UYG Options History — April 2016

In April 2016, UYG traded between $20.48 and $23.43. ATM implied volatility averaged 32.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.3% (HV 20d: 28.1%). Max pain ranged from $19.67 to $22.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-04-15: Highest Volume — 3,807 contracts
  • 2016-04-13: Largest IV drop — 31.6% change
  • 2016-04-12: Highest IV Rank — 51.5%
  • 2016-04-07: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.15$20.48$23.43$21.81$22.65
Max Pain$21.86$19.67$22.67$19.67$22.67
ATM IV32.4%27.0%48.5%33.2%35.0%
Expected Move9.0%7.7%10.6%9.5%10.0%
HV 20d28.1%24.2%30.3%26.8%30.0%
HV 60d40.4%36.3%44.1%44.1%36.3%
IV Rank23.4%13.8%51.5%24.8%27.9%
IV Percentile46.9%27.8%87.7%52.8%59.1%
Term Structure0.5%-2.0%4.8%-1.3%-1.9%
VWIV30.6%25.6%34.8%25.6%33.5%
Skew 25d7.7%2.7%13.2%8.8%5.4%
Skew 10d16.0%9.6%20.9%13.3%13.6%
Call IV 25d28.0%21.8%31.9%26.9%31.1%
Put IV 25d35.6%30.3%41.5%35.7%36.5%
Bid-Ask Spread %78.6163.59104.5994.3291.28
Gamma HHI0.110.060.170.070.15
Net GEX129.0K50.0K188.6K103.4K144.6K
Net DEX-1.8M-3.4M265.5K-1.1M-2.0M
Net VEX-18.0K-23.3K-13.1K-14.9K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.771.300.841.30
Total Volume3,499.7143,2583,8073,4863,600
Total OI6,888.4296,1057,7346,1057,734

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$21.81$19.6733.2%9.5%26.8%24.8%25.6%8.8%-1.3%103.4K-1.1M-14.9K0.8494.32N/AN/A1,8991,5873,3392,766
2016-04-04$21.55$22.0029.7%8.8%27.2%18.6%28.7%6.2%-0.5%106.2K-1.1M-14.9K0.8474.45N/AN/A1,8961,5873,3692,751
2016-04-05$20.99$22.0033.6%9.5%28.9%25.4%28.4%7.8%-2.0%81.7K-435.7K-14.4K0.8463.59N/AN/A1,8961,5873,3782,751
2016-04-06$21.25$22.0034.0%9.7%26.6%26.1%30.1%9.6%-1.9%80.4K-459.5K-14.0K0.8270.96N/AN/A1,8991,5663,3782,751
2016-04-07$20.48$22.0039.6%10.6%30.2%36.0%34.1%8.5%0.9%50.0K265.5K-13.1K0.9073.91N/AN/A1,8421,6653,3572,757
2016-04-08$20.65$22.0034.3%9.6%30.3%26.6%31.8%8.8%1.4%56.6K127.8K-14.4K0.9263.75N/AN/A1,8031,6653,3812,865
2016-04-11$20.83$22.0040.1%10.1%24.2%36.9%30.8%9.7%0.2%68.8K-147.9K-13.8K0.9865.67N/AN/A1,6951,6653,4682,895
2016-04-12$21.26$21.6748.5%9.6%25.0%51.5%34.8%13.2%-1.9%95.2K-630.9K-14.4K1.0372.11N/AN/A1,6801,7283,6302,895
2016-04-13$22.15$21.6733.2%9.5%28.8%24.7%30.5%7.6%-0.7%151.1K-2.0M-16.0K0.9377.51N/AN/A1,8691,7463,9153,021
2016-04-14$22.28$19.6729.5%8.5%28.8%18.3%31.5%8.6%2.1%188.6K-2.5M-17.6K0.8273.53N/AN/A1,9801,6204,1643,042
2016-04-15$22.19$21.6730.4%8.7%28.4%19.9%30.8%5.2%1.8%97.6K-2.5M-18.3K0.7777.96N/AN/A2,1451,6624,3533,114
2016-04-18$22.49$22.0028.9%8.3%27.8%17.2%29.4%7.3%-0.3%116.1K-1.6M-17.8K0.9076.20N/AN/A1,7431,5603,6602,841
2016-04-19$22.87$22.0028.2%8.1%28.2%16.1%29.0%7.6%1.0%150.8K-2.5M-19.4K0.9470.63N/AN/A1,6831,5753,9962,928
2016-04-20$23.22$22.0027.0%7.7%28.2%13.8%28.4%10.3%2.1%182.2K-3.1M-20.4K0.9789.67N/AN/A1,6861,6384,1702,943
2016-04-21$22.84$22.0029.0%8.3%28.4%17.3%29.8%2.7%0.2%165.7K-2.9M-21.5K0.9984.36N/AN/A1,6591,6414,2813,036
2016-04-22$23.15$22.0028.5%8.2%27.8%16.6%30.7%7.8%4.8%174.1K-3.1M-21.6K0.9981.33N/AN/A1,6591,6474,3143,039
2016-04-25$22.95$22.0031.3%9.0%28.2%21.4%32.1%7.5%0.8%170.7K-3.0M-20.8K1.2676.74N/AN/A1,6442,0734,3143,033
2016-04-26$23.31$22.6730.1%8.6%28.5%19.3%30.8%6.9%0.8%179.1K-3.1M-22.7K1.2880.51N/AN/A1,6142,0734,2603,402
2016-04-27$23.43$22.6727.8%8.0%28.2%15.4%32.2%8.7%3.0%175.3K-3.4M-23.3K1.29104.59N/AN/A1,5902,0584,2753,402
2016-04-28$22.84$22.6729.3%8.4%30.0%17.9%30.6%3.0%1.0%171.6K-2.8M-22.3K1.2687.79N/AN/A1,6232,0464,3053,384
2016-04-29$22.65$22.6735.0%10.0%30.0%27.9%33.5%5.4%-1.9%144.6K-2.0M-22.8K1.3091.28N/AN/A1,5632,0374,3293,405