USRT Options History — December 2021

In December 2021, USRT traded between $62.33 and $68.03. ATM implied volatility averaged 20.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.4% (HV 20d: 18.9%). Max pain ranged from $49.00 to $66.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-12-30: Highest Volume — 46 contracts
  • 2021-12-15: Largest IV drop — 52.8% change
  • 2021-12-20: Highest IV Rank — 36.4%
  • 2021-12-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.08$62.33$68.03$62.33$68.03
Max Pain$57.50$49.00$66.00$49.00$66.00
ATM IV20.3%14.8%36.6%21.1%17.2%
Expected Move5.2%4.2%6.7%6.1%4.9%
HV 20d18.9%15.5%21.3%15.5%16.0%
HV 60d14.7%13.7%15.0%13.7%14.6%
IV Rank23.7%15.8%36.4%36.4%25.1%
IV Percentile25.8%3.1%68.3%68.3%29.9%
Term Structure-0.8%-5.7%1.9%-5.7%-1.1%
VWIV21.8%15.2%32.6%32.6%18.3%
Skew 25d3.2%-3.0%10.6%-3.0%10.6%
Skew 10d3.9%0.5%15.0%0.5%10.3%
Call IV 25d18.0%9.6%26.9%26.9%9.6%
Put IV 25d21.3%16.8%27.8%24.0%20.2%
Bid-Ask Spread %122.98111.75129.74121.93125.37
Gamma HHI0.330.210.510.240.38
Net GEX2.5K9395.9K2.6K5.9K
Net DEX-34.7K-89.9K-11.0K-36.8K-89.9K
Net VEX-166-241-113-229-203
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.280.430.430.28
Total Volume40.45537464046
Total OI17.90912252125

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$62.33$49.0021.1%6.1%15.5%0.0%32.6%-3.0%-5.7%2.6K-36.8K-2290.43121.93N/AN/A2812147
2021-12-02$63.57$49.0020.6%5.9%16.7%0.0%21.7%4.9%-2.6%2.9K-35.1K-2320.43120.90N/AN/A2812148
2021-12-03$62.81$49.0023.3%6.7%16.5%0.0%25.3%2.6%-3.7%2.4K-32.2K-2410.43123.72N/AN/A2812148
2021-12-06$64.32$0.0025.6%5.9%18.4%0.0%0.0%3.0%0.3%2.6K-41.8K-2320.43120.72N/AN/A2812148
2021-12-07$64.87$0.0024.1%5.1%18.5%0.0%0.0%2.8%1.1%2.7K-46.3K-2250.43124.64N/AN/A2812148
2021-12-08$65.71$0.0022.5%4.8%19.0%0.0%0.0%4.4%-1.6%3.3K-53.8K-2030.43118.82N/AN/A2812148
2021-12-09$64.94$0.0027.0%4.8%19.5%0.0%0.0%-0.1%0.4%2.9K-47.1K-2180.43122.69N/AN/A2812148
2021-12-10$64.65$0.0017.7%5.4%19.6%0.0%0.0%2.9%-0.9%3.4K-45.2K-2150.43119.12N/AN/A2812148
2021-12-13$64.98$0.0026.0%5.4%19.7%0.0%0.0%2.2%-0.4%2.3K-17.7K-1170.43111.75N/AN/A281278
2021-12-14$64.12$0.0036.6%5.5%20.0%0.0%0.0%2.5%0.1%1.6K-14.1K-1280.43121.52N/AN/A281278
2021-12-15$64.72$0.0017.3%5.0%20.2%0.0%0.0%2.3%0.3%1.7K-17.2K-1190.43122.02N/AN/A281278
2021-12-16$64.53$0.0016.2%4.7%20.2%0.0%0.0%2.3%0.8%1.8K-17.3K-1230.43123.09N/AN/A281278
2021-12-17$64.74$0.0017.6%5.0%20.2%0.0%0.0%2.6%0.2%1.8K-18.5K-1180.43126.53N/AN/A281278
2021-12-20$64.00$0.0020.2%5.8%20.6%36.4%0.0%5.4%0.2%939-11.0K-1240.37123.19N/AN/A271066
2021-12-21$64.73$0.0017.8%5.1%21.0%27.5%0.0%2.2%0.1%978-15.3K-1150.36125.56N/AN/A281066
2021-12-22$65.56$0.0015.4%4.4%21.3%18.2%0.0%2.2%0.7%1.3K-21.5K-1250.36126.50N/AN/A281076
2021-12-23$65.54$0.0014.8%4.2%21.1%15.8%0.0%4.3%1.9%1.2K-21.5K-1250.36121.65N/AN/A281076
2021-12-27$66.24$0.0017.0%4.9%18.7%24.0%0.0%4.7%-0.6%1.2K-24.5K-1130.34129.74N/AN/A291076
2021-12-28$66.67$0.0016.7%4.8%18.7%23.2%17.5%6.8%-1.6%1.5K-29.8K-1270.29123.31N/AN/A341086
2021-12-29$67.28$66.0015.3%4.4%18.0%17.5%15.2%-2.1%-2.2%4.3K-54.9K-1460.29124.21N/AN/A3410136
2021-12-30$67.50$66.0017.3%5.0%16.9%25.6%21.6%7.5%-2.9%4.8K-72.2K-1780.28128.58N/AN/A3610176
2021-12-31$68.03$66.0017.2%4.9%16.0%25.1%18.3%10.6%-1.1%5.9K-89.9K-2030.28125.37N/AN/A3610196