UYG Options History — January 2016

In January 2016, UYG traded between $18.26 and $22.93. ATM implied volatility averaged 50.4%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 6.4% (HV 20d: 43.9%). Max pain ranged from $19.67 to $24.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-01-20: Highest Volume — 5,787 contracts
  • 2016-01-12: Largest IV drop — 18.7% change
  • 2016-01-08: Highest IV Rank — 91.5%
  • 2016-01-20: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.97$18.26$22.93$22.74$19.74
Max Pain$21.25$19.67$24.00$24.00$19.67
ATM IV50.4%41.9%62.5%46.9%41.9%
Expected Move13.3%11.1%16.4%11.8%12.0%
HV 20d43.9%40.8%50.3%44.5%50.3%
HV 60d38.2%35.1%41.2%35.2%41.2%
IV Rank65.9%48.1%91.5%58.6%48.1%
IV Percentile94.1%83.3%99.2%94.8%83.3%
Term Structure-2.0%-7.0%2.2%-4.4%0.4%
VWIV43.2%35.2%52.8%36.2%37.1%
Skew 25d7.8%-15.8%17.9%10.7%17.9%
Skew 10d18.1%4.9%49.8%22.9%26.6%
Call IV 25d42.5%32.6%56.9%35.0%34.0%
Put IV 25d50.3%41.1%59.5%45.6%51.9%
Bid-Ask Spread %78.7062.7195.2371.7892.19
Gamma HHI0.170.130.220.220.14
Net GEX61.9K-12.7K214.9K196.0K39.3K
Net DEX1.8M-3.4M4.4M-2.8M3.1M
Net VEX-23.7K-39.8K-13.2K-38.7K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.041.121.030.04
Total Volume4,0442465,7873,273246
Total OI11,350.26310,22112,41111,86211,079

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$22.74$24.0046.9%11.8%44.5%58.6%36.2%10.7%-4.4%196.0K-2.8M-38.7K1.0371.78N/AN/A1,6141,6597,8214,041
2016-01-05$22.93$23.3344.8%11.1%40.8%54.1%35.2%9.4%-2.7%214.9K-3.4M-39.8K0.8262.71N/AN/A1,6711,3627,8454,116
2016-01-06$22.26$23.3351.1%11.6%41.6%67.4%38.1%13.0%0.2%182.0K-2.0M-37.9K0.8072.03N/AN/A1,6801,3507,9264,122
2016-01-07$21.26$23.3355.4%12.2%43.7%76.5%41.0%10.2%-1.2%105.2K307.6K-33.9K0.9771.11N/AN/A1,4101,3747,9624,266
2016-01-08$20.45$22.0062.5%14.2%44.7%91.5%41.9%-0.5%-5.4%75.1K1.0M-31.9K1.0478.55N/AN/A1,4551,5158,0404,305
2016-01-11$20.64$22.0060.8%13.0%45.1%87.8%43.9%12.4%0.2%53.6K1.9M-30.0K1.1075.75N/AN/A1,4101,5458,0104,401
2016-01-12$20.84$22.0049.4%11.1%43.4%63.8%40.0%5.5%0.6%42.1K1.6M-29.8K0.5277.27N/AN/A2,9191,5307,9834,356
2016-01-13$19.76$20.6748.4%13.9%46.6%61.7%44.3%-4.9%2.2%-8.2K3.3M-22.2K0.8978.17N/AN/A1,7011,5096,5824,344
2016-01-14$20.10$21.6748.6%13.9%43.6%62.2%44.8%8.8%-7.0%-12.7K3.5M-22.6K1.1274.49N/AN/A1,3471,5126,5344,401
2016-01-15$19.22$20.6752.4%15.0%42.5%70.1%51.1%12.8%-4.7%-9.0K4.4M-19.7K0.9477.71N/AN/A2,7602,6046,5674,401
2016-01-19$19.24$20.6749.7%14.3%42.4%64.6%49.9%8.9%-0.4%53.0K2.2M-19.2K0.9974.80N/AN/A2,6072,5716,9393,282
2016-01-20$18.43$20.3357.2%16.4%42.1%80.3%52.8%10.6%-6.6%25.3K3.3M-15.7K0.8080.51N/AN/A3,2132,5747,1433,480
2016-01-21$18.41$20.0051.1%14.7%41.5%67.5%49.7%6.9%-4.2%37.7K3.0M-16.8K0.9776.30N/AN/A2,6552,5747,2303,498
2016-01-22$19.05$20.0045.2%13.0%43.8%55.1%43.8%13.6%1.5%38.4K3.1M-15.6K1.0176.82N/AN/A2,5592,5747,3383,498
2016-01-25$18.26$20.0048.5%13.9%43.0%61.9%47.2%7.6%-4.8%32.5K3.3M-14.0K1.0576.41N/AN/A2,5652,7007,4043,501
2016-01-26$18.82$20.0048.5%13.9%45.5%62.0%42.9%13.8%1.0%19.0K3.7M-13.2K1.0492.84N/AN/A2,5982,7007,4253,612
2016-01-27$18.66$20.0046.1%13.2%45.4%56.8%40.7%-15.8%-1.1%58.1K2.1M-18.8K1.0595.23N/AN/A2,6312,7577,4793,612
2016-01-28$18.69$20.0048.3%13.8%44.1%61.5%40.7%8.1%-1.6%34.3K3.1M-15.5K1.0590.69N/AN/A2,6282,7577,4433,669
2016-01-29$19.74$19.6741.9%12.0%50.3%48.1%37.1%17.9%0.4%39.3K3.1M-14.5K0.0492.19N/AN/A23797,4313,648