USMV Options History — July 2024

In July 2024, USMV traded between $83.69 and $87.22. ATM implied volatility averaged 7.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.6% (HV 20d: 6.9%). Max pain ranged from $83.00 to $83.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 13.51.

Notable Days

  • 2024-07-02: Highest Volume — 1,150 contracts
  • 2024-07-26: Largest IV spike — 36.1% change
  • 2024-07-31: Highest IV Rank — 53.6%
  • 2024-07-31: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.44$83.69$87.22$83.69$87.22
Max Pain$83.00$83.00$83.00$83.00$83.00
ATM IV7.5%5.1%11.1%6.1%11.1%
Expected Move2.2%1.6%3.2%1.8%3.2%
HV 20d6.9%5.8%8.0%6.1%7.7%
HV 60d7.1%6.5%7.3%7.3%7.2%
IV Rank22.8%1.7%53.6%10.7%53.6%
IV Percentile24.3%0.4%79.4%5.2%79.4%
Term Structure1.5%-0.2%5.7%5.7%0.0%
VWIV9.5%5.1%16.5%14.0%11.1%
Skew 25d1.2%0.0%5.0%0.4%1.8%
Skew 10d1.2%-0.6%4.1%4.1%0.6%
Call IV 25d5.1%4.2%6.5%5.0%5.8%
Put IV 25d6.3%5.0%10.0%5.3%7.6%
Bid-Ask Spread %99.7687.42108.1787.6996.92
Gamma HHI0.180.120.390.240.13
Net GEX-159.1K-620.1K-14.1K-398.8K-95.6K
Net DEX-1.0M-1.4M-469.2K-570.8K-1.3M
Net VEX-10.0K-11.9K-7.8K-11.5K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.510.00106.440.003.00
Total Volume136.95501,1502160
Total OI2,981.3641,5324,0162,3232,711

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$83.69$83.006.1%1.8%6.1%10.7%0.0%0.4%5.7%-398.8K-570.8K-11.5K0.0087.69N/AN/A203082,015
2024-07-02$83.93$83.006.1%1.8%6.1%10.6%14.0%1.4%2.9%-317.2K-601.6K-11.4K0.0087.42N/AN/A01,1503082,015
2024-07-03$83.82$83.006.9%2.0%5.8%17.7%7.2%0.6%0.7%-620.1K-529.8K-11.7K0.0090.63N/AN/A603073,165
2024-07-05$84.02$83.006.2%2.3%5.9%11.4%8.2%1.2%0.2%-440.3K-813.7K-10.0K0.00107.90N/AN/A603103,365
2024-07-08$84.16$83.005.2%1.7%5.9%2.8%0.0%1.1%2.0%-14.1K-1.3M-7.8K0.00106.75N/AN/A013163,365
2024-07-09$84.02$83.005.1%1.9%5.9%1.7%5.2%0.8%0.9%-75.9K-1.2M-8.0K0.00103.48N/AN/A0423163,366
2024-07-10$84.47$83.006.0%1.7%6.1%9.2%5.1%0.0%1.3%-119.0K-1.3M-8.1K0.0099.48N/AN/A0933163,406
2024-07-11$84.93$83.006.7%1.9%6.0%15.2%0.0%0.5%1.2%-57.8K-1.1M-9.3K0.00106.31N/AN/A003163,500
2024-07-12$85.80$83.006.2%1.8%6.7%11.0%0.0%0.9%1.1%-36.1K-1.4M-8.6K11.00105.18N/AN/A101103163,500
2024-07-15$85.75$83.005.5%1.6%6.8%4.7%0.0%1.4%3.5%-125.4K-943.2K-10.4K0.00107.95N/AN/A103163,610
2024-07-16$86.50$83.006.6%1.9%7.1%14.5%0.0%0.6%1.3%-99.6K-1.3M-8.8K9.33101.87N/AN/A6563173,610
2024-07-17$86.84$83.008.8%2.5%6.8%34.0%8.6%0.7%0.8%-122.3K-1.4M-8.9K0.2999.34N/AN/A723213,687
2024-07-18$86.32$83.008.0%2.3%7.3%26.9%0.0%1.0%0.9%-141.1K-972.5K-10.6K0.00103.77N/AN/A01263273,689
2024-07-19$85.65$83.009.9%2.8%7.9%43.6%14.0%1.5%0.5%-97.8K-892.7K-10.4K18.5096.19N/AN/A2373273,623
2024-07-22$85.98$83.009.8%2.8%8.0%42.3%5.5%5.0%0.3%-92.4K-996.1K-9.5K0.5098.54N/AN/A843201,212
2024-07-23$85.70$83.007.2%2.1%7.7%19.6%16.5%0.7%0.3%-73.0K-1.0M-9.1K7.75102.78N/AN/A12933281,216
2024-07-24$85.38$83.009.6%2.8%7.6%41.2%8.9%0.9%-0.2%-135.6K-469.2K-11.9K45.0092.62N/AN/A1453311,309
2024-07-25$85.65$83.006.5%1.9%7.3%13.5%0.0%1.3%3.2%-133.4K-795.9K-11.0K0.00108.17N/AN/A003311,353
2024-07-26$86.38$83.008.8%2.5%7.8%33.9%0.0%1.1%0.4%-95.4K-1.1M-9.7K0.86104.43N/AN/A35303311,353
2024-07-29$86.66$83.0010.7%3.1%7.7%50.9%11.1%1.0%-0.1%-71.3K-1.3M-10.1K106.4494.09N/AN/A99583651,383
2024-07-30$86.80$83.008.6%2.5%7.6%32.0%0.0%1.3%5.2%-137.6K-1.2M-11.9K0.0093.11N/AN/A103692,341
2024-07-31$87.22$83.0011.1%3.2%7.7%53.6%0.0%1.8%0.0%-95.6K-1.3M-11.5K3.0096.92N/AN/A401203702,341