UYG Options History — July 2015

In July 2015, UYG traded between $24.35 and $26.85. ATM implied volatility averaged 27.6%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.3% (HV 20d: 26.4%). Max pain ranged from $25.00 to $25.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-07-06: Highest Volume — 4,740 contracts
  • 2015-07-08: Largest IV spike — 21.5% change
  • 2015-07-08: Highest IV Rank — 71.0%
  • 2015-07-08: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.87$24.35$26.85$25.26$26.26
Max Pain$25.06$25.00$25.67$25.67$25.00
ATM IV27.6%21.8%39.2%31.3%22.3%
Expected Move7.7%6.3%10.1%9.0%6.4%
HV 20d26.4%22.2%28.6%26.6%22.4%
HV 60d22.6%21.6%23.4%21.6%22.7%
IV Rank31.7%12.0%71.0%44.0%13.5%
IV Percentile57.3%17.5%97.6%88.1%18.7%
Term Structure1.2%-2.3%3.3%-1.0%3.3%
VWIV27.1%23.4%34.2%28.8%23.9%
Skew 25d6.0%3.2%9.3%6.5%4.6%
Skew 10d11.2%4.6%17.9%13.7%4.6%
Call IV 25d24.2%20.3%30.4%28.4%20.3%
Put IV 25d30.2%24.3%39.7%35.0%24.9%
Bid-Ask Spread %68.8048.6690.8268.9386.78
Gamma HHI0.090.080.090.080.08
Net GEX366.1K285.0K488.0K330.8K391.8K
Net DEX-13.2M-19.0M-6.5M-10.0M-14.8M
Net VEX-52.0K-60.5K-45.4K-59.0K-51.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.191.071.371.151.07
Total Volume4,285.53,4114,7404,6324,299
Total OI17,663.45516,29618,84917,26817,727

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$25.26$25.6731.3%9.0%26.6%44.0%28.8%6.5%-1.0%330.8K-10.0M-59.0K1.1568.93N/AN/A2,1542,47810,8096,459
2015-07-02$25.13$25.6731.9%9.2%25.9%46.4%29.3%7.4%-1.3%305.1K-9.5M-60.5K1.1161.80N/AN/A2,2202,45710,9626,750
2015-07-06$25.00$25.0034.1%9.1%25.7%53.6%31.0%8.3%-0.5%301.7K-8.8M-58.4K1.1248.66N/AN/A2,2322,50811,0076,798
2015-07-07$25.09$25.0032.2%9.0%25.5%47.3%31.2%9.1%-0.7%305.8K-9.2M-58.2K1.1452.43N/AN/A2,0942,37911,0256,846
2015-07-08$24.35$25.0039.2%10.1%27.6%71.0%33.8%9.3%-2.0%285.0K-6.5M-58.4K1.0957.97N/AN/A2,1872,38511,1846,951
2015-07-09$24.67$25.0037.8%9.8%25.8%66.2%34.2%9.0%-2.3%313.2K-7.7M-58.8K1.0951.87N/AN/A2,2142,40611,3226,963
2015-07-10$25.24$25.0032.9%8.6%27.2%49.5%30.4%8.1%-0.6%352.9K-10.5M-56.7K1.2457.34N/AN/A2,0072,48111,3496,963
2015-07-13$25.73$25.0030.2%7.7%28.1%40.4%27.6%6.2%1.4%400.4K-13.0M-53.4K1.0855.41N/AN/A2,2772,46011,4517,086
2015-07-14$25.89$25.0026.3%7.2%28.0%27.3%25.6%6.6%2.2%421.2K-13.6M-53.2K1.1560.96N/AN/A2,1932,52311,4427,146
2015-07-15$26.19$25.0023.7%6.8%28.0%18.4%25.5%5.7%2.0%453.0K-16.0M-50.5K1.1762.25N/AN/A2,1332,48711,5267,131
2015-07-16$26.64$25.0022.7%6.5%28.6%14.9%23.4%4.8%2.6%488.0K-19.0M-46.7K1.2372.20N/AN/A2,0102,46611,5927,125
2015-07-17$26.54$25.0021.8%6.3%28.0%12.0%24.0%5.2%2.3%367.7K-18.5M-47.5K1.1778.18N/AN/A2,0642,41511,6317,218
2015-07-20$26.63$25.0022.3%6.4%27.5%13.4%23.7%4.1%2.0%369.9K-16.3M-45.4K1.3676.43N/AN/A1,4431,96810,1946,102
2015-07-21$26.60$25.0022.9%6.6%27.1%15.7%24.4%4.4%2.8%382.9K-16.1M-46.1K1.2974.62N/AN/A1,5211,96510,3506,168
2015-07-22$26.85$25.0023.3%6.7%27.3%17.1%23.8%3.2%2.4%384.2K-16.8M-46.2K1.3577.78N/AN/A1,5362,07610,4286,243
2015-07-23$26.39$25.0024.3%7.0%27.5%20.5%26.2%4.5%2.7%357.0K-15.3M-46.4K1.3277.41N/AN/A1,6052,11210,3926,375
2015-07-24$26.17$25.0025.8%7.4%27.1%25.3%26.7%4.7%1.1%355.7K-14.0M-46.4K1.3773.97N/AN/A1,6262,22310,2606,426
2015-07-27$25.64$25.0028.6%8.2%28.1%34.8%29.5%5.7%3.1%329.7K-11.8M-49.6K1.3570.79N/AN/A1,6322,21110,3086,573
2015-07-28$25.96$25.0025.7%7.4%22.7%25.0%26.9%7.0%2.6%352.3K-12.7M-49.7K1.1074.41N/AN/A2,0102,20210,4526,606
2015-07-29$26.41$25.0025.4%7.3%23.2%24.1%24.1%3.9%1.9%394.7K-15.4M-50.6K1.1090.82N/AN/A2,0432,25310,9326,621
2015-07-30$26.49$25.0023.2%6.6%22.2%16.6%23.4%3.6%1.7%410.2K-15.0M-51.6K1.0982.68N/AN/A2,0672,25910,9746,729
2015-07-31$26.26$25.0022.3%6.4%22.4%13.5%23.9%4.6%3.3%391.8K-14.8M-51.5K1.0786.78N/AN/A2,0762,22310,9626,765