USMC Options History — August 2020 In August 2020, USMC traded between $31.83 and $34.13. ATM implied volatility averaged 30.6%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 19.8% (HV 20d: 10.8%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days.
Notable Days 2020-08-06 : Largest IV spike — 135.4% change2020-08-06 : Highest IV Rank — 20.5%2020-08-24 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $32.70 $31.83 $34.13 $31.83 $34.13 Max Pain $32.00 $32.00 $32.00 $32.00 $32.00 ATM IV 30.6% 17.3% 49.4% 21.4% 34.2% Expected Move 8.6% 5.0% 11.7% 6.1% 9.8% HV 20d 10.8% 9.7% 11.8% 10.6% 10.4% HV 60d 17.0% 16.2% 18.6% 18.6% 16.2% IV Rank 10.3% 3.1% 20.5% 5.5% 12.2% IV Percentile 26.0% 7.5% 57.9% 11.5% 30.2% Term Structure -1.5% -15.2% 14.8% 14.8% 5.4% Skew 25d 5.1% -8.4% 15.5% 7.4% -8.4% Skew 10d 6.3% -5.5% 15.8% 6.6% -4.2% Call IV 25d 24.1% 11.8% 51.3% 16.6% 51.3% Put IV 25d 29.2% 18.3% 43.0% 24.0% 43.0% Bid-Ask Spread % 143.38 121.25 176.45 149.11 133.46 Gamma HHI 0.40 0.37 0.46 0.38 0.43 Net GEX 640 395 1.0K 486 948 Net DEX -4.7K -7.3K -2.6K -3.5K -7.3K Net VEX -12 -15 -8 -14 -8 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 4 4 4 4 4
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 2020-08-03 $31.83 $0.00 21.4% 6.1% 10.6% 5.5% 0.0% 7.4% 14.8% 486 -3.5K -14 0.00 149.11 N/A N/A 0 0 4 0 2020-08-04 $31.89 $0.00 36.4% 10.4% 10.5% 13.6% 0.0% 3.4% -14.4% 549 -2.6K -11 0.00 176.45 N/A N/A 0 0 4 0 2020-08-05 $32.10 $0.00 21.0% 6.0% 10.6% 5.3% 0.0% 3.9% -0.7% 522 -3.7K -14 0.00 159.07 N/A N/A 0 0 4 0 2020-08-06 $32.37 $32.00 49.4% 10.2% 10.8% 20.5% 0.0% 15.5% -4.7% 611 -3.8K -13 0.00 147.26 N/A N/A 0 0 4 0 2020-08-07 $32.31 $32.00 19.2% 5.4% 10.4% 4.1% 0.0% -0.5% 1.0% 546 -4.4K -15 0.00 131.36 N/A N/A 0 0 4 0 2020-08-10 $32.21 $32.00 22.4% 5.3% 10.3% 5.8% 0.0% 8.7% 0.7% 590 -3.5K -12 0.00 126.94 N/A N/A 0 0 4 0 2020-08-11 $31.97 $32.00 24.4% 8.9% 10.7% 6.9% 0.0% 4.8% 1.2% 442 -4.5K -14 0.00 121.25 N/A N/A 0 0 4 0 2020-08-12 $32.44 $32.00 38.2% 10.9% 11.6% 14.4% 0.0% 12.3% -4.0% 613 -3.9K -12 0.00 142.93 N/A N/A 0 0 4 0 2020-08-13 $32.30 $32.00 38.2% 10.9% 11.7% 14.4% 0.0% 12.4% -7.3% 613 -3.3K -11 0.00 147.47 N/A N/A 0 0 4 0 2020-08-14 $32.20 $32.00 38.5% 11.0% 11.8% 14.6% 0.0% 7.6% -6.8% 395 -4.8K -14 0.00 148.34 N/A N/A 0 0 4 0 2020-08-17 $32.47 $32.00 20.5% 5.9% 11.6% 4.8% 0.0% 2.7% -0.3% 636 -3.7K -11 0.00 143.38 N/A N/A 0 0 4 0 2020-08-18 $32.62 $32.00 37.0% 10.6% 11.7% 13.8% 0.0% 8.9% -15.2% 579 -4.6K -13 0.00 137.21 N/A N/A 0 0 4 0 2020-08-19 $32.53 $32.00 34.6% 9.9% 11.7% 12.5% 0.0% 12.7% -1.4% 502 -4.8K -13 0.00 144.25 N/A N/A 0 0 4 0 2020-08-20 $32.69 $32.00 37.8% 10.8% 10.6% 14.2% 0.0% 6.4% -6.8% 432 -5.1K -13 0.00 140.18 N/A N/A 0 0 4 0 2020-08-21 $32.74 $32.00 18.9% 5.4% 10.0% 3.9% 0.0% 8.7% -0.7% 682 -4.3K -11 0.00 145.22 N/A N/A 0 0 4 0 2020-08-24 $32.92 $32.00 41.0% 11.7% 9.8% 15.9% 0.0% 7.4% -8.7% 475 -5.6K -13 0.00 148.09 N/A N/A 0 0 4 0 2020-08-25 $33.12 $32.00 17.3% 5.0% 9.7% 3.1% 0.0% 3.7% -0.7% 877 -4.5K -10 0.00 142.53 N/A N/A 0 0 4 0 2020-08-26 $33.78 $32.00 29.6% 8.5% 11.4% 9.7% 0.0% 0.2% 6.6% 1.0K -6.2K -9 0.00 141.80 N/A N/A 0 0 4 0 2020-08-27 $33.97 $32.00 31.1% 8.9% 10.8% 10.6% 0.0% -6.3% 5.2% 985 -6.7K -9 0.00 142.11 N/A N/A 0 0 4 0 2020-08-28 $34.12 $32.00 32.5% 9.3% 10.8% 11.3% 0.0% -4.0% 5.8% 948 -7.3K -10 0.00 142.55 N/A N/A 0 0 4 0 2020-08-31 $34.13 $32.00 34.2% 9.8% 10.4% 12.2% 0.0% -8.4% 5.4% 948 -7.3K -8 0.00 133.46 N/A N/A 0 0 4 0
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