UAN Options History — December 2021

In December 2021, UAN traded between $75.98 and $84.92. ATM implied volatility averaged 51.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 22.1% (HV 20d: 29.2%). Max pain ranged from $65.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2021-12-22: Highest Volume — 2,015 contracts
  • 2021-12-06: Largest IV drop — 26.6% change
  • 2021-12-07: Highest IV Rank — 12.9%
  • 2021-12-06: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.02$75.98$84.92$76.76$82.34
Max Pain$69.32$65.00$80.00$70.00$70.00
ATM IV51.3%43.0%62.1%55.4%43.0%
Expected Move15.4%12.3%18.0%15.9%12.3%
HV 20d29.2%24.1%33.8%31.2%27.0%
HV 60d34.5%29.8%36.3%35.0%30.4%
IV Rank5.8%0.0%12.9%2.4%0.0%
IV Percentile3.0%0.0%12.7%2.4%0.0%
Term Structure10.2%2.6%15.7%5.8%13.5%
VWIV55.0%45.7%64.9%56.3%47.5%
Skew 25d1.3%-6.4%16.3%16.3%-4.5%
Skew 10d-0.7%-15.7%12.9%12.9%-15.7%
Call IV 25d54.4%44.6%61.3%46.6%49.2%
Put IV 25d55.8%42.7%65.5%62.9%44.7%
Bid-Ask Spread %61.4538.7488.5288.5280.89
Gamma HHI0.160.140.210.150.15
Net GEX480.7K365.5K648.6K376.4K526.7K
Net DEX-23.8M-32.6M-18.4M-19.2M-29.7M
Net VEX-84.4K-91.7K-78.5K-82.7K-86.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.170.570.480.51
Total Volume1,221.57802,0157801,364
Total OI8,5687,7159,3127,7159,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$76.76$70.0055.4%15.9%31.2%2.4%56.3%16.3%5.8%376.4K-19.2M-82.7K0.4888.52N/AN/A5282525,6712,044
2021-12-02$77.37$70.0059.3%17.0%31.4%7.6%59.2%3.7%5.2%381.7K-20.3M-83.4K0.4475.76N/AN/A6662945,7142,048
2021-12-03$75.99$70.0062.1%17.8%31.7%11.3%64.9%7.6%2.6%370.6K-18.4M-83.0K0.3988.38N/AN/A6032385,7322,099
2021-12-06$77.42$80.0045.6%18.0%32.5%0.0%61.1%5.0%6.7%415.7K-19.7M-80.7K0.4347.22N/AN/A5982575,7532,131
2021-12-07$76.75$80.0056.3%17.3%32.6%12.9%62.7%3.3%9.1%423.4K-19.6M-80.9K0.3847.44N/AN/A6762565,8482,144
2021-12-08$75.98$75.0048.5%17.4%32.7%3.5%59.2%-1.0%8.8%422.1K-18.6M-78.5K0.2752.21N/AN/A9242495,8582,188
2021-12-09$76.27$65.0055.5%16.6%29.4%12.0%56.2%0.2%10.4%441.1K-19.3M-82.0K0.2238.74N/AN/A9442066,1012,192
2021-12-10$78.66$70.0047.2%16.1%31.4%1.9%54.2%5.7%7.6%529.3K-22.7M-83.9K0.1750.54N/AN/A1,2512136,2142,223
2021-12-13$77.49$65.0051.2%16.0%31.9%6.7%55.5%-1.4%13.1%547.1K-21.7M-80.4K0.2141.55N/AN/A1,0002126,4152,235
2021-12-14$79.04$65.0048.4%15.2%32.6%3.4%56.4%1.5%12.1%648.6K-25.9M-83.6K0.3743.33N/AN/A9093346,7022,277
2021-12-15$77.17$65.0056.2%16.1%33.8%12.8%58.5%-2.4%8.7%584.2K-22.9M-86.0K0.3072.27N/AN/A9882926,8232,352
2021-12-16$76.85$65.0054.9%15.7%33.1%11.2%55.2%-1.5%10.7%567.5K-22.8M-85.3K0.3753.86N/AN/A7922956,9302,373
2021-12-17$77.13$65.0053.2%15.3%27.5%9.2%55.8%-5.0%13.4%365.5K-22.8M-84.3K0.2458.04N/AN/A1,1652766,9122,395
2021-12-20$77.90$65.0055.1%15.8%24.7%11.5%57.8%-1.2%8.0%423.6K-22.9M-86.4K0.4959.64N/AN/A8164006,0082,025
2021-12-21$79.83$65.0046.9%13.5%26.5%1.7%55.3%6.3%14.0%458.1K-25.2M-89.0K0.5761.95N/AN/A8794986,2012,177
2021-12-22$80.38$70.0048.8%14.0%26.0%3.8%53.4%3.9%11.7%489.4K-25.8M-91.7K0.1860.81N/AN/A1,7053106,5292,345
2021-12-23$80.44$70.0045.7%13.1%25.9%0.1%49.9%-0.6%15.7%490.5K-25.5M-87.0K0.2759.53N/AN/A1,1383106,3232,378
2021-12-27$81.95$70.0048.2%13.8%26.1%3.2%45.7%-6.4%7.9%510.9K-27.7M-84.5K0.4072.06N/AN/A7653096,3402,395
2021-12-28$82.96$70.0048.5%13.9%25.9%3.5%46.8%-1.6%13.4%519.2K-29.0M-84.9K0.4765.73N/AN/A7413506,4272,438
2021-12-29$84.92$70.0047.6%13.6%24.1%2.4%50.6%-1.4%15.6%548.1K-32.0M-85.4K0.4766.62N/AN/A8504036,5212,507
2021-12-30$84.80$70.0050.7%14.5%24.1%6.2%48.6%2.7%9.5%536.8K-32.6M-86.5K0.3966.72N/AN/A1,1664516,6392,557
2021-12-31$82.34$70.0043.0%12.3%27.0%0.0%47.5%-4.5%13.5%526.7K-29.7M-86.4K0.5180.89N/AN/A9014636,7082,604