USRT Options History — March 2023

In March 2023, USRT traded between $46.55 and $52.80. ATM implied volatility averaged 27.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.8% (HV 20d: 22.5%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 19.96.

Notable Days

  • 2023-03-29: Highest Volume — 301 contracts
  • 2023-03-10: Largest IV spike — 54.9% change
  • 2023-03-13: Highest IV Rank — 92.9%
  • 2023-03-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.69$46.55$52.80$51.48$50.05
Max Pain$49.78$45.00$51.00$45.00$49.00
ATM IV27.3%16.3%52.1%23.9%20.5%
Expected Move7.4%4.7%9.1%6.9%5.9%
HV 20d22.5%14.6%29.1%15.3%29.1%
HV 60d22.1%19.8%23.8%20.0%23.6%
IV Rank34.5%8.6%92.9%26.6%18.4%
IV Percentile42.9%1.2%99.2%27.0%9.5%
Term Structure0.5%-3.8%11.8%-0.0%8.2%
VWIV31.7%25.1%42.4%42.4%28.3%
Skew 25d5.5%-7.0%18.4%3.3%-1.3%
Skew 10d10.6%-7.1%24.5%-7.1%-6.5%
Call IV 25d20.4%14.8%26.3%21.8%19.5%
Put IV 25d25.9%18.3%33.9%25.0%18.3%
Bid-Ask Spread %110.7097.64121.04105.60115.99
Gamma HHI0.240.140.470.220.46
Net GEX-2.3K-59.5K16.7K10.3K-55.3K
Net DEX15.5K-167.3K597.4K-98.1K479.9K
Net VEX-1.6K-4.4K-848-1.1K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.960.00153.008.570.00
Total Volume36.6520301671
Total OI399.87215912270912

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$51.48$45.0023.9%6.9%15.3%26.6%0.0%3.3%-0.0%10.3K-98.1K-1.1K8.57105.60N/AN/A760106164
2023-03-02$52.10$45.0022.0%6.3%15.5%21.9%0.0%7.8%-0.2%14.4K-127.1K-1.2K0.0099.67N/AN/A01113224
2023-03-03$52.80$45.0021.9%6.3%15.5%21.8%0.0%3.8%2.3%16.2K-166.5K-1.3K0.00109.38N/AN/A00113225
2023-03-06$52.78$51.0019.0%6.3%14.6%14.8%0.0%0.0%-1.2%16.7K-167.3K-1.3K0.00115.36N/AN/A00113225
2023-03-07$51.72$51.0021.9%6.2%15.9%21.7%0.0%2.9%-0.4%14.0K-114.8K-1.1K0.00113.84N/AN/A00113225
2023-03-08$52.14$51.0024.1%6.5%16.3%26.9%0.0%9.2%-0.4%14.7K-136.8K-1.2K0.00115.68N/AN/A00113225
2023-03-09$50.95$51.0024.9%8.0%17.8%28.9%0.0%1.5%-1.0%7.9K-116.1K-1.2K0.00114.57N/AN/A00113225
2023-03-10$48.91$51.0038.6%9.0%22.1%61.2%0.0%-7.0%-3.8%-10.0K43.2K-1.3K0.00105.19N/AN/A034113225
2023-03-13$49.64$51.0052.1%8.4%23.0%92.9%0.0%3.8%-0.5%-1.9K-48.5K-1.1K0.00121.04N/AN/A01113207
2023-03-14$49.91$51.0037.7%8.0%22.8%59.1%42.4%7.3%-0.1%4.1K-62.0K-1.1K1.50119.75N/AN/A46113206
2023-03-15$49.72$51.0029.0%8.3%22.8%38.5%0.0%8.8%0.5%4.8K-57.3K-1.0K2.33110.58N/AN/A37117212
2023-03-16$49.66$51.0028.5%8.2%22.8%37.3%0.0%11.8%-1.0%6.7K-80.9K-1.1K0.40119.89N/AN/A52117214
2023-03-17$48.48$51.0029.8%8.5%23.8%40.4%35.1%7.0%-1.9%-2.8K-15.7K-1.0K0.00105.34N/AN/A05122216
2023-03-20$49.03$51.0026.7%7.7%24.5%33.1%0.0%18.4%-0.4%1.5K-19.9K-9470.60106.04N/AN/A5311996
2023-03-21$48.97$51.0026.7%7.7%24.1%33.2%0.0%13.0%0.9%3.8K-46.5K-1.0K0.00118.73N/AN/A0012499
2023-03-22$47.37$51.0027.3%7.8%26.2%34.5%25.1%7.8%2.9%1.4K1.4K-9835.50113.88N/AN/A21112499
2023-03-23$46.55$51.0025.0%7.2%26.0%29.0%27.7%1.6%1.3%-1.9K28.4K-848153.00114.81N/AN/A1153124109
2023-03-24$47.46$51.0031.9%9.1%27.3%45.4%28.3%13.0%-2.2%-4.6K6.5K-9047.69100.51N/AN/A26200123261
2023-03-27$47.81$49.0027.1%7.8%27.5%34.0%0.0%2.5%-0.4%-12.0K168.0K-2.6K0.0098.12N/AN/A05140461
2023-03-28$47.48$49.0028.9%8.3%27.4%38.2%0.0%1.7%-2.1%-13.7K172.4K-2.4K0.00106.71N/AN/A00145466
2023-03-29$48.61$49.0016.3%4.7%28.8%8.6%0.0%-4.8%11.8%-8.3K118.0K-2.4K0.00117.89N/AN/A0301145466
2023-03-30$49.16$49.0024.0%6.9%28.7%26.8%0.0%8.5%-1.9%-59.5K597.4K-4.4K0.0097.64N/AN/A00145767
2023-03-31$50.05$49.0020.5%5.9%29.1%18.4%0.0%-1.3%8.2%-55.3K479.9K-4.2K0.00115.99N/AN/A10145767