USMC Options History — September 2020

In September 2020, USMC traded between $31.84 and $34.83. ATM implied volatility averaged 37.1%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 15.8% (HV 20d: 21.4%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days.

Notable Days

  • 2020-09-29: Largest IV spike — 105.7% change
  • 2020-09-03: Highest IV Rank — 36.2%
  • 2020-09-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.87$31.84$34.83$34.22$32.81
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV37.1%19.8%78.3%35.5%26.4%
Expected Move9.9%5.7%14.5%10.2%7.6%
HV 20d21.4%10.4%24.9%10.4%24.7%
HV 60d16.3%14.7%18.3%16.1%16.7%
IV Rank13.8%4.4%36.2%12.9%8.0%
IV Percentile38.4%9.9%86.5%35.7%14.7%
Term Structure-4.3%-19.5%12.4%6.2%-8.4%
Skew 25d5.0%-5.3%18.3%-2.8%-1.6%
Skew 10d3.1%-12.8%16.4%0.1%3.2%
Call IV 25d26.8%16.2%43.7%40.7%27.6%
Put IV 25d31.8%18.6%49.0%37.9%26.0%
Bid-Ask Spread %159.34135.99183.40142.08142.68
Gamma HHI0.440.381.000.401.00
Net GEX35409819810
Net DEX-3.5K-8.6K0-7.7K0
Net VEX-4-110-90
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI2.4760440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$34.22$32.0035.5%10.2%10.4%12.9%0.0%-2.8%6.2%981-7.7K-90.00142.08N/AN/A0040
2020-09-02$34.83$32.0045.2%13.0%11.5%18.2%0.0%-5.3%-14.5%732-8.6K-90.00135.99N/AN/A0040
2020-09-03$33.54$0.0078.3%14.5%18.7%36.2%0.0%12.4%-6.4%327-6.9K-110.00183.40N/AN/A0040
2020-09-04$33.39$0.0041.3%10.1%18.7%16.1%0.0%10.2%3.0%600-6.1K-100.00151.31N/AN/A0040
2020-09-08$32.65$0.0061.6%10.9%20.6%27.1%0.0%0.4%-19.5%504-5.0K-80.00177.44N/AN/A0040
2020-09-09$33.22$0.0019.8%5.7%21.1%4.4%0.0%9.6%2.0%657-5.7K-70.00140.41N/AN/A0040
2020-09-10$32.65$0.0024.0%6.9%21.6%6.7%0.0%-1.9%-1.6%594-4.6K-70.00158.65N/AN/A0040
2020-09-11$32.58$0.0038.6%11.1%21.6%14.6%0.0%6.9%-5.7%495-4.9K-70.00177.07N/AN/A0040
2020-09-14$33.08$0.0040.5%11.6%22.1%15.6%0.0%6.4%-7.9%536-5.8K-50.00181.65N/AN/A0040
2020-09-15$33.15$0.0023.3%6.7%22.0%6.3%0.0%8.8%0.2%842-5.1K-40.00143.62N/AN/A0040
2020-09-16$33.12$0.0039.1%11.2%22.0%14.9%0.0%7.7%-4.7%583-5.7K-40.00178.74N/AN/A0040
2020-09-17$32.60$0.0040.6%11.6%22.7%15.7%0.0%9.1%-5.8%549-4.7K-20.00178.47N/AN/A0040
2020-09-18$32.50$0.0032.4%9.3%22.7%11.3%0.0%2.1%-6.9%24-3.2K00.00160.81N/AN/A0040
2020-09-21$32.04$0.0024.9%7.1%23.2%7.2%0.0%5.0%0.9%0000.00144.60N/AN/A0000
2020-09-22$32.56$0.0028.8%8.3%23.9%9.3%0.0%-3.5%3.0%0000.00160.44N/AN/A0000
2020-09-23$31.84$0.0034.2%9.8%24.9%12.3%0.0%10.3%12.4%0000.00139.68N/AN/A0000
2020-09-24$31.88$0.0033.9%9.7%23.6%12.1%0.0%-0.6%-2.5%0000.00156.89N/AN/A0000
2020-09-25$32.24$0.0038.7%11.1%24.0%14.7%0.0%18.3%-19.5%0000.00149.27N/AN/A0000
2020-09-28$32.69$0.0023.8%6.8%24.6%6.6%0.0%7.9%-2.2%0000.00165.81N/AN/A0000
2020-09-29$32.63$0.0049.0%14.1%24.6%20.3%0.0%5.1%-12.7%0000.00177.13N/AN/A0000
2020-09-30$32.81$0.0026.4%7.6%24.7%8.0%0.0%-1.6%-8.4%0000.00142.68N/AN/A0000