UYG Options History — May 2015

In May 2015, UYG traded between $24.11 and $25.76. ATM implied volatility averaged 23.5%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.9% (HV 20d: 20.6%). Max pain ranged from $20.83 to $43.33. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-05-15: Highest Volume — 6,450 contracts
  • 2015-05-08: Largest IV drop — 22.8% change
  • 2015-05-06: Highest IV Rank — 34.9%
  • 2015-05-06: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.06$24.11$25.76$24.39$24.94
Max Pain$22.76$20.83$43.33$24.50$22.83
ATM IV23.5%20.6%28.5%23.0%23.0%
Expected Move6.7%5.9%7.5%6.6%6.6%
HV 20d20.6%16.5%22.9%16.5%22.0%
HV 60d23.1%22.2%23.8%22.5%23.8%
IV Rank17.8%7.8%34.9%16.1%15.9%
IV Percentile41.8%17.5%78.6%38.5%36.1%
Term Structure0.9%-21.9%4.0%2.2%0.5%
VWIV24.2%18.9%28.9%24.4%24.0%
Skew 25d5.6%4.2%7.5%4.8%4.5%
Skew 10d11.3%5.2%13.8%9.5%5.2%
Call IV 25d21.3%19.4%23.5%21.9%20.9%
Put IV 25d26.9%24.4%30.5%26.7%25.4%
Bid-Ask Spread %75.7558.3192.0061.5992.00
Gamma HHI0.120.070.290.080.13
Net GEX535.9K-158.1K860.7K609.3K491.4K
Net DEX-14.3M-21.3M9.5M-13.9M-12.6M
Net VEX-40.8K-50.0K-4.0K-50.0K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.241.401.400.93
Total Volume3,634.54806,4505,2023,978
Total OI24,01510,40430,63321,33030,633

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$24.39$24.5023.0%6.6%16.5%16.1%24.4%4.8%2.2%609.3K-13.9M-50.0K1.4061.59N/AN/A2,1723,03013,5127,818
2015-05-04$24.79$20.8322.1%6.7%17.5%13.0%23.3%5.7%2.2%700.8K-16.5M-47.0K0.2462.43N/AN/A3969613,5427,896
2015-05-05$24.36$20.8325.8%7.3%18.4%25.6%28.9%5.6%2.0%598.0K-14.1M-47.7K1.2465.46N/AN/A2,3762,95213,8247,842
2015-05-06$24.11$20.8328.5%7.5%18.6%34.9%28.2%7.0%1.6%534.4K-12.1M-48.1K1.1658.45N/AN/A2,7063,14413,8668,040
2015-05-07$24.55$20.8326.7%7.4%19.8%28.7%28.1%6.0%0.5%596.8K-15.0M-47.8K1.1558.31N/AN/A2,8383,26413,9448,436
2015-05-08$25.20$20.8320.6%6.8%21.8%8.0%24.6%5.2%2.3%828.5K-19.7M-46.0K0.8266.88N/AN/A33027014,1608,634
2015-05-11$25.03$20.8323.6%6.8%21.9%18.2%23.4%6.2%4.0%727.1K-18.5M-44.9K0.4668.16N/AN/A35416214,1488,850
2015-05-12$24.90$20.8328.0%6.8%22.0%33.0%26.9%5.0%3.6%720.4K-17.5M-46.6K1.0167.09N/AN/A3,0903,11414,3948,946
2015-05-13$24.87$20.8323.9%6.9%21.9%19.2%27.9%5.6%3.6%686.9K-17.1M-46.2K1.1068.95N/AN/A2,9343,22214,5268,952
2015-05-14$25.35$20.8323.9%6.8%22.9%19.1%25.9%5.7%1.8%860.7K-21.3M-42.1K1.0874.38N/AN/A2,9223,15014,5089,084
2015-05-15$25.18$20.8323.2%6.6%20.5%16.6%24.9%5.6%2.8%-158.1K-20.0M-40.7K1.1676.06N/AN/A2,9823,46814,4009,162
2015-05-18$25.46$21.6721.8%6.3%20.6%12.0%22.2%5.0%2.1%484.3K-19.3M-38.0K0.9080.18N/AN/A25222812,2347,764
2015-05-19$25.76$21.6722.0%6.3%20.6%12.6%21.6%5.6%1.2%529.6K-20.3M-37.8K0.2484.96N/AN/A55213212,3487,872
2015-05-20$25.62$43.3322.8%6.5%20.3%15.2%18.9%5.8%2.1%-46.8K9.5M-4.0K1.0186.75N/AN/A1,2541,2666,4083,996
2015-05-21$25.46$22.5021.6%6.2%20.5%11.2%23.0%5.0%1.9%503.4K-11.7M-41.6K0.9888.56N/AN/A1,3021,27518,76811,328
2015-05-22$25.43$22.5020.6%5.9%20.4%7.8%21.2%5.8%2.9%519.7K-13.3M-44.6K0.8988.30N/AN/A1,4491,29318,72911,241
2015-05-26$24.97$22.5023.5%6.7%21.3%17.6%23.2%7.5%-21.9%534.2K-10.2M-41.9K0.9887.88N/AN/A1,6231,59618,81011,247
2015-05-27$25.43$22.5023.5%6.7%22.0%17.6%21.4%4.2%1.6%514.3K-11.4M-36.4K1.0486.94N/AN/A1,7821,86018,66611,355
2015-05-28$25.38$22.8322.5%6.4%22.0%14.2%21.5%5.8%0.9%483.6K-11.2M-38.0K0.9291.70N/AN/A2,0161,86018,81011,607
2015-05-29$24.94$22.8323.0%6.6%22.0%15.9%24.0%4.5%0.5%491.4K-12.6M-26.5K0.9392.00N/AN/A2,0581,92019,00811,625