UYG Options History — November 2015

In November 2015, UYG traded between $23.74 and $25.33. ATM implied volatility averaged 31.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.7% (HV 20d: 31.1%). Max pain ranged from $22.50 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.40.

Notable Days

  • 2015-11-18: Highest Volume — 4,893 contracts
  • 2015-11-09: Largest IV spike — 15.9% change
  • 2015-11-13: Highest IV Rank — 36.2%
  • 2015-11-13: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.82$23.74$25.33$24.80$25.01
Max Pain$22.54$22.50$23.00$22.67$22.50
ATM IV31.8%29.3%36.1%29.6%34.7%
Expected Move9.1%8.4%10.4%8.5%10.0%
HV 20d31.1%26.6%33.6%30.9%26.7%
HV 60d40.9%33.1%44.7%44.0%33.1%
IV Rank27.0%21.7%36.2%22.5%33.0%
IV Percentile71.6%60.3%83.3%67.5%81.7%
Term Structure0.0%-2.4%1.9%-0.1%1.3%
VWIV32.5%28.2%36.1%29.6%29.7%
Skew 25d7.9%7.0%12.8%7.1%7.2%
Skew 10d14.1%8.6%23.8%13.7%11.2%
Call IV 25d28.1%23.6%31.9%25.8%28.9%
Put IV 25d36.0%32.9%39.8%32.9%36.1%
Bid-Ask Spread %54.3541.5682.6982.6982.38
Gamma HHI0.060.050.070.060.06
Net GEX298.1K196.2K378.6K301.6K327.5K
Net DEX-9.3M-12.1M-5.2M-9.6M-9.7M
Net VEX-29.8K-34.8K-22.7K-33.7K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.032.671.842.67
Total Volume3,172.263664,8934,17966
Total OI15,104.68413,95316,15214,37314,319

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$24.80$22.6729.6%8.5%30.9%22.5%29.6%7.1%-0.1%301.6K-9.6M-33.7K1.8482.69N/AN/A1,4702,7099,0485,325
2015-11-04$24.64$23.0030.7%8.8%30.7%24.8%36.1%7.5%0.0%310.4K-9.5M-34.3K1.5972.68N/AN/A1,5812,5089,2435,406
2015-11-05$24.98$22.5033.7%9.1%30.7%31.1%33.0%7.2%-0.7%316.1K-10.3M-34.8K1.4441.56N/AN/A1,6412,3619,2885,472
2015-11-06$25.33$22.5029.3%8.8%30.7%21.7%28.2%7.5%-0.5%339.4K-12.1M-32.6K0.1942.81N/AN/A348669,3785,529
2015-11-09$24.79$22.5033.9%9.5%31.5%31.5%34.1%8.6%-1.3%317.3K-9.8M-33.3K1.8947.17N/AN/A3276189,4415,577
2015-11-10$25.00$22.5029.8%8.9%31.5%23.0%33.3%7.5%0.7%292.2K-10.3M-32.8K1.5442.71N/AN/A1,7582,7069,6036,072
2015-11-11$25.10$22.5030.2%8.7%30.9%23.8%32.8%7.1%1.9%321.1K-11.3M-32.9K1.5451.42N/AN/A1,7582,7069,6486,078
2015-11-12$24.16$22.5033.5%9.6%33.4%30.6%33.7%7.6%0.5%225.3K-7.1M-31.3K1.3042.21N/AN/A2,0882,7069,6306,075
2015-11-13$23.74$22.5036.1%10.4%31.3%36.2%35.8%7.8%-1.4%196.2K-5.2M-31.4K1.3750.31N/AN/A2,0552,8119,5016,018
2015-11-16$24.29$22.5033.5%9.6%32.1%30.7%33.4%7.0%0.1%226.7K-6.5M-29.9K2.0653.07N/AN/A48999,5076,285
2015-11-17$24.27$22.5033.8%9.7%32.1%31.3%34.5%8.2%-0.3%245.9K-7.1M-30.3K1.3248.97N/AN/A2,0612,7219,5556,336
2015-11-18$25.03$22.5032.5%9.3%33.6%28.6%35.1%8.0%-1.8%360.9K-9.9M-29.6K1.4349.76N/AN/A2,0132,8809,5586,339
2015-11-19$25.07$22.5031.3%9.0%33.0%26.1%33.1%8.3%1.0%378.6K-10.9M-28.1K1.5150.62N/AN/A1,8812,8479,5496,483
2015-11-20$25.20$22.5030.4%8.7%31.7%24.1%32.6%7.7%0.8%283.2K-11.5M-27.9K1.6050.15N/AN/A1,8452,9499,5676,585
2015-11-23$25.06$22.5029.4%8.4%31.2%22.1%31.8%7.6%0.3%283.4K-9.1M-25.8K0.0352.15N/AN/A444128,4305,523
2015-11-24$24.96$22.5030.0%8.6%31.1%23.3%30.8%7.5%1.5%285.5K-8.4M-26.2K0.1248.33N/AN/A225278,5475,529
2015-11-25$24.97$22.5029.4%8.4%30.6%22.0%31.1%7.1%1.1%311.1K-8.9M-25.0K1.5352.65N/AN/A1,5782,4098,6975,547
2015-11-27$25.17$22.5032.1%9.2%26.6%27.5%28.5%12.8%-2.4%341.4K-9.6M-23.2K1.5670.97N/AN/A1,5422,4098,7335,568
2015-11-30$25.01$22.5034.7%10.0%26.7%33.0%29.7%7.2%1.3%327.5K-9.7M-22.7K2.6782.38N/AN/A18488,7515,568