USMC Options History — May 2018 In May 2018, USMC traded between $25.05 and $26.07. ATM implied volatility averaged 83.7%. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 70.6% (HV 20d: 13.1%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.12.
Notable Days 2018-05-15 : Highest Volume — 70 contracts2018-05-23 : Largest IV spike — 523.1% change2018-05-18 : Largest Expected Move — 52.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.72 $25.05 $26.07 $25.18 $25.80 ATM IV 83.7% 16.2% 184.1% 143.3% 62.0% Expected Move 22.3% 4.6% 52.8% 41.1% 17.8% HV 20d 13.1% 10.4% 18.4% 18.4% 13.0% HV 60d 17.2% 17.1% 17.4% 17.1% 17.3% Term Structure -23.6% -90.8% 60.2% 1.1% -27.1% Skew 25d 13.3% -4.4% 51.4% 27.2% 39.5% Skew 10d 3.3% -63.9% 92.1% 27.9% 8.1% Call IV 25d 70.9% 12.2% 158.5% 92.1% 67.0% Put IV 25d 84.2% 15.5% 170.3% 119.2% 106.5% Bid-Ask Spread % 162.36 120.43 195.93 174.53 177.04 Gamma HHI 0.59 0.31 0.88 0.88 0.33 Net GEX 4.8K 1.2K 9.1K 1.2K 6.7K Net DEX -72.6K -144.3K -19.9K -72.1K -127.9K Net VEX -552 -856 -271 -395 -856 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.12 0.06 0.27 0.17 0.06 Total Volume 43.182 14 70 14 66 Total OI 101 64 139 64 139
Daily Data (22 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 2018-05-01 $25.18 $0.00 143.3% 41.1% 18.4% 0.0% 0.0% 27.2% 1.1% 1.2K -72.1K -395 0.17 174.53 N/A N/A 12 2 61 3 2018-05-02 $25.28 $0.00 121.8% 34.9% 17.9% 0.0% 0.0% 11.8% -38.4% 2.0K -54.6K -375 0.17 178.76 N/A N/A 12 2 61 3 2018-05-03 $25.05 $0.00 127.6% 6.0% 17.8% 0.0% 0.0% 2.0% 5.2% 2.7K -24.5K -271 0.17 128.74 N/A N/A 12 2 61 3 2018-05-04 $25.44 $0.00 50.6% 9.2% 14.9% 0.0% 0.0% 14.7% -4.6% 2.8K -38.1K -340 0.17 150.91 N/A N/A 12 2 61 3 2018-05-07 $25.43 $0.00 20.1% 5.8% 13.8% 0.0% 0.0% 3.1% 5.8% 3.0K -28.9K -295 0.17 123.35 N/A N/A 12 2 61 3 2018-05-08 $25.40 $0.00 37.1% 9.5% 13.1% 0.0% 0.0% 7.6% -4.3% 2.8K -38.1K -335 0.17 159.56 N/A N/A 12 2 61 3 2018-05-09 $25.65 $0.00 59.5% 17.1% 13.3% 0.0% 0.0% -4.4% -28.9% 2.7K -42.8K -349 0.17 170.65 N/A N/A 12 2 61 3 2018-05-10 $25.85 $0.00 82.0% 23.5% 13.0% 0.0% 0.0% 11.7% -41.8% 2.0K -59.2K -379 0.17 174.55 N/A N/A 12 2 61 3 2018-05-11 $25.96 $0.00 82.6% 23.7% 12.9% 0.0% 0.0% 9.0% -44.5% 2.1K -56.7K -373 0.27 176.94 N/A N/A 15 4 61 3 2018-05-14 $26.03 $0.00 85.1% 24.4% 12.6% 0.0% 0.0% 11.6% -40.4% 2.3K -55.0K -403 0.27 172.21 N/A N/A 15 4 64 5 2018-05-15 $25.81 $0.00 86.5% 24.8% 12.5% 0.0% 0.0% 11.9% -75.8% 3.6K -19.9K -272 0.06 168.80 N/A N/A 66 4 64 5 2018-05-16 $25.98 $0.00 175.4% 50.3% 12.7% 0.0% 0.0% 51.4% -90.8% 8.4K -57.7K -541 0.06 189.01 N/A N/A 66 4 120 5 2018-05-17 $25.87 $0.00 87.1% 25.0% 12.3% 0.0% 0.0% 11.7% -37.0% 5.3K -108.4K -794 0.06 181.81 N/A N/A 62 4 127 5 2018-05-18 $25.85 $0.00 184.1% 52.8% 11.9% 0.0% 0.0% 26.7% -88.4% 3.7K -144.3K -818 0.06 195.93 N/A N/A 62 4 134 5 2018-05-21 $26.02 $0.00 55.1% 15.8% 12.0% 0.0% 0.0% 19.4% -14.8% 8.7K -74.1K -667 0.06 151.84 N/A N/A 62 4 134 5 2018-05-22 $26.07 $0.00 16.2% 4.6% 10.8% 0.0% 0.0% 3.2% 43.4% 9.1K -78.9K -713 0.06 120.43 N/A N/A 62 4 134 5 2018-05-23 $25.90 $0.00 100.9% 28.9% 11.2% 0.0% 0.0% 13.6% -33.1% 6.0K -123.6K -855 0.06 175.70 N/A N/A 62 4 134 5 2018-05-24 $25.91 $0.00 41.2% 11.8% 10.4% 0.0% 0.0% -0.8% -11.8% 7.5K -99.9K -798 0.06 154.95 N/A N/A 62 4 134 5 2018-05-25 $25.92 $0.00 41.7% 11.9% 10.4% 0.0% 0.0% -0.8% -12.9% 8.2K -87.4K -747 0.06 141.46 N/A N/A 62 4 134 5 2018-05-29 $25.54 $0.00 115.1% 33.0% 11.6% 0.0% 0.0% 15.2% -41.1% 5.1K -120.2K -824 0.06 174.29 N/A N/A 62 4 134 5 2018-05-30 $25.98 $0.00 67.3% 19.3% 12.6% 0.0% 0.0% 6.3% 60.2% 8.9K -85.2K -737 0.06 130.37 N/A N/A 62 4 134 5 2018-05-31 $25.80 $0.00 62.0% 17.8% 13.0% 0.0% 0.0% 39.5% -27.1% 6.7K -127.9K -856 0.06 177.04 N/A N/A 62 4 134 5
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