USMC Options History — November 2020 In November 2020, USMC traded between $31.59 and $34.43. ATM implied volatility averaged 38.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 16.2% (HV 20d: 21.8%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days.
Notable Days 2020-11-16 : Largest IV spike — 101.1% change2020-11-10 : Highest IV Rank — 24.3%2020-11-03 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $33.72 $31.59 $34.43 $31.59 $34.43 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 38.0% 17.5% 56.4% 44.5% 35.8% Expected Move 10.0% 5.0% 15.4% 12.7% 10.3% HV 20d 21.8% 15.0% 23.9% 21.2% 15.0% HV 60d 20.8% 19.3% 21.3% 19.9% 19.3% IV Rank 14.3% 3.2% 24.3% 17.8% 13.1% IV Percentile 42.9% 4.4% 77.4% 60.7% 39.7% Term Structure -3.8% -13.1% 16.4% -12.6% -11.2% Skew 25d 4.6% -11.6% 13.1% 10.1% 6.6% Skew 10d 6.7% 1.2% 19.2% 10.6% 1.3% Call IV 25d 28.8% 14.1% 43.8% 43.8% 31.8% Put IV 25d 33.4% 18.2% 53.9% 53.9% 38.3% Bid-Ask Spread % 154.45 130.45 175.04 168.25 141.78 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -105 -245 0 -145 0 Net DEX 935 0 2.2K 2.2K 0 Net VEX -1 -3 0 -2 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0.75 0 1 1 0
Daily Data (20 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 2020-11-02 $31.59 $33.00 44.5% 12.7% 21.2% 17.8% 0.0% 10.1% -12.6% -145 2.2K -2 0.00 168.25 N/A N/A 0 0 0 1 2020-11-03 $32.29 $33.00 53.8% 15.4% 22.5% 22.9% 0.0% 12.9% -13.1% -112 1.8K -3 0.00 175.04 N/A N/A 0 0 0 1 2020-11-04 $32.92 $33.00 50.0% 14.3% 22.8% 20.8% 0.0% 7.0% -12.4% -126 1.6K -3 0.00 173.43 N/A N/A 0 0 0 1 2020-11-05 $33.34 $0.00 50.7% 10.9% 23.2% 21.2% 0.0% 8.9% -9.0% -129 1.5K -3 0.00 161.50 N/A N/A 0 0 0 1 2020-11-06 $33.54 $0.00 47.7% 10.0% 23.1% 19.6% 0.0% 9.0% -6.6% -130 1.4K -3 0.00 161.96 N/A N/A 0 0 0 1 2020-11-09 $33.97 $0.00 54.2% 10.4% 22.8% 23.1% 0.0% 4.4% -9.2% -136 1.2K -2 0.00 160.44 N/A N/A 0 0 0 1 2020-11-10 $33.68 $0.00 56.4% 10.5% 23.0% 24.3% 0.0% -4.8% -5.5% -162 1.3K -2 0.00 144.86 N/A N/A 0 0 0 1 2020-11-11 $33.93 $0.00 39.3% 11.3% 22.8% 15.0% 0.0% 7.8% -7.9% -143 1.2K -2 0.00 140.33 N/A N/A 0 0 0 1 2020-11-12 $33.54 $0.00 29.4% 8.4% 23.1% 9.7% 0.0% -11.6% 4.9% -142 1.4K -2 0.00 162.16 N/A N/A 0 0 0 1 2020-11-13 $34.11 $0.00 18.9% 5.4% 23.9% 3.9% 0.0% 7.7% 0.9% -245 578 -1 0.00 130.45 N/A N/A 0 0 0 1 2020-11-16 $34.15 $0.00 38.0% 10.9% 22.7% 14.3% 0.0% 5.2% -10.5% -146 1.1K -1 0.00 161.49 N/A N/A 0 0 0 1 2020-11-17 $34.22 $0.00 38.5% 11.0% 22.6% 14.6% 0.0% -6.1% -8.3% -147 1.1K -1 0.00 160.75 N/A N/A 0 0 0 1 2020-11-18 $33.95 $0.00 39.3% 11.3% 22.8% 15.0% 0.0% 5.8% -7.0% -167 1.1K -1 0.00 150.12 N/A N/A 0 0 0 1 2020-11-19 $33.92 $0.00 38.0% 10.9% 22.7% 14.3% 0.0% 5.7% -5.3% -163 1.2K -1 0.00 162.25 N/A N/A 0 0 0 1 2020-11-20 $33.82 $0.00 19.0% 5.4% 22.8% 4.0% 0.0% 4.3% 6.8% 0 0 0 0.00 141.73 N/A N/A 0 0 0 1 2020-11-23 $33.89 $0.00 29.8% 8.5% 21.4% 9.9% 0.0% 7.1% 13.7% 0 0 0 0.00 156.57 N/A N/A 0 0 0 0 2020-11-24 $34.38 $0.00 17.5% 5.0% 21.8% 3.2% 0.0% -6.3% -1.9% 0 0 0 0.00 134.95 N/A N/A 0 0 0 0 2020-11-25 $34.40 $0.00 29.1% 8.4% 17.9% 9.5% 0.0% 5.9% 0.8% 0 0 0 0.00 157.93 N/A N/A 0 0 0 0 2020-11-27 $34.43 $0.00 29.6% 8.5% 17.9% 9.7% 0.0% 13.1% 16.4% 0 0 0 0.00 142.97 N/A N/A 0 0 0 0 2020-11-30 $34.43 $0.00 35.8% 10.3% 15.0% 13.1% 0.0% 6.6% -11.2% 0 0 0 0.00 141.78 N/A N/A 0 0 0 0
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