USMC Options History — January 2022

In January 2022, USMC traded between $40.60 and $44.53. ATM implied volatility averaged 22.8%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 10.7% (HV 20d: 12.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.06.

Notable Days

2022-01-11: Highest Volume — 116 contracts
2022-01-27: Largest IV drop — 40.1% change
2022-01-26: Highest IV Rank — 43.7%
2022-01-26: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.80	$40.60	$44.53	$44.51	$42.31
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	22.8%	16.8%	42.8%	17.8%	25.4%
Expected Move	6.3%	4.8%	12.3%	5.1%	7.3%
HV 20d	12.2%	10.8%	16.2%	13.0%	16.2%
HV 60d	11.9%	11.1%	14.0%	11.2%	14.0%
IV Rank	17.3%	9.4%	43.7%	10.7%	20.7%
IV Percentile	62.1%	25.0%	98.0%	34.1%	83.3%
Term Structure	-1.5%	-7.9%	2.9%	-0.9%	-3.6%
VWIV	28.8%	26.1%	30.6%	26.1%	30.6%
Skew 25d	4.8%	0.9%	11.6%	5.1%	7.6%
Skew 10d	3.5%	-0.8%	5.9%	2.2%	4.8%
Call IV 25d	17.4%	12.7%	30.0%	15.1%	18.9%
Put IV 25d	22.3%	17.2%	41.6%	20.2%	26.4%
Bid-Ask Spread %	146.30	132.63	163.59	146.94	139.10
Gamma HHI	0.89	0.85	0.91	0.90	0.89
Net GEX	19.4K	10.8K	24.0K	22.1K	19.6K
Net DEX	-171.2K	-271.1K	-78.9K	-258.8K	-114.2K
Net VEX	-745	-896	-523	-889	-592
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.05	0.06	0.06	0.06
Total Volume	114.5	113	116	114	113
Total OI	113.4	112	115	115	112

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
2022-01-03	$44.51	$40.00	17.8%	5.1%	13.0%	10.7%	26.1%	5.1%	-0.9%	22.1K	-258.8K	-889	0.06	146.94	N/A	N/A	108	6	109	6
2022-01-04	$44.53	$40.00	17.0%	4.9%	11.9%	9.6%	29.6%	3.4%	-1.5%	21.0K	-271.1K	-896	0.06	147.57	N/A	N/A	108	6	109	6
2022-01-05	$44.09	$40.00	18.7%	5.4%	12.1%	11.8%	30.6%	1.0%	-3.1%	21.8K	-248.4K	-893	0.06	145.99	N/A	N/A	108	6	109	6
2022-01-06	$43.89	$0.00	21.4%	4.9%	12.3%	15.5%	0.0%	4.7%	1.0%	20.7K	-229.9K	-882	0.06	150.02	N/A	N/A	108	6	109	6
2022-01-07	$43.70	$0.00	21.1%	4.8%	12.4%	15.0%	0.0%	2.3%	1.7%	21.3K	-218.8K	-873	0.06	151.38	N/A	N/A	108	6	109	6
2022-01-10	$43.59	$0.00	21.2%	4.8%	11.9%	15.2%	0.0%	4.7%	2.9%	21.5K	-208.6K	-841	0.06	144.66	N/A	N/A	108	6	109	6
2022-01-11	$43.95	$0.00	24.9%	5.0%	12.3%	20.1%	0.0%	6.1%	1.5%	22.5K	-228.8K	-846	0.05	147.70	N/A	N/A	110	6	109	6
2022-01-12	$44.00	$0.00	22.4%	6.4%	11.7%	16.7%	0.0%	5.2%	1.1%	21.6K	-221.8K	-839	0.05	163.59	N/A	N/A	110	6	107	6
2022-01-13	$43.47	$0.00	19.1%	5.5%	12.1%	12.4%	0.0%	2.6%	-7.9%	24.0K	-205.1K	-835	0.05	145.78	N/A	N/A	110	6	107	6
2022-01-14	$43.39	$0.00	16.8%	4.8%	11.5%	9.4%	0.0%	5.0%	2.8%	22.4K	-185.6K	-808	0.05	148.04	N/A	N/A	110	6	107	6
2022-01-18	$42.76	$0.00	17.5%	5.0%	11.9%	10.3%	0.0%	2.7%	-0.2%	21.8K	-153.6K	-752	0.05	147.19	N/A	N/A	110	6	107	6
2022-01-19	$42.77	$0.00	17.8%	5.1%	11.1%	10.7%	0.0%	4.0%	-1.4%	22.0K	-153.6K	-745	0.05	143.68	N/A	N/A	110	6	107	6
2022-01-20	$42.34	$0.00	22.9%	6.5%	10.8%	17.4%	0.0%	2.2%	-4.3%	20.5K	-154.9K	-744	0.05	141.82	N/A	N/A	110	6	107	6
2022-01-21	$41.56	$0.00	20.8%	6.0%	11.8%	14.6%	0.0%	0.9%	-3.3%	17.3K	-98.0K	-611	0.05	147.16	N/A	N/A	110	6	107	6
2022-01-24	$40.98	$0.00	28.5%	8.2%	11.4%	24.9%	0.0%	6.4%	-2.3%	13.4K	-93.4K	-582	0.06	132.63	N/A	N/A	107	6	106	6
2022-01-25	$41.17	$0.00	30.6%	8.8%	11.1%	27.7%	0.0%	10.2%	-5.0%	14.5K	-91.9K	-581	0.06	147.68	N/A	N/A	107	6	106	6
2022-01-26	$40.60	$0.00	42.8%	12.3%	11.5%	43.7%	0.0%	11.6%	-6.3%	10.8K	-123.9K	-621	0.06	160.95	N/A	N/A	107	6	106	6
2022-01-27	$40.84	$0.00	25.6%	7.3%	12.0%	21.0%	0.0%	4.1%	-2.3%	14.0K	-84.4K	-548	0.06	134.38	N/A	N/A	107	6	106	6
2022-01-28	$41.59	$0.00	24.4%	7.0%	14.4%	19.4%	0.0%	6.9%	1.0%	14.5K	-78.9K	-523	0.06	139.75	N/A	N/A	107	6	106	6
2022-01-31	$42.31	$0.00	25.4%	7.3%	16.2%	20.7%	0.0%	7.6%	-3.6%	19.6K	-114.2K	-592	0.06	139.10	N/A	N/A	107	6	106	6