UYG Options History — December 2015

In December 2015, UYG traded between $22.79 and $25.53. ATM implied volatility averaged 35.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 1.7% (HV 20d: 37.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2015-12-03: Highest Volume — 9,441 contracts
  • 2015-12-11: Largest IV spike — 20.7% change
  • 2015-12-11: Highest IV Rank — 50.2%
  • 2015-12-11: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.06$22.79$25.53$25.53$23.84
Max Pain$23.73$22.50$25.00$22.50$23.67
ATM IV35.2%29.3%42.9%29.3%36.6%
Expected Move9.9%8.4%12.3%8.4%10.5%
HV 20d37.0%26.1%43.7%26.1%42.4%
HV 60d34.5%32.7%36.2%33.2%33.8%
IV Rank34.1%21.5%50.2%21.5%36.9%
IV Percentile77.5%58.7%91.3%58.7%82.1%
Term Structure-0.0%-3.8%5.2%-1.4%-2.4%
VWIV35.3%31.1%41.7%31.1%37.0%
Skew 25d8.4%3.2%13.6%9.7%11.5%
Skew 10d14.3%7.8%24.2%14.1%7.8%
Call IV 25d31.3%26.5%40.8%26.7%30.7%
Put IV 25d39.7%35.1%48.7%36.4%42.2%
Bid-Ask Spread %74.9956.25102.0779.0693.65
Gamma HHI0.150.060.250.060.24
Net GEX313.4K166.5K505.5K376.4K285.6K
Net DEX-7.2M-13.6M-2.0M-10.9M-6.1M
Net VEX-37.0K-42.7K-21.0K-21.0K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.101.700.481.23
Total Volume4,508.8641029,4411023,459
Total OI15,257.1829,96019,76114,38211,850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$25.53$22.5029.3%8.4%26.1%21.5%31.1%9.7%-1.4%376.4K-10.9M-21.0K0.4879.06N/AN/A69338,7695,613
2015-12-02$24.87$22.5029.9%8.6%27.0%22.9%32.4%5.9%-0.6%328.1K-9.2M-21.7K1.7081.65N/AN/A1,4612,4848,7995,634
2015-12-03$24.19$25.0035.2%9.5%28.7%34.0%36.6%3.2%-0.1%276.9K-6.6M-21.3K0.3868.12N/AN/A6,8462,5958,8295,649
2015-12-04$25.33$23.6734.1%9.0%32.9%31.6%32.3%9.4%0.4%480.7K-13.6M-36.6K1.3658.69N/AN/A1,9862,70911,5325,784
2015-12-07$24.89$23.6736.8%9.3%33.1%37.4%35.3%7.5%0.1%505.5K-12.7M-38.1K0.1059.53N/AN/A4864811,8835,916
2015-12-08$24.40$23.6738.9%9.9%33.0%41.7%34.6%7.3%-1.5%468.3K-10.6M-39.0K1.5257.95N/AN/A1,8782,84712,0965,916
2015-12-09$23.80$23.6736.8%10.5%33.9%37.3%36.3%9.3%-1.2%397.8K-7.8M-38.8K1.5261.73N/AN/A1,9202,91312,1296,021
2015-12-10$23.79$23.6735.5%10.2%33.8%34.7%34.8%8.0%0.3%391.4K-7.8M-38.2K1.6156.25N/AN/A1,8452,97011,9106,174
2015-12-11$22.79$23.6742.9%12.3%34.5%50.2%41.7%7.8%-2.0%244.3K-3.4M-36.5K1.0863.61N/AN/A3,6693,97511,8716,252
2015-12-14$22.87$23.6742.6%12.2%34.1%49.6%40.1%7.4%-3.8%234.8K-2.9M-38.4K1.0664.16N/AN/A3,1863,37811,9436,768
2015-12-15$23.88$23.6737.5%10.7%36.8%38.8%38.2%9.3%-0.9%326.3K-7.0M-41.9K1.2168.31N/AN/A2,8563,44412,1417,098
2015-12-16$24.68$23.6734.1%9.8%38.7%31.6%35.2%13.5%0.2%379.1K-11.0M-39.1K1.1981.32N/AN/A2,9553,50712,1957,128
2015-12-17$24.01$24.0035.1%10.1%38.2%33.9%36.5%6.7%0.1%368.0K-7.9M-39.0K1.1868.06N/AN/A3,1173,67212,0457,200
2015-12-18$22.93$24.0038.3%11.0%41.2%40.5%36.0%7.8%-0.3%166.5K-2.0M-37.8K1.5262.91N/AN/A2,4363,69912,3307,431
2015-12-21$23.18$24.0035.6%10.2%41.4%34.9%36.0%9.3%0.8%175.9K-3.5M-37.4K1.2265.62N/AN/A1,3561,6506,4953,465
2015-12-22$23.46$24.0034.2%9.8%41.8%31.9%34.6%13.6%1.3%203.1K-4.4M-39.0K1.2694.63N/AN/A1,5992,0076,8553,594
2015-12-23$24.07$24.0032.4%9.3%43.0%28.0%33.2%6.2%0.7%232.8K-5.6M-42.4K1.4481.41N/AN/A1,2991,8667,0473,993
2015-12-24$24.14$24.0030.9%8.8%43.1%24.8%33.5%9.2%4.1%251.9K-5.9M-42.7K1.5286.36N/AN/A1,2301,8667,2154,005
2015-12-28$23.98$24.0033.2%9.5%42.9%29.8%34.8%6.8%1.4%229.2K-5.5M-41.2K1.6194.19N/AN/A1,1671,8847,1794,005
2015-12-29$24.48$23.6732.2%9.2%43.7%27.7%32.7%7.9%5.2%270.7K-6.8M-40.5K1.34102.07N/AN/A1,4161,9027,2424,014
2015-12-30$24.20$23.6733.4%9.6%43.1%30.1%33.7%6.1%-0.5%302.5K-6.6M-42.1K1.18100.48N/AN/A1,6081,9027,6114,032
2015-12-31$23.84$23.6736.6%10.5%42.4%36.9%37.0%11.5%-2.4%285.6K-6.1M-42.2K1.2393.65N/AN/A1,5541,9057,8124,038