USRT Options History — July 2021

In July 2021, USRT traded between $58.68 and $61.29. ATM implied volatility averaged 22.1%. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.1% (HV 20d: 18.0%). Max pain ranged from $47.00 to $56.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-07-12: Highest Volume — 13 contracts
  • 2021-07-19: Largest IV spike — 80.1% change
  • 2021-07-19: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.30$58.68$61.29$58.84$61.19
Max Pain$55.00$47.00$56.00$47.00$56.00
ATM IV22.1%16.0%34.5%18.6%19.0%
Expected Move5.4%4.2%8.3%5.3%5.4%
HV 20d18.0%13.0%20.1%13.8%19.4%
Term Structure-1.1%-5.0%2.3%-4.2%-0.1%
VWIV18.4%13.1%30.8%13.1%30.8%
Skew 25d1.3%-9.7%7.1%-8.0%1.1%
Skew 10d1.4%-4.5%3.7%-3.0%0.8%
Call IV 25d19.4%11.2%32.2%19.9%16.9%
Put IV 25d20.7%11.3%33.8%12.0%17.9%
Bid-Ask Spread %127.20111.88139.47111.88121.71
Gamma HHI0.390.330.440.360.33
Net GEX36.9K27.9K49.7K29.3K49.7K
Net DEX-412.8K-566.5K-270.3K-289.4K-566.5K
Net VEX-1.9K-2.2K-1.6K-1.8K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.47601300
Total OI172.19158197158197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$58.84$47.0018.6%5.3%0.0%0.0%0.0%-8.0%-4.2%29.3K-289.4K-1.8K0.00111.88N/AN/A001562
2021-07-02$58.68$47.0019.5%5.6%0.0%0.0%0.0%-9.7%-5.0%29.2K-275.7K-1.7K0.00122.33N/AN/A001562
2021-07-06$59.15$0.0021.4%4.3%0.0%0.0%0.0%2.4%2.2%30.1K-270.3K-1.6K0.00124.20N/AN/A001562
2021-07-07$59.36$0.0031.6%5.7%0.0%0.0%0.0%2.2%-2.7%28.1K-313.3K-1.8K0.00136.29N/AN/A001562
2021-07-08$59.06$0.0034.4%5.2%0.0%0.0%13.1%2.2%0.8%27.9K-313.4K-1.8K0.00133.84N/AN/A301562
2021-07-09$60.16$56.0018.4%4.3%0.0%0.0%0.0%1.8%0.9%33.1K-343.8K-1.8K0.00122.17N/AN/A001582
2021-07-12$60.82$56.0030.9%4.2%0.0%0.0%16.4%2.3%2.3%33.4K-386.3K-1.9K0.00122.05N/AN/A1301572
2021-07-13$60.01$56.0034.5%4.5%0.0%0.0%0.0%1.4%-0.3%37.8K-386.2K-1.9K0.00124.05N/AN/A001702
2021-07-14$60.58$56.0016.0%4.6%13.8%0.0%0.0%2.2%0.3%38.8K-413.9K-1.9K0.00126.65N/AN/A001702
2021-07-15$60.70$56.0021.0%6.0%13.4%0.0%0.0%0.2%-1.5%33.6K-442.1K-2.0K0.00139.47N/AN/A001702
2021-07-16$60.69$56.0016.1%4.6%13.0%0.0%0.0%6.4%-0.7%37.0K-438.4K-2.0K0.00126.80N/AN/A001702
2021-07-19$59.12$56.0029.0%8.3%16.3%0.0%0.0%1.6%-1.3%27.9K-365.1K-1.9K0.00127.91N/AN/A001682
2021-07-20$61.15$56.0020.8%6.0%20.1%0.0%0.0%3.4%-1.5%37.7K-431.8K-1.9K0.00130.80N/AN/A1301682
2021-07-21$61.02$56.0022.9%6.6%19.6%0.0%0.0%1.2%-3.0%38.6K-505.8K-2.1K0.00138.74N/AN/A001812
2021-07-22$60.39$56.0017.7%5.1%20.0%0.0%0.0%1.4%-1.2%41.6K-448.7K-2.0K0.00127.95N/AN/A001812
2021-07-23$60.93$56.0017.2%4.9%20.0%0.0%0.0%2.4%-0.4%45.0K-485.9K-2.1K0.00126.02N/AN/A001812
2021-07-26$60.86$56.0017.1%4.9%19.9%0.0%0.0%1.6%-1.0%43.2K-477.5K-2.0K0.00125.58N/AN/A001812
2021-07-27$61.19$56.0017.8%5.1%19.5%0.0%17.5%7.1%0.0%45.0K-503.7K-2.0K0.00121.69N/AN/A011812
2021-07-28$61.29$56.0017.9%5.1%19.5%0.0%14.2%2.5%-1.6%47.0K-514.5K-2.0K0.00124.02N/AN/A1301812
2021-07-29$61.01$56.0023.4%6.7%19.5%0.0%30.8%0.9%-4.7%40.4K-496.5K-2.0K0.00137.03N/AN/A901813
2021-07-30$61.19$56.0019.0%5.4%19.4%0.0%0.0%1.1%-0.1%49.7K-566.5K-2.2K0.00121.71N/AN/A001943