USMC Options History — April 2018 In April 2018, USMC traded between $24.79 and $26.00. ATM implied volatility averaged 78.0%. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 55.5% (HV 20d: 22.4%). Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.45.
Notable Days 2018-04-18 : Highest Volume — 24 contracts2018-04-19 : Largest IV spike — 407.9% change2018-04-04 : Largest Expected Move — 34.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.43 $24.79 $26.00 $24.79 $25.36 ATM IV 78.0% 17.6% 145.0% 117.8% 33.4% Expected Move 19.7% 5.0% 34.8% 33.8% 9.6% HV 20d 22.4% 18.7% 24.8% 24.8% 18.7% Term Structure -24.2% -59.9% 19.8% -44.5% -17.1% Skew 25d 18.6% -28.3% 83.4% 12.7% 11.2% Skew 10d 23.4% -67.8% 98.3% 32.1% 1.3% Call IV 25d 85.4% 14.6% 159.9% 153.4% 24.7% Put IV 25d 104.0% 15.9% 194.4% 166.1% 35.8% Bid-Ask Spread % 167.22 121.94 193.11 167.88 159.10 Gamma HHI 0.60 0.37 1.00 0.38 0.80 Net GEX 402 -1.7K 2.3K 2 2.3K Net DEX -11.5K -61.5K 3.1K 370 -34.6K Net VEX -108 -355 0 -27 -302 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.09 1.00 1.00 0.17 Total Volume 10.381 4 24 4 14 Total OI 18.571 4 56 4 56
Daily Data (21 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 2018-04-02 $24.79 $0.00 117.8% 33.8% 0.0% 0.0% 0.0% 12.7% -44.5% 2 370 -27 1.00 167.88 N/A N/A 2 2 2 2 2018-04-03 $25.10 $0.00 117.9% 33.8% 0.0% 0.0% 0.0% 15.7% -38.9% 5 100 -27 1.00 180.15 N/A N/A 2 2 2 2 2018-04-04 $25.42 $0.00 121.2% 34.8% 0.0% 0.0% 0.0% 11.2% -43.0% 1 82 -28 1.00 172.63 N/A N/A 2 2 2 2 2018-04-05 $25.64 $0.00 120.8% 22.1% 0.0% 0.0% 0.0% 27.6% -19.0% 4 -168 -28 1.00 173.53 N/A N/A 2 2 2 2 2018-04-06 $24.86 $0.00 40.7% 16.5% 0.0% 0.0% 0.0% -2.6% -56.2% -1.7K 3.1K -6 0.50 158.94 N/A N/A 4 2 2 2 2018-04-09 $25.27 $0.00 145.0% 17.6% 0.0% 0.0% 0.0% 83.4% -29.1% 42 -750 -47 0.50 181.45 N/A N/A 4 2 4 3 2018-04-10 $25.58 $0.00 43.8% 9.4% 0.0% 0.0% 0.0% 2.1% -9.3% 46 -455 -47 0.50 157.12 N/A N/A 4 2 4 3 2018-04-11 $25.39 $0.00 81.0% 23.2% 0.0% 0.0% 0.0% 14.9% -9.8% 0 9 0 0.50 170.78 N/A N/A 4 2 4 3 2018-04-12 $25.66 $0.00 80.8% 23.2% 0.0% 0.0% 0.0% 37.9% -23.1% 32 -1.4K -47 0.50 169.45 N/A N/A 4 2 4 3 2018-04-13 $25.53 $0.00 53.2% 15.3% 0.0% 0.0% 0.0% 8.9% -30.2% 30 -2.1K -47 0.50 161.60 N/A N/A 4 2 4 3 2018-04-16 $25.74 $0.00 85.5% 24.5% 24.8% 0.0% 0.0% 15.7% -32.3% 30 -2.1K -47 0.50 181.19 N/A N/A 4 2 4 3 2018-04-17 $26.00 $0.00 34.0% 9.7% 24.2% 0.0% 0.0% -11.4% 19.8% 0 275 -4 0.50 175.84 N/A N/A 4 2 4 3 2018-04-18 $25.92 $0.00 17.6% 5.0% 23.5% 0.0% 0.0% 1.3% 17.3% 46 -1.4K -46 0.09 121.94 N/A N/A 22 2 4 3 2018-04-19 $25.68 $0.00 89.2% 25.6% 23.2% 0.0% 0.0% 16.8% -21.8% 687 -18.8K -160 0.09 172.53 N/A N/A 22 2 22 3 2018-04-20 $25.46 $0.00 49.4% 14.2% 22.8% 0.0% 0.0% 81.4% -26.9% 900 -14.3K -145 0.09 173.86 N/A N/A 22 2 22 3 2018-04-23 $25.40 $0.00 59.3% 17.0% 22.2% 0.0% 0.0% 44.8% -13.6% 593 -20.1K -158 0.09 144.68 N/A N/A 22 2 22 3 2018-04-24 $25.08 $0.00 102.5% 29.4% 22.1% 0.0% 0.0% 11.9% -33.6% 582 -19.3K -157 0.14 172.16 N/A N/A 14 2 22 3 2018-04-25 $25.20 $0.00 28.7% 8.2% 22.0% 0.0% 0.0% -28.3% 19.3% 1.7K -34.7K -296 0.33 154.59 N/A N/A 6 2 47 3 2018-04-26 $25.51 $0.00 74.0% 21.2% 21.8% 0.0% 0.0% -0.7% -59.9% 2.0K -33.4K -290 0.25 169.06 N/A N/A 8 2 49 3 2018-04-27 $25.50 $0.00 141.6% 0.0% 21.5% 0.0% 0.0% 36.8% -56.7% 1.2K -61.5K -355 0.25 193.11 N/A N/A 8 2 53 3 2018-04-30 $25.36 $0.00 33.4% 9.6% 18.7% 0.0% 0.0% 11.2% -17.1% 2.3K -34.6K -302 0.17 159.10 N/A N/A 12 2 53 3
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