UYG Options History — October 2015

In October 2015, UYG traded between $21.20 and $24.93. ATM implied volatility averaged 33.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.6% (HV 20d: 35.9%). Max pain ranged from $21.67 to $22.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2015-10-16: Highest Volume — 5,703 contracts
  • 2015-10-13: Largest IV spike — 22.4% change
  • 2015-10-13: Highest IV Rank — 58.0%
  • 2015-10-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.19$21.20$24.93$21.20$24.26
Max Pain$22.41$21.67$22.67$21.67$22.67
ATM IV33.3%28.0%46.6%43.9%28.2%
Expected Move9.4%8.0%12.6%12.6%8.1%
HV 20d35.9%29.4%40.9%39.4%33.5%
HV 60d41.9%40.4%43.7%40.4%43.7%
IV Rank30.2%19.1%58.0%52.5%19.5%
IV Percentile74.8%59.9%93.7%91.3%59.9%
Term Structure-0.5%-3.9%2.2%-1.9%1.4%
VWIV32.8%27.8%41.4%39.1%32.0%
Skew 25d8.7%5.8%13.2%9.2%5.8%
Skew 10d17.2%7.3%25.8%10.6%7.3%
Call IV 25d28.5%23.8%36.6%36.6%26.2%
Put IV 25d37.2%31.0%45.8%45.8%32.0%
Bid-Ask Spread %67.3248.6084.7084.1077.75
Gamma HHI0.080.060.130.100.07
Net GEX200.2K90.1K291.9K91.0K282.9K
Net DEX-4.7M-9.7M162.2K162.2K-8.0M
Net VEX-33.6K-36.6K-28.3K-31.9K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.711.721.331.72
Total Volume4,367.5915645,7034,1164,290
Total OI13,858.63612,81315,46813,26014,331

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$21.20$21.6743.9%12.6%39.4%52.5%39.1%9.2%-1.9%91.0K162.2K-31.9K1.3384.10N/AN/A1,7672,3498,2624,998
2015-10-02$21.54$21.6738.1%10.9%39.4%40.3%41.4%9.3%1.0%90.1K149.3K-30.8K1.2482.94N/AN/A1,9082,3618,2145,031
2015-10-05$22.52$22.3335.1%10.0%40.9%34.0%37.6%10.2%-0.6%134.8K-2.6M-32.8K0.7150.31N/AN/A3302348,4065,106
2015-10-06$22.32$22.3333.7%10.1%38.6%31.1%35.6%10.2%-0.2%128.8K-2.3M-33.5K1.2748.60N/AN/A1,9472,4668,4425,226
2015-10-07$22.65$22.0034.3%10.1%37.4%32.2%35.2%10.2%-0.2%152.9K-3.3M-33.6K1.3051.38N/AN/A1,8992,4668,4875,181
2015-10-08$22.99$22.0033.4%9.6%37.6%30.4%32.7%10.4%-0.9%172.5K-4.2M-34.1K1.3755.74N/AN/A1,8512,5418,4815,181
2015-10-09$22.70$22.3333.6%9.6%38.0%30.9%34.7%9.7%-0.2%164.2K-3.5M-33.5K1.3750.70N/AN/A1,8452,5268,5385,214
2015-10-12$22.87$22.3338.0%9.2%38.0%40.1%32.0%9.6%0.8%206.7K-4.2M-31.3K1.4155.83N/AN/A1,7972,5328,6735,211
2015-10-13$22.60$22.3346.6%10.2%36.9%58.0%34.7%8.7%-2.8%183.1K-3.3M-30.9K1.3958.45N/AN/A1,8992,6348,6585,217
2015-10-14$22.13$22.3336.2%10.4%37.3%36.3%36.0%9.1%-2.1%136.5K-1.8M-30.0K1.4260.94N/AN/A1,8122,5778,7185,337
2015-10-15$23.05$22.3331.3%9.0%39.4%26.0%30.3%13.2%-0.8%266.1K-4.1M-28.3K1.1863.09N/AN/A2,6133,0848,7155,373
2015-10-16$23.28$22.6728.8%8.2%36.9%20.7%29.4%7.9%0.9%189.6K-5.8M-34.2K1.1866.16N/AN/A2,6163,0879,5195,949
2015-10-19$23.30$22.6728.0%8.0%36.4%19.1%27.8%7.7%2.2%183.2K-4.0M-32.8K1.2369.56N/AN/A2,2472,7578,0974,716
2015-10-20$23.50$22.6728.1%8.0%33.7%19.2%28.1%9.2%-0.1%229.1K-4.8M-35.2K1.5269.60N/AN/A1,7672,6888,3944,842
2015-10-21$23.18$22.6731.7%9.1%34.1%26.8%31.1%7.3%-3.9%222.1K-4.4M-36.2K1.6473.14N/AN/A1,7672,8988,6135,013
2015-10-22$23.87$22.6730.1%8.6%34.6%23.6%29.7%6.8%-1.4%232.6K-6.0M-36.2K1.7078.57N/AN/A1,6382,7788,7155,220
2015-10-23$24.33$22.6731.7%9.1%34.5%26.8%29.6%7.9%-0.7%247.8K-7.7M-36.1K1.5874.05N/AN/A1,7552,7728,7935,223
2015-10-26$24.21$22.6729.9%8.6%29.4%23.2%31.6%7.8%-1.0%256.4K-7.4M-36.6K1.6171.92N/AN/A1,7222,7728,8415,229
2015-10-27$23.87$22.6730.9%8.9%30.4%25.2%33.1%7.8%-0.5%252.5K-6.5M-35.5K1.6674.80N/AN/A1,6652,7608,9555,229
2015-10-28$24.93$22.6731.1%8.9%32.5%25.5%28.5%6.9%-0.0%288.6K-9.7M-33.7K1.6984.70N/AN/A1,6352,7608,9645,271
2015-10-29$24.82$22.6730.0%8.6%31.9%23.3%30.7%6.5%-0.9%291.9K-9.7M-35.8K1.6878.75N/AN/A1,5932,6829,0365,271
2015-10-30$24.26$22.6728.2%8.1%33.5%19.5%32.0%5.8%1.4%282.9K-8.0M-35.2K1.7277.75N/AN/A1,5752,7159,0395,292