8.0%15.3%7.0%0.8%2.5%-138.6K-399.2K-14.5K0.00116.23N/AN/A304643,191
2024-05-30$81.66$79.006.5%1.9%8.0%9.4%0.0%0.0%-0.7%-109.4K-475.1K-14.4K0.00112.61N/AN/A014663,191
2024-05-31$82.31$79.006.2%1.8%8.3%6.7%18.8%0.7%2.6%-37.5K-909.1K-13.6K0.25109.72N/AN/A414663,192