UYG Options History — September 2015 In September 2015, UYG traded between $20.88 and $22.93. ATM implied volatility averaged 45.1%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 8.4% (HV 20d: 53.5%). Max pain ranged from $15.00 to $23.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.06.
Notable Days 2015-09-11 : Highest Volume — 9,783 contracts2015-09-28 : Largest IV spike — 22.4% change2015-09-01 : Highest IV Rank — 94.4%2015-09-01 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $21.79 $20.88 $22.93 $21.23 $21.47 Max Pain $21.29 $15.00 $23.33 $21.67 $21.67 ATM IV 45.1% 37.0% 63.9% 63.9% 44.6% Expected Move 12.8% 10.6% 18.3% 18.3% 12.8% HV 20d 53.5% 40.2% 59.5% 52.7% 40.2% HV 60d 38.8% 36.7% 40.7% 36.7% 40.7% IV Rank 54.9% 38.0% 94.4% 94.4% 53.9% IV Percentile 93.5% 88.1% 99.6% 99.6% 91.7% Term Structure -3.3% -11.9% 0.8% -11.9% -2.8% VWIV 42.6% 36.8% 60.1% 60.1% 41.6% Skew 25d 11.4% 5.1% 15.0% 11.3% 11.4% Skew 10d 22.6% 13.0% 31.9% 19.2% 22.3% Call IV 25d 39.1% 33.5% 54.7% 54.7% 38.5% Put IV 25d 50.5% 42.1% 65.9% 65.9% 49.9% Bid-Ask Spread % 71.12 59.35 87.92 69.72 77.99 Gamma HHI 0.14 0.05 0.85 0.14 0.09 Net GEX 266.2K 79.9K 3.0M 171.8K 90.9K Net DEX 859.7K -2.2M 4.1M 3.7M -177.4K Net VEX -34.2K -38.8K -30.4K -35.4K -32.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.29 1.47 1.17 1.32 Total Volume 5,191.286 348 9,783 5,901 4,074 Total OI 17,487.286 12,159 21,246 19,182 13,221
Daily Data (21 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 2015-09-01 $21.23 $21.67 63.9% 18.3% 52.7% 94.4% 60.1% 11.3% -11.9% 171.8K 3.7M -35.4K 1.17 69.72 N/A N/A 2,715 3,186 11,460 7,722 2015-09-02 $21.77 $21.67 52.6% 15.1% 53.9% 70.9% 53.2% 11.6% -5.6% 191.7K 3.0M -36.8K 1.19 65.71 N/A N/A 2,742 3,255 11,508 8,079 2015-09-03 $22.13 $23.33 47.6% 12.8% 54.7% 60.4% 39.1% 13.7% -4.1% 218.8K 2.0M -37.2K 1.24 59.35 N/A N/A 2,613 3,240 11,580 8,151 2015-09-04 $21.45 $23.33 54.4% 14.4% 55.2% 74.6% 50.5% 15.0% -7.9% 177.2K 4.1M -34.1K 1.09 67.16 N/A N/A 2,682 2,913 11,595 8,163 2015-09-08 $22.32 $21.33 47.0% 12.2% 57.2% 59.1% 40.8% 12.8% -4.8% 186.2K 2.1M -32.3K 0.29 63.91 N/A N/A 897 258 11,445 8,205 2015-09-09 $21.70 $15.00 45.5% 13.1% 57.6% 55.9% 41.4% 13.9% -4.5% 160.5K 3.3M -30.4K 1.10 62.40 N/A N/A 2,913 3,210 11,487 8,313 2015-09-10 $21.88 $21.67 45.3% 13.0% 57.9% 55.3% 41.5% 13.5% -3.2% 132.5K 3.6M -31.1K 0.98 65.21 N/A N/A 3,411 3,336 11,586 8,658 2015-09-11 $22.04 $21.67 44.6% 12.8% 57.9% 53.9% 41.9% 10.0% -5.7% 127.9K 2.9M -33.3K 0.53 62.86 N/A N/A 6,375 3,408 11,493 8,772 2015-09-14 $21.98 $21.33 45.1% 12.9% 57.5% 54.9% 42.0% 12.9% -3.3% 95.9K 1.4M -38.1K 1.11 61.13 N/A N/A 3,018 3,360 11,853 8,862 2015-09-15 $22.62 $21.33 39.3% 11.3% 58.8% 42.8% 39.9% 11.8% -1.5% 105.0K -701.1K -38.8K 1.47 68.07 N/A N/A 141 207 11,925 8,868 2015-09-16 $22.93 $21.33 38.6% 11.1% 59.3% 41.4% 38.1% 11.6% -3.2% 120.2K -2.0M -38.3K 1.21 70.86 N/A N/A 2,907 3,528 11,964 9,024 2015-09-17 $22.44 $21.33 37.0% 10.6% 59.5% 38.0% 37.9% 5.1% 0.8% 93.6K -940.5K -36.5K 1.05 87.92 N/A N/A 3,273 3,450 12,105 9,054 2015-09-18 $21.65 $21.33 39.9% 11.4% 59.4% 44.0% 38.2% 9.3% -2.3% 3.0M 2.6M -33.8K 1.08 71.30 N/A N/A 3,255 3,531 12,189 9,057 2015-09-21 $22.10 $21.00 37.7% 10.8% 56.9% 39.5% 36.8% 10.1% -0.7% 115.2K -2.2M -33.4K 0.90 76.55 N/A N/A 2,355 2,130 7,863 4,296 2015-09-22 $21.35 $21.00 41.5% 11.9% 50.0% 47.4% 39.7% 10.6% 0.5% 117.5K -1.4M -33.1K 0.98 72.58 N/A N/A 2,187 2,145 8,163 4,338 2015-09-23 $21.64 $21.33 39.1% 11.2% 49.3% 42.3% 38.3% 12.4% -0.6% 113.2K -1.4M -34.0K 1.10 73.02 N/A N/A 2,121 2,328 8,262 4,653 2015-09-24 $21.34 $21.33 43.1% 12.4% 47.1% 50.8% 40.5% 10.1% -2.1% 88.8K -309.1K -31.6K 1.04 77.47 N/A N/A 2,256 2,346 8,307 4,872 2015-09-25 $21.83 $21.33 40.9% 11.7% 44.6% 46.2% 38.7% 10.8% -1.0% 104.1K -1.8M -34.4K 1.10 79.53 N/A N/A 2,124 2,346 8,442 4,878 2015-09-28 $20.88 $21.33 50.1% 14.4% 47.0% 65.4% 46.9% 8.0% -2.5% 87.8K -113.9K -32.0K 1.04 83.26 N/A N/A 2,223 2,322 8,505 4,947 2015-09-29 $20.94 $21.67 48.7% 14.0% 47.0% 62.6% 46.8% 14.0% -3.4% 79.9K 410.4K -31.7K 1.24 77.58 N/A N/A 1,893 2,343 8,376 4,992 2015-09-30 $21.47 $21.67 44.6% 12.8% 40.2% 53.9% 41.6% 11.4% -2.8% 90.9K -177.4K -32.3K 1.32 77.99 N/A N/A 1,755 2,319 8,229 4,992
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