UYG Options History — August 2015

In August 2015, UYG traded between $21.19 and $26.62. ATM implied volatility averaged 33.7%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.1% (HV 20d: 26.6%). Max pain ranged from $21.67 to $25.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2015-08-28: Highest Volume — 6,174 contracts
  • 2015-08-24: Largest IV spike — 46.9% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.95$21.19$26.62$26.31$22.85
Max Pain$22.16$21.67$25.33$25.33$21.67
ATM IV33.7%19.1%66.6%22.8%49.5%
Expected Move9.8%6.2%19.1%6.5%14.2%
HV 20d26.6%17.3%47.2%22.2%47.1%
HV 60d25.2%21.8%33.8%22.5%33.6%
IV Rank39.0%2.5%100.0%15.4%64.4%
IV Percentile60.3%1.2%100.0%23.0%98.8%
Term Structure-0.8%-12.4%3.9%3.3%-4.7%
VWIV34.3%21.6%61.3%21.7%50.4%
Skew 25d9.3%4.2%24.1%4.2%10.8%
Skew 10d17.9%5.8%36.7%5.8%26.6%
Call IV 25d30.1%19.7%56.6%20.9%43.7%
Put IV 25d39.4%24.4%76.0%25.1%54.4%
Bid-Ask Spread %65.5551.1788.2588.2561.27
Gamma HHI0.100.080.130.080.11
Net GEX350.8K169.3K497.9K411.9K240.5K
Net DEX-9.7M-16.5M2.2M-15.8M-590.5K
Net VEX-45.5K-49.6K-38.8K-47.3K-42.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.643.183.180.89
Total Volume4,332.8571236,1741386,021
Total OI18,383.85717,36419,23017,36419,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$26.31$25.3322.8%6.5%22.2%15.4%21.7%4.2%3.3%411.9K-15.8M-47.3K3.1888.25N/AN/A3310510,9236,441
2015-08-04$26.18$25.0022.6%6.5%22.4%14.4%26.1%4.7%2.3%407.1K-14.5M-49.6K1.1684.67N/AN/A1,9142,22610,9626,753
2015-08-05$26.36$25.0021.6%6.2%19.0%11.1%22.7%4.7%3.2%407.4K-15.5M-46.3K1.1583.04N/AN/A1,9412,22610,9716,753
2015-08-06$26.16$21.6723.7%7.1%19.1%18.4%28.0%5.5%3.9%420.3K-14.2M-48.8K1.2965.93N/AN/A1,8632,40011,0046,753
2015-08-07$26.17$21.6723.0%6.9%17.5%15.8%25.9%7.2%3.7%417.9K-14.3M-46.6K1.2860.86N/AN/A1,8932,41811,0226,876
2015-08-10$26.62$21.6719.1%6.4%17.3%2.5%25.1%6.7%3.9%464.3K-16.5M-44.7K1.2566.10N/AN/A1,8962,37011,0526,885
2015-08-11$26.25$21.6724.5%7.4%18.0%21.0%21.6%7.7%1.3%438.7K-15.2M-45.6K0.6464.25N/AN/A754811,0466,630
2015-08-12$25.86$21.6727.2%7.8%18.4%30.3%28.9%7.8%0.2%387.5K-12.3M-47.3K1.3953.31N/AN/A2,0222,81111,0466,960
2015-08-13$26.04$21.6726.1%7.5%17.4%26.6%28.8%5.7%2.8%417.6K-13.7M-49.2K1.3757.33N/AN/A2,0672,83511,3887,290
2015-08-14$26.33$21.6725.3%7.3%17.9%23.0%27.3%6.8%2.0%452.7K-15.1M-48.0K1.3459.47N/AN/A2,1092,83511,4337,395
2015-08-17$26.49$21.6723.3%6.7%18.0%15.8%26.3%5.4%3.7%497.9K-16.3M-44.2K1.3260.43N/AN/A2,1662,85611,4397,395
2015-08-18$26.43$21.6724.3%7.0%18.0%19.3%28.4%6.6%3.3%471.6K-15.8M-45.4K1.3567.40N/AN/A2,1542,90411,4187,410
2015-08-19$26.00$21.6727.7%7.9%18.4%31.0%25.0%7.2%0.5%415.1K-14.8M-45.2K1.6369.87N/AN/A11418611,3827,089
2015-08-20$25.09$21.6733.8%9.7%21.5%52.1%35.2%9.1%-1.7%293.5K-8.7M-47.4K1.1356.11N/AN/A2,3492,66411,3977,605
2015-08-21$23.65$21.6745.3%13.0%29.4%91.8%42.7%14.3%-6.0%185.4K-3.1M-47.8K1.0751.17N/AN/A2,3762,54411,4487,782
2015-08-24$21.75$21.6766.6%19.1%40.3%100.0%61.3%19.4%-12.4%169.3K1.1M-43.6K1.0260.65N/AN/A2,5832,63410,5997,254
2015-08-25$21.19$21.6753.1%15.2%40.0%71.8%52.2%10.5%-7.2%179.4K2.2M-38.8K0.9674.97N/AN/A2,8592,74810,8067,410
2015-08-26$22.10$21.6751.9%14.9%43.1%69.4%50.2%14.6%-6.3%196.0K1.9M-39.9K1.0665.04N/AN/A2,6522,80511,2057,581
2015-08-27$23.14$21.6748.0%13.8%47.2%61.2%45.8%24.1%-5.7%249.3K-892.6K-41.9K0.8766.52N/AN/A3,2642,85011,3257,626
2015-08-28$23.08$21.6749.0%14.1%47.2%63.4%47.6%13.0%-6.7%243.9K-1.6M-45.3K0.8459.92N/AN/A3,3482,82611,4457,695
2015-08-31$22.85$21.6749.5%14.2%47.1%64.4%50.4%10.8%-4.7%240.5K-590.5K-42.0K0.8961.27N/AN/A3,1922,82911,4457,722