UAN Options History — November 2019 In November 2019, UAN traded between $26.60 and $33.40. ATM implied volatility averaged 59.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 24.2% (HV 20d: 35.1%). Max pain ranged from $25.00 to $50.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.06.
Notable Days 2019-11-05 : Highest Volume — 105 contracts2019-11-13 : Largest IV drop — 67.2% change2019-11-12 : Highest IV Rank — 62.2%2019-11-01 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $30.25 $26.60 $33.40 $33.40 $28.80 Max Pain $37.50 $25.00 $50.00 $25.00 $25.00 ATM IV 59.3% 31.5% 132.4% 68.1% 37.3% Expected Move 11.9% 9.0% 19.5% 19.5% 10.7% HV 20d 35.1% 22.2% 51.4% 22.6% 50.9% HV 60d 30.9% 26.3% 36.9% 26.8% 36.9% IV Rank 15.8% 0.0% 62.2% 20.0% 3.7% IV Percentile 26.6% 0.0% 96.8% 38.1% 1.2% Term Structure 1.0% -33.1% 15.7% -33.1% 9.4% VWIV 42.7% 37.2% 50.5% 50.5% 37.2% Bid-Ask Spread % 27.61 12.96 88.70 61.79 15.13 Gamma HHI 0.56 0.49 0.82 0.55 0.50 Net GEX 59 -347 575 401 575 Net DEX -205.7K -408.6K -16.3K -408.6K -104.6K Net VEX -595 -839 -480 -522 -839 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.00 9.75 0.00 0.00 Total Volume 9.25 0 105 1 0 Total OI 356.45 149 535 535 194
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 2019-11-01 $33.40 $25.00 68.1% 19.5% 22.6% 20.0% 0.0% 0.0% -33.1% 401 -408.6K -522 0.00 61.79 N/A N/A 1 0 410 125 2019-11-04 $32.90 $50.00 59.8% 11.8% 22.2% 14.5% 0.0% 0.0% 11.8% 22 -401.1K -490 0.00 88.70 N/A N/A 2 0 409 125 2019-11-05 $32.30 $50.00 72.7% 11.7% 22.8% 23.0% 0.0% 0.0% 11.8% -61 -381.9K -493 0.00 16.75 N/A N/A 105 0 407 125 2019-11-06 $31.60 $50.00 81.0% 13.1% 22.4% 28.4% 0.0% 0.0% 5.2% -140 -297.3K -480 0.63 19.21 N/A N/A 4 3 385 125 2019-11-07 $30.90 $50.00 85.1% 10.5% 22.7% 31.2% 0.0% 0.0% 14.0% 366 -313.3K -488 0.00 14.03 N/A N/A 4 0 389 119 2019-11-08 $31.80 $50.00 99.9% 11.7% 25.9% 40.9% 0.0% 0.0% 15.7% 41 -342.2K -582 0.00 19.21 N/A N/A 2 0 393 119 2019-11-11 $32.30 $50.00 121.6% 14.1% 27.1% 55.1% 0.0% 0.0% 4.5% 93 -365.7K -511 0.00 63.16 N/A N/A 0 0 395 117 2019-11-12 $31.90 $50.00 132.4% 12.1% 25.1% 62.2% 0.0% 0.0% 14.1% 73 -332.2K -536 0.00 16.39 N/A N/A 2 0 387 117 2019-11-13 $31.00 $50.00 43.4% 12.5% 26.0% 3.8% 0.0% 0.0% -18.7% 38 -218.4K -488 0.00 19.91 N/A N/A 7 0 355 117 2019-11-14 $30.90 $50.00 44.6% 12.8% 26.0% 4.6% 0.0% 0.0% -7.0% 68 -220.7K -499 0.00 22.79 N/A N/A 3 0 358 117 2019-11-15 $30.00 $50.00 41.0% 11.8% 27.1% 2.2% 50.5% 0.0% -6.4% -57 -210.5K -503 5.56 22.48 N/A N/A 1 5 360 117 2019-11-18 $27.40 $25.00 38.4% 11.0% 39.7% 0.5% 40.4% 0.0% 3.1% -284 -17.7K -608 1.39 16.88 N/A N/A 5 8 83 66 2019-11-19 $26.60 $25.00 31.5% 9.0% 39.9% 0.0% 0.0% 0.0% 2.8% -347 -16.3K -670 0.00 40.31 N/A N/A 0 0 88 73 2019-11-20 $28.20 $25.00 34.9% 10.0% 47.0% 2.1% 37.2% 0.0% 12.4% -205 -48.4K -681 9.75 16.91 N/A N/A 0 4 92 73 2019-11-21 $29.60 $25.00 37.4% 10.7% 51.4% 3.7% 0.0% 0.0% -4.9% -74 -75.6K -654 0.73 21.03 N/A N/A 4 3 92 77 2019-11-22 $29.30 $25.00 39.9% 11.4% 51.4% 5.3% 0.0% 0.0% 1.3% -19 -83.3K -656 0.00 21.03 N/A N/A 3 0 95 77 2019-11-25 $29.10 $25.00 43.4% 12.4% 51.2% 7.5% 0.0% 0.0% -9.9% -49 -80.3K -682 0.00 24.23 N/A N/A 11 0 98 77 2019-11-26 $28.80 $25.00 35.0% 10.0% 50.3% 2.2% 0.0% 0.0% 2.7% 381 -98.6K -752 0.00 12.96 N/A N/A 1 0 109 77 2019-11-27 $28.30 $25.00 39.0% 11.2% 50.3% 4.7% 0.0% 0.0% -8.5% 355 -97.2K -756 0.00 19.32 N/A N/A 7 0 110 77 2019-11-29 $28.80 $25.00 37.3% 10.7% 50.9% 3.7% 0.0% 0.0% 9.4% 575 -104.6K -839 0.00 15.13 N/A N/A 0 0 117 77
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