USMC Options History — March 2020

In March 2020, USMC traded between $22.65 and $30.40. ATM implied volatility averaged 78.5%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 23.5% (HV 20d: 55.0%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2020-03-05: Highest Volume — 6 contracts
  • 2020-03-12: Largest IV spike — 143.0% change
  • 2020-03-12: Highest IV Rank — 80.1%
  • 2020-03-12: Largest Expected Move — 39.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.43$22.65$30.40$29.81$26.02
Max Pain$30.14$30.00$31.00$31.00$30.00
ATM IV78.5%47.4%138.1%55.8%47.4%
Expected Move21.1%10.9%39.6%16.0%13.6%
HV 20d55.0%34.1%74.9%34.3%70.5%
HV 60d33.9%21.0%45.1%21.0%45.1%
IV Rank42.7%23.1%80.1%28.4%23.1%
IV Percentile73.7%50.0%95.6%63.5%50.0%
Term Structure-13.3%-40.2%1.9%-13.9%-2.3%
VWIV71.2%52.8%89.6%52.8%89.6%
Skew 25d26.7%10.7%89.2%22.2%21.6%
Skew 10d20.9%-2.5%82.4%13.4%13.8%
Call IV 25d47.7%28.3%77.4%39.4%35.9%
Put IV 25d74.4%47.0%138.0%61.6%57.4%
Bid-Ask Spread %158.33117.87182.97180.31128.34
Gamma HHI0.930.781.000.861.00
Net GEX419321.4K1.1K57
Net DEX-4.2K-17.1K1.3K-15.1K1.3K
Net VEX-28-61-10-44-10
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.001.001.001.001.00
Total Volume0.5450600
Total OI12.045419134

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$29.81$31.0055.8%16.0%34.3%28.4%0.0%22.2%-13.9%1.1K-15.1K-440.00180.31N/AN/A00130
2020-03-03$29.50$31.0057.6%16.5%34.1%29.5%0.0%11.6%-18.5%1.1K-13.7K-420.00182.97N/AN/A00130
2020-03-04$30.40$31.0054.5%15.6%35.6%27.6%0.0%15.7%-15.7%1.4K-17.1K-450.00177.44N/AN/A00130
2020-03-05$29.44$0.0068.3%10.9%36.7%36.3%52.8%18.8%1.9%1.2K-12.8K-391.00171.64N/AN/A33130
2020-03-06$29.01$30.0068.7%13.9%36.8%36.5%0.0%18.3%-8.1%963-11.5K-610.00171.54N/AN/A00163
2020-03-09$27.57$30.0063.6%12.9%40.1%33.3%0.0%20.7%-3.6%737-1.5K-400.00161.33N/AN/A00163
2020-03-10$28.37$30.00112.9%20.3%42.0%64.3%0.0%37.4%-6.1%632-13.0K-560.00164.62N/AN/A00163
2020-03-11$27.25$30.0056.8%16.3%43.5%29.1%0.0%17.7%-9.3%653-4.6K-460.00157.19N/AN/A00163
2020-03-12$25.18$30.00138.1%39.6%49.7%80.1%89.6%89.2%-40.2%360-1.3K-361.00175.74N/AN/A33163
2020-03-13$26.28$30.0068.4%19.6%53.4%36.3%0.0%21.7%-9.9%505-5.2K-290.00148.09N/AN/A00141
2020-03-16$24.75$30.00110.8%31.8%56.0%63.0%0.0%35.2%-30.5%37-878-190.00178.20N/AN/A00141
2020-03-17$25.42$30.0095.8%27.5%57.7%53.5%0.0%39.6%-24.5%41-818-180.00171.19N/AN/A00141
2020-03-18$23.78$30.00101.0%29.0%60.4%56.8%0.0%35.8%-18.6%35-251-160.00158.64N/AN/A00141
2020-03-19$24.75$30.0075.5%21.7%63.5%40.8%0.0%23.8%-11.4%44316-140.00155.62N/AN/A00141
2020-03-20$23.52$30.0086.7%24.8%64.8%47.8%0.0%10.7%-10.7%33199-140.00145.25N/AN/A00141
2020-03-23$22.65$30.0085.1%24.4%65.1%46.8%0.0%26.6%-10.1%32826-110.00146.46N/AN/A0031
2020-03-24$24.52$30.0090.4%25.9%73.2%50.2%0.0%28.2%-15.9%41105-150.00165.83N/AN/A0031
2020-03-25$25.37$30.0099.0%28.4%74.9%55.5%0.0%27.4%-24.7%44-383-170.00167.60N/AN/A0031
2020-03-26$25.86$30.0065.9%18.9%74.7%34.8%0.0%19.4%-10.6%50365-140.00134.96N/AN/A0031
2020-03-27$25.74$30.0064.5%18.5%73.5%33.9%0.0%29.0%-7.1%501.0K-110.00117.87N/AN/A0031
2020-03-30$26.38$30.0059.8%17.1%70.5%30.9%0.0%16.4%-2.6%551.2K-110.00122.31N/AN/A0031
2020-03-31$26.02$30.0047.4%13.6%70.5%23.1%0.0%21.6%-2.3%571.3K-100.00128.34N/AN/A0031