UYG Options History — February 2016

In February 2016, UYG traded between $16.47 and $19.66. ATM implied volatility averaged 51.5%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 0.0% (HV 20d: 51.5%). Max pain ranged from $19.67 to $21.67. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-02-10: Highest Volume — 5,973 contracts
  • 2016-02-05: Largest IV spike — 30.8% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.35$16.47$19.66$19.66$18.80
Max Pain$21.40$19.67$21.67$20.00$21.67
ATM IV51.5%42.2%76.2%46.5%48.5%
Expected Move14.4%12.1%19.5%13.3%13.9%
HV 20d51.5%48.3%55.8%50.3%48.3%
HV 60d44.4%40.9%47.1%40.9%46.9%
IV Rank60.0%40.5%100.0%57.8%51.6%
IV Percentile89.4%77.8%100.0%88.5%88.5%
Term Structure-3.8%-15.0%1.3%-5.7%0.1%
VWIV43.0%30.7%55.0%39.6%40.0%
Skew 25d11.9%6.2%21.4%11.2%10.2%
Skew 10d23.5%12.8%45.5%24.2%21.5%
Call IV 25d43.9%33.8%59.2%33.8%43.5%
Put IV 25d55.8%45.0%76.2%45.0%53.7%
Bid-Ask Spread %93.2886.8199.1994.8797.45
Gamma HHI0.120.090.170.150.15
Net GEX8.8K-21.2K45.3K45.3K-7.2K
Net DEX3.7M2.9M4.6M2.9M3.5M
Net VEX-10.9K-14.6K-8.9K-14.6K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.631.251.021.25
Total Volume4,576.352,7755,9735,3792,853
Total OI11,039.18,94012,31511,1399,582

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$19.66$20.0046.5%13.3%50.3%57.8%39.6%11.2%-5.7%45.3K2.9M-14.6K1.0294.87N/AN/A2,6672,7127,4913,648
2016-02-02$18.73$20.0046.2%13.2%50.4%57.1%43.7%6.5%0.1%24.7K3.6M-12.1K1.0187.29N/AN/A2,7212,7427,5513,681
2016-02-03$18.74$19.6749.4%14.2%50.2%63.9%47.9%16.2%-1.8%22.9K3.8M-12.0K1.0399.19N/AN/A2,6732,7427,6263,681
2016-02-04$18.95$21.6744.0%13.6%50.1%52.4%41.3%10.1%-7.7%29.3K3.5M-12.3K1.0386.81N/AN/A2,6402,7127,6233,669
2016-02-05$18.36$21.6757.5%13.6%49.0%80.9%30.7%6.2%-1.2%33.1K3.3M-13.3K1.1387.74N/AN/A2,6162,9527,6353,702
2016-02-08$17.46$21.6758.7%17.0%50.1%83.5%44.9%11.8%-7.4%16.3K3.8M-12.7K1.0594.54N/AN/A2,8022,9347,6923,867
2016-02-09$17.39$21.6776.2%17.5%49.7%100.0%44.4%21.4%-11.1%3.0K4.3M-10.5K1.0091.09N/AN/A2,9762,9647,9113,933
2016-02-10$17.36$21.6760.0%17.2%49.3%71.7%42.2%6.6%-6.6%9.1K4.0M-10.8K0.9990.40N/AN/A3,0032,9708,1303,963
2016-02-11$16.47$21.6768.0%19.5%49.2%85.6%55.0%17.0%-15.0%1.5K4.4M-9.1K0.6390.17N/AN/A2,9821,8848,0223,969
2016-02-12$17.56$21.6759.1%16.9%55.0%70.0%52.9%17.3%-10.2%-2.2K4.6M-9.0K0.6496.29N/AN/A2,9551,8788,0914,038
2016-02-16$18.17$21.6750.0%14.3%54.9%54.2%48.0%13.5%-4.3%21.5K3.9M-11.0K0.6492.39N/AN/A2,9011,8668,1454,059
2016-02-17$18.62$21.6749.3%14.1%55.8%52.9%41.2%10.4%-2.4%26.1K3.6M-10.7K0.7093.43N/AN/A2,7301,9208,1784,014
2016-02-18$18.45$21.6744.5%12.8%53.7%44.5%39.5%9.3%-0.2%31.5K3.8M-10.2K0.6893.34N/AN/A2,8111,9238,2234,092
2016-02-19$18.49$21.6745.4%13.0%53.7%46.2%43.5%14.6%-2.4%-17.2K3.9M-10.0K0.6793.25N/AN/A2,7871,8788,1934,095
2016-02-22$19.02$21.6742.2%12.1%53.3%40.5%37.0%8.8%1.3%-21.2K3.5M-10.4K1.2491.56N/AN/A1,2391,5365,3883,552
2016-02-23$18.46$21.6745.5%13.0%52.1%46.3%38.5%10.0%-0.3%-11.2K3.5M-10.3K1.2597.03N/AN/A1,2451,5545,6253,552
2016-02-24$18.37$21.6747.9%13.7%50.9%50.5%49.0%17.9%-0.6%-15.2K4.0M-8.9K0.8398.80N/AN/A1,8841,5575,6943,603
2016-02-25$18.88$21.6745.0%12.9%51.8%45.4%41.3%11.4%-0.1%-10.7K3.7M-9.6K0.8294.12N/AN/A1,8901,5575,7813,639
2016-02-26$19.12$21.6745.1%12.9%52.0%45.5%39.6%7.4%0.1%-4.1K3.1M-10.8K1.1895.96N/AN/A1,3201,5515,7963,648
2016-02-29$18.80$21.6748.5%13.9%48.3%51.6%40.0%10.2%0.1%-7.2K3.5M-9.8K1.2597.45N/AN/A1,2691,5845,9163,666