USMV Options History — November 2024

In November 2024, USMV traded between $89.88 and $94.72. ATM implied volatility averaged 9.7%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.8% (HV 20d: 10.5%). Max pain ranged from $84.00 to $91.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.59.

Notable Days

2024-11-21: Highest Volume — 105 contracts
2024-11-14: Largest IV spike — 81.1% change
2024-11-04: Highest IV Rank — 59.8%
2024-11-01: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.53	$89.88	$94.72	$90.05	$94.72
Max Pain	$85.30	$84.00	$91.00	$91.00	$84.00
ATM IV	9.7%	6.2%	16.6%	15.6%	7.9%
Expected Move	2.7%	1.8%	4.5%	4.5%	2.3%
HV 20d	10.5%	7.5%	12.0%	8.8%	11.5%
HV 60d	9.1%	8.0%	9.8%	8.0%	9.6%
IV Rank	24.3%	6.5%	59.8%	54.4%	15.3%
IV Percentile	45.9%	8.3%	98.8%	98.0%	23.4%
Term Structure	0.4%	-3.0%	5.2%	-2.4%	0.2%
VWIV	14.5%	7.2%	44.7%	7.2%	8.3%
Skew 25d	2.4%	-2.2%	9.0%	9.0%	-2.2%
Skew 10d	3.0%	-4.1%	10.6%	5.4%	-4.1%
Call IV 25d	8.0%	5.1%	12.0%	7.2%	10.1%
Put IV 25d	10.4%	6.7%	16.2%	16.2%	7.9%
Bid-Ask Spread %	93.81	74.11	103.70	93.91	98.68
Gamma HHI	0.16	0.10	0.23	0.11	0.23
Net GEX	55.8K	-40.4K	225.7K	-37.1K	4.0K
Net DEX	-1.4M	-2.7M	58.2K	-165.9K	-1.4M
Net VEX	-14.8K	-21.1K	-8.0K	-13.6K	-21.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.59	0.00	14.40	0.00	0.00
Total Volume	41.55	0	105	2	6
Total OI	2,142.35	1,902	2,509	1,964	2,509

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
2024-11-01	$90.05	$91.00	15.6%	4.5%	8.8%	54.4%	0.0%	9.0%	-2.4%	-37.1K	-165.9K	-13.6K	0.00	93.91	N/A	N/A	2	0	429	1,535
2024-11-04	$89.88	$87.00	16.6%	3.9%	7.9%	59.8%	7.2%	4.3%	-1.1%	-40.4K	58.2K	-13.5K	6.82	74.11	N/A	N/A	11	75	431	1,535
2024-11-05	$90.53	$84.00	15.6%	3.6%	7.5%	54.5%	0.0%	6.5%	-0.7%	51.5K	-1.2M	-11.5K	0.00	74.11	N/A	N/A	0	0	442	1,460
2024-11-06	$92.40	$84.00	6.7%	2.9%	10.2%	9.0%	14.3%	0.7%	-3.0%	149.0K	-2.0M	-10.0K	0.55	102.35	N/A	N/A	11	6	442	1,460
2024-11-07	$92.81	$84.00	7.0%	2.2%	10.2%	10.8%	0.0%	5.6%	4.7%	217.5K	-2.4M	-8.9K	0.00	93.73	N/A	N/A	1	0	453	1,460
2024-11-08	$93.41	$84.00	7.4%	2.0%	10.1%	12.6%	0.0%	1.9%	2.2%	225.7K	-2.7M	-8.0K	3.00	92.08	N/A	N/A	22	66	454	1,460
2024-11-11	$93.38	$84.00	8.5%	2.6%	9.8%	18.5%	11.4%	2.6%	1.6%	128.2K	-2.0M	-11.2K	0.62	94.29	N/A	N/A	55	34	436	1,606
2024-11-12	$93.19	$84.00	7.8%	2.1%	9.7%	14.6%	8.6%	-0.5%	4.3%	130.6K	-2.0M	-14.4K	7.33	99.10	N/A	N/A	3	22	486	1,620
2024-11-13	$93.22	$84.00	6.3%	1.8%	9.5%	7.1%	0.0%	2.0%	5.2%	118.9K	-2.0M	-13.3K	0.00	95.15	N/A	N/A	13	0	487	1,642
2024-11-14	$92.20	$84.00	11.4%	3.3%	10.3%	33.4%	12.9%	4.4%	-2.2%	169.9K	-1.7M	-13.2K	0.00	95.28	N/A	N/A	0	34	487	1,642
2024-11-15	$91.10	$85.00	11.4%	3.3%	11.1%	33.0%	14.0%	1.7%	-0.7%	130.4K	-878.5K	-14.5K	0.22	96.09	N/A	N/A	59	13	487	1,675
2024-11-18	$91.47	$85.00	11.9%	3.4%	11.2%	35.6%	44.7%	4.9%	-1.9%	11.4K	-950.5K	-14.8K	0.14	86.95	N/A	N/A	7	1	469	1,648
2024-11-19	$91.26	$86.00	9.2%	2.6%	11.2%	21.8%	13.3%	0.1%	-1.9%	-36.8K	-764.0K	-15.8K	0.10	92.46	N/A	N/A	10	1	471	1,649
2024-11-20	$91.88	$86.00	11.8%	3.4%	11.4%	35.4%	0.0%	4.3%	-1.3%	-5.1K	-1.2M	-15.3K	14.40	96.33	N/A	N/A	5	72	476	1,650
2024-11-21	$92.91	$86.00	8.1%	2.3%	12.0%	16.2%	0.0%	-0.8%	1.4%	-13.5K	-1.3M	-18.1K	0.00	99.54	N/A	N/A	0	105	484	1,772
2024-11-22	$93.43	$86.00	7.2%	2.1%	11.8%	11.9%	15.7%	-0.7%	2.1%	-31.9K	-1.2M	-20.1K	5.67	95.14	N/A	N/A	3	17	484	1,877
2024-11-25	$93.75	$86.00	8.4%	2.4%	11.8%	18.0%	9.4%	2.6%	-0.5%	-22.3K	-1.4M	-19.6K	0.00	93.33	N/A	N/A	16	0	485	1,894
2024-11-26	$94.47	$86.00	6.2%	1.8%	12.0%	6.5%	0.0%	3.1%	3.3%	-7.7K	-1.7M	-18.9K	0.00	103.70	N/A	N/A	0	75	494	1,894
2024-11-27	$94.47	$86.00	8.3%	2.4%	11.8%	17.3%	8.3%	-1.6%	-0.5%	-26.6K	-1.6M	-20.6K	0.00	99.78	N/A	N/A	0	86	494	1,968
2024-11-29	$94.72	$84.00	7.9%	2.3%	11.5%	15.3%	0.0%	-2.2%	0.2%	4.0K	-1.4M	-21.1K	0.00	98.68	N/A	N/A	6	0	494	2,015