USMV Options History — September 2024

In September 2024, USMV traded between $89.38 and $91.78. ATM implied volatility averaged 10.3%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.2% (HV 20d: 8.1%). Max pain ranged from $84.00 to $89.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 10.09.

Notable Days

  • 2024-09-17: Highest Volume — 137 contracts
  • 2024-09-05: Largest IV spike — 34.0% change
  • 2024-09-09: Highest IV Rank — 46.6%
  • 2024-09-06: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.82$89.38$91.78$90.60$91.13
Max Pain$86.95$84.00$89.00$84.00$87.00
ATM IV10.3%8.4%14.0%9.5%10.3%
Expected Move3.0%2.4%3.8%2.7%3.0%
HV 20d8.1%6.6%8.9%7.9%8.6%
HV 60d9.4%9.0%9.6%9.0%9.6%
IV Rank27.6%18.0%46.6%23.5%27.6%
IV Percentile62.3%25.0%95.6%57.1%67.9%
Term Structure1.4%-0.1%4.8%-0.1%4.8%
VWIV14.6%7.6%25.7%25.7%10.9%
Skew 25d3.3%-3.8%8.4%-3.2%5.6%
Skew 10d5.8%-3.3%11.6%-3.3%3.7%
Call IV 25d7.4%5.1%12.3%12.3%6.3%
Put IV 25d10.7%7.7%14.6%9.1%11.9%
Bid-Ask Spread %89.2978.42116.3097.4681.81
Gamma HHI0.130.110.150.130.14
Net GEX-120.8K-229.2K-42.6K-108.3K-97.5K
Net DEX-1.3M-2.1M-492.1K-1.6M-492.1K
Net VEX-15.6K-19.2K-13.1K-16.8K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.090.0047.001.500.33
Total Volume31.850137774
Total OI2,610.851,8223,0852,7651,833

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$90.60$84.009.5%2.7%7.9%23.5%0.0%-3.2%-0.1%-108.3K-1.6M-16.8K0.0097.46N/AN/A0774582,307
2024-09-04$90.84$84.009.6%2.7%6.6%23.8%25.7%-3.8%0.5%-109.1K-1.7M-16.2K1.50102.12N/AN/A464602,384
2024-09-05$90.13$85.0012.8%3.3%7.3%40.4%0.0%8.4%0.9%-145.7K-1.3M-17.9K27.0079.58N/AN/A1274612,389
2024-09-06$89.38$85.0011.4%3.8%7.8%33.3%7.6%5.8%1.5%-229.2K-779.4K-19.2K0.2585.14N/AN/A414612,416
2024-09-09$90.07$89.0014.0%3.6%8.0%46.6%0.0%4.2%-0.1%-178.9K-1.3M-17.3K4.8384.94N/AN/A6294612,417
2024-09-10$90.34$89.0010.9%3.6%7.8%30.6%0.0%1.3%0.4%-191.8K-1.3M-17.8K0.0084.98N/AN/A004612,446
2024-09-11$89.97$89.0011.4%3.3%7.7%33.1%16.4%1.1%0.8%-203.6K-1.2M-17.3K5.5078.60N/AN/A8444612,446
2024-09-12$90.78$89.0010.1%2.9%7.9%26.5%14.2%5.5%2.4%-173.9K-1.5M-17.1K0.0085.95N/AN/A084672,490
2024-09-13$91.27$89.0010.6%3.0%7.8%29.1%24.0%3.6%1.4%-130.5K-1.9M-15.5K43.5078.42N/AN/A2874672,498
2024-09-16$91.78$89.0010.2%2.9%7.9%27.3%0.0%8.0%2.3%-114.7K-2.1M-14.3K0.0089.39N/AN/A004672,584
2024-09-17$91.16$89.0011.1%3.2%8.3%31.8%12.0%6.9%1.0%-139.1K-1.8M-15.4K0.0186.07N/AN/A13614672,585
2024-09-18$90.88$86.008.7%2.5%8.4%19.4%0.0%2.6%1.9%-120.4K-1.8M-14.8K47.00116.30N/AN/A1474602,586
2024-09-19$91.27$86.0010.2%2.9%8.4%26.8%0.0%-0.1%1.2%-79.3K-1.9M-14.6K0.0088.15N/AN/A2704612,611
2024-09-20$91.28$86.0010.6%3.1%8.4%29.3%0.0%3.2%-0.0%-60.6K-2.1M-14.1K0.0084.50N/AN/A1104742,611
2024-09-23$91.56$86.008.4%2.4%8.3%18.0%0.0%4.1%2.1%-51.0K-942.5K-14.5K0.0095.22N/AN/A003491,473
2024-09-24$91.35$86.009.7%2.8%8.3%24.4%8.4%5.5%0.9%-42.6K-861.2K-14.4K0.9094.30N/AN/A50453491,473
2024-09-25$90.66$87.008.5%2.4%8.8%18.5%12.4%1.2%2.1%-85.7K-581.0K-13.9K0.3384.98N/AN/A623081,518
2024-09-26$90.88$87.008.8%2.5%8.9%19.8%0.0%3.2%2.4%-71.8K-684.9K-13.1K0.00101.44N/AN/A003111,518
2024-09-27$91.09$87.009.1%2.6%8.8%21.6%0.0%3.5%2.0%-82.8K-573.3K-14.0K0.0086.46N/AN/A033111,518
2024-09-30$91.13$87.0010.3%3.0%8.6%27.6%10.9%5.6%4.8%-97.5K-492.1K-14.8K0.3381.81N/AN/A313111,522