UYG Options History — March 2016

In March 2016, UYG traded between $19.88 and $21.68. ATM implied volatility averaged 35.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 3.9% (HV 20d: 39.5%). Max pain ranged from $19.33 to $21.67. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-03-18: Highest Volume — 4,449 contracts
  • 2016-03-17: Largest IV drop — 24.2% change
  • 2016-03-08: Highest IV Rank — 42.8%
  • 2016-03-09: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.86$19.88$21.68$19.88$21.52
Max Pain$19.89$19.33$21.67$21.67$19.67
ATM IV35.6%25.4%43.5%40.3%28.6%
Expected Move10.1%7.3%12.4%11.5%8.2%
HV 20d39.5%26.9%52.6%52.6%26.9%
HV 60d46.3%44.1%48.3%48.3%44.1%
IV Rank28.9%11.2%42.8%37.1%16.7%
IV Percentile58.9%25.4%77.0%74.2%37.3%
Term Structure0.1%-4.3%5.5%-3.0%0.8%
VWIV36.4%29.4%42.9%41.1%29.4%
Skew 25d8.9%4.0%16.2%16.2%4.6%
Skew 10d19.2%9.1%33.5%26.7%9.1%
Call IV 25d32.3%25.3%40.4%36.2%27.7%
Put IV 25d41.2%32.3%52.5%52.5%32.3%
Bid-Ask Spread %80.7558.77109.11100.1892.01
Gamma HHI0.150.060.330.190.07
Net GEX58.0K-12.1K208.5K1.4K94.4K
Net DEX465.1K-1.9M2.8M2.8M-992.9K
Net VEX-13.8K-15.7K-11.1K-11.1K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.761.391.290.90
Total Volume3,552.2732,8144,4492,8143,603
Total OI8,750.8644,72811,1519,6066,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$19.88$21.6740.3%11.5%52.6%37.1%41.1%16.2%-3.0%1.4K2.8M-11.1K1.29100.18N/AN/A1,2301,5845,9073,699
2016-03-02$20.24$21.6742.5%12.2%49.6%41.0%39.3%7.2%-4.3%15.6K2.3M-11.7K1.1195.62N/AN/A1,4551,6145,9373,705
2016-03-03$20.57$19.3338.9%11.1%49.7%34.7%39.6%12.4%-1.2%30.4K1.7M-13.0K0.9264.49N/AN/A1,8001,6626,0873,738
2016-03-04$20.75$19.3341.7%11.0%49.7%39.6%40.0%9.9%-2.3%63.4K724.9K-15.1K1.1259.88N/AN/A1,5871,7856,4803,789
2016-03-07$20.63$19.3342.1%10.8%48.0%40.3%40.0%11.8%-1.5%50.4K1.1M-14.5K1.1060.26N/AN/A1,6291,8006,5133,942
2016-03-08$20.01$19.3343.5%11.4%45.4%42.8%41.0%7.3%-0.6%34.7K1.7M-14.1K1.1064.44N/AN/A1,6321,7946,4863,942
2016-03-09$20.01$19.3343.4%12.4%45.3%42.5%42.9%6.9%-3.7%25.0K2.1M-13.1K1.1061.05N/AN/A1,6261,7916,4803,969
2016-03-10$19.98$19.3341.9%12.0%45.3%40.0%41.8%8.1%-0.5%-12.1K2.6M-11.9K1.2869.44N/AN/A1,6982,1756,4893,969
2016-03-11$21.03$19.6734.5%9.9%42.0%27.0%36.3%11.7%1.8%66.5K884.4K-14.2K1.3958.77N/AN/A1,6142,2386,5614,362
2016-03-14$20.82$20.0038.2%11.0%37.9%33.5%38.5%8.5%-1.1%54.7K1.1M-13.5K1.3565.55N/AN/A1,6802,2746,6244,425
2016-03-15$20.78$20.0037.6%10.8%36.8%32.4%38.5%13.4%-0.8%32.8K634.7K-12.9K1.3575.53N/AN/A1,6802,2716,7174,425
2016-03-16$20.85$20.0037.2%10.7%36.2%31.8%39.4%6.7%-2.1%55.6K949.6K-13.5K1.30109.11N/AN/A1,7222,2446,7234,416
2016-03-17$21.20$20.0028.2%8.1%36.0%16.0%31.3%9.8%3.9%208.5K84.7K-12.7K1.2982.19N/AN/A1,7702,2776,7264,425
2016-03-18$21.68$20.0025.4%7.3%36.3%11.2%32.0%8.9%5.5%39.4K-1.9M-12.5K1.1894.70N/AN/A2,0432,4066,3244,416
2016-03-21$21.68$20.0030.9%8.9%35.6%20.8%32.5%6.8%0.5%51.1K-921.4K-13.1K0.8786.89N/AN/A1,5991,3982,3702,358
2016-03-22$21.49$20.0031.1%8.9%33.4%21.1%31.9%6.6%1.3%81.0K-1.1M-15.4K0.7988.17N/AN/A1,7701,3983,0062,373
2016-03-23$21.19$20.0030.6%8.8%34.0%20.3%34.5%4.0%1.5%78.0K-1.1M-15.7K0.7685.87N/AN/A1,8631,4193,1082,373
2016-03-24$20.89$20.0035.3%10.1%34.0%28.5%34.7%7.6%-2.5%68.9K-320.3K-15.0K0.8985.79N/AN/A1,8271,6203,2462,406
2016-03-28$21.04$19.6731.9%9.2%33.9%22.5%33.3%9.1%4.9%69.0K-456.9K-15.7K0.8988.84N/AN/A1,8331,6233,2792,661
2016-03-29$21.23$19.6730.7%8.8%32.9%20.3%31.9%7.6%3.3%73.1K-563.1K-14.9K0.8994.87N/AN/A1,8601,6533,2852,664
2016-03-30$21.56$19.6728.6%8.2%27.4%16.8%31.3%9.5%3.4%93.6K-1.1M-15.4K0.9092.92N/AN/A1,8961,7073,3152,679
2016-03-31$21.52$19.6728.6%8.2%26.9%16.7%29.4%4.6%0.8%94.4K-992.9K-15.2K0.9092.01N/AN/A1,8961,7073,3542,766