USMV Options History — October 2024

In October 2024, USMV traded between $90.02 and $92.78. ATM implied volatility averaged 11.8%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.3% (HV 20d: 8.6%). Max pain ranged from $87.00 to $91.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.73.

Notable Days

  • 2024-10-22: Highest Volume — 45 contracts
  • 2024-10-07: Largest IV spike — 52.7% change
  • 2024-10-31: Highest IV Rank — 56.3%
  • 2024-10-31: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.53$90.02$92.78$91.18$90.22
Max Pain$89.09$87.00$91.00$87.00$91.00
ATM IV11.8%7.8%15.9%11.3%15.9%
Expected Move3.5%3.1%4.6%3.2%4.6%
HV 20d8.6%7.4%9.0%8.3%9.0%
HV 60d9.6%8.1%9.9%9.6%8.2%
IV Rank35.4%15.0%56.3%32.7%56.3%
IV Percentile82.6%19.8%98.8%81.7%98.8%
Term Structure-0.0%-2.8%1.7%1.3%-2.8%
VWIV13.1%9.9%18.4%12.9%18.4%
Skew 25d5.4%0.3%10.2%0.3%10.2%
Skew 10d4.9%-0.2%13.5%2.2%8.6%
Call IV 25d7.8%5.5%10.7%9.1%7.9%
Put IV 25d13.2%8.6%18.1%9.3%18.1%
Bid-Ask Spread %81.7266.7791.6784.9285.48
Gamma HHI0.120.110.130.120.12
Net GEX-24.5K-109.1K26.4K-63.6K-44.2K
Net DEX-759.1K-1.4M-104.2K-493.7K-104.2K
Net VEX-13.3K-16.0K-11.0K-15.0K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0010.000.004.00
Total Volume10.26104575
Total OI1,900.5221,8361,9671,8571,962

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$91.18$87.0011.3%3.2%8.3%32.7%0.0%0.3%1.3%-63.6K-493.7K-15.0K0.0084.92N/AN/A073341,523
2024-10-02$90.95$87.0011.0%3.2%8.3%31.3%0.0%3.0%1.5%-65.3K-395.8K-15.5K0.0091.10N/AN/A203341,530
2024-10-03$90.59$88.0011.3%3.6%7.9%32.9%0.0%5.1%0.1%-76.8K-335.4K-15.9K0.0066.77N/AN/A003361,530
2024-10-04$91.02$88.008.0%3.5%7.4%15.8%0.0%6.4%0.5%-65.8K-288.1K-15.8K0.0077.15N/AN/A003361,530
2024-10-07$90.02$88.0012.2%3.8%8.1%37.4%0.0%2.5%-0.4%-109.1K-119.6K-16.0K0.0090.71N/AN/A303361,530
2024-10-08$90.91$88.007.8%3.5%8.7%15.0%12.9%6.9%1.1%-60.5K-368.0K-14.8K0.0073.32N/AN/A0103361,530
2024-10-09$91.63$88.0011.6%3.3%9.0%34.2%0.0%9.0%1.1%-8.2K-775.2K-13.5K0.0076.67N/AN/A503361,535
2024-10-10$91.28$88.0012.6%3.6%8.6%39.5%0.0%7.2%-0.2%-22.2K-803.4K-13.2K0.0078.57N/AN/A103391,535
2024-10-11$91.98$88.0011.4%3.3%8.8%33.0%0.0%7.1%1.7%11.4K-973.1K-12.5K0.0084.21N/AN/A0133391,535
2024-10-14$92.59$88.0011.3%3.2%8.9%32.5%0.0%3.8%-1.9%8.1K-1.2M-11.7K10.0077.45N/AN/A1103391,548
2024-10-15$92.23$88.0012.2%3.5%8.6%37.5%11.6%6.6%1.3%26.4K-1.2M-11.1K0.1887.28N/AN/A2243391,558
2024-10-16$92.78$89.0011.4%3.3%8.7%33.2%0.0%5.8%-1.1%5.9K-1.2M-12.2K6.2584.66N/AN/A4253611,562
2024-10-17$92.78$89.0011.3%3.2%8.6%32.6%11.1%3.9%-1.5%-12.1K-1.4M-11.1K0.2480.47N/AN/A1743641,587
2024-10-18$92.78$89.0010.7%3.1%8.6%29.4%0.0%3.2%-1.2%4.8K-1.4M-11.8K0.0075.51N/AN/A053761,591
2024-10-21$92.34$89.0011.8%3.4%8.8%35.3%0.0%4.6%-0.2%-17.8K-1.1M-11.9K0.0085.52N/AN/A003641,472
2024-10-22$92.19$90.0011.7%3.4%8.8%34.8%12.0%2.9%1.5%-14.4K-982.6K-11.0K0.0291.67N/AN/A4413641,473
2024-10-23$91.94$91.0012.5%3.6%8.4%38.9%0.0%7.6%0.5%-32.4K-793.6K-14.2K0.0083.17N/AN/A004051,524
2024-10-24$91.66$91.0012.3%3.5%8.4%38.0%9.9%3.9%0.8%-26.8K-865.2K-13.2K0.0077.27N/AN/A204051,524
2024-10-25$91.06$91.0013.2%3.8%8.8%42.3%0.0%4.6%-0.4%-5.8K-647.5K-13.1K0.0080.30N/AN/A014131,524
2024-10-28$91.22$91.0013.5%3.9%8.8%43.9%11.6%9.0%-0.2%-27.1K-542.5K-13.7K0.0280.38N/AN/A4114131,525
2024-10-29$91.15$91.0013.3%3.8%8.8%42.9%17.5%2.2%-0.6%25.6K-999.4K-12.2K0.0089.74N/AN/A074281,526
2024-10-30$90.69$91.0013.6%3.9%8.9%44.5%0.0%7.8%-1.0%6.6K-576.4K-13.0K0.0077.22N/AN/A014281,533
2024-10-31$90.22$91.0015.9%4.6%9.0%56.3%18.4%10.2%-2.8%-44.2K-104.2K-14.6K4.0085.48N/AN/A144281,534