UYG Options History — May 2016

In May 2016, UYG traded between $22.04 and $23.68. ATM implied volatility averaged 31.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.7% (HV 20d: 26.0%). Max pain ranged from $21.67 to $22.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-05-31: Highest Volume — 4,668 contracts
  • 2016-05-13: Largest IV spike — 18.0% change
  • 2016-05-04: Highest IV Rank — 32.4%
  • 2016-05-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.71$22.04$23.68$23.09$23.63
Max Pain$21.87$21.67$22.67$22.67$22.00
ATM IV31.7%26.0%37.6%32.4%28.2%
Expected Move9.2%7.5%10.8%9.3%8.1%
HV 20d26.0%23.9%30.2%30.2%24.8%
HV 60d30.6%27.0%36.5%36.5%27.0%
IV Rank22.1%12.1%32.4%23.3%16.0%
IV Percentile41.6%16.3%65.1%47.6%21.4%
Term Structure-0.0%-4.1%5.0%-1.4%-0.4%
VWIV32.6%25.9%36.2%32.8%28.4%
Skew 25d7.6%1.4%13.9%8.0%1.4%
Skew 10d15.4%5.8%26.2%12.2%6.7%
Call IV 25d28.8%22.9%33.5%27.7%28.7%
Put IV 25d36.4%28.8%42.6%35.7%30.1%
Bid-Ask Spread %84.3070.2797.7587.4597.75
Gamma HHI0.150.110.190.160.15
Net GEX162.2K79.7K299.1K175.4K299.1K
Net DEX-1.9M-4.4M-614.0K-2.7M-4.4M
Net VEX-23.2K-26.8K-21.3K-21.8K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.931.571.300.93
Total Volume4,084.7143,6094,6683,6094,668
Total OI8,531.4297,7649,5647,7649,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$23.09$22.6732.4%9.3%30.2%23.3%32.8%8.0%-1.4%175.4K-2.7M-21.8K1.3087.45N/AN/A1,5722,0374,3383,426
2016-05-03$22.52$22.6732.0%9.2%29.9%22.7%33.6%4.5%1.7%141.2K-1.8M-21.4K1.4792.67N/AN/A1,5572,2894,3503,426
2016-05-04$22.31$22.6737.6%10.8%30.1%32.4%34.7%5.3%-2.0%111.5K-890.6K-23.0K1.5793.52N/AN/A1,4612,2894,3713,741
2016-05-05$22.21$21.6734.9%10.4%26.4%27.7%35.1%7.8%0.9%118.6K-1.0M-24.0K1.5776.36N/AN/A1,4582,2894,4043,741
2016-05-06$22.39$21.6732.6%10.3%26.4%23.8%34.6%13.9%-3.0%127.3K-878.1K-23.1K1.5577.18N/AN/A1,4792,2894,4073,717
2016-05-09$22.50$21.6732.6%9.6%26.4%23.8%33.6%8.8%0.4%144.2K-1.3M-22.7K1.3070.27N/AN/A1,7882,3194,4403,717
2016-05-10$22.99$21.6727.7%8.7%26.5%15.2%29.8%7.7%0.5%212.7K-2.4M-23.5K1.3374.15N/AN/A1,6982,2624,8423,750
2016-05-11$22.50$21.6731.1%8.9%24.0%21.0%32.2%8.2%5.0%194.6K-2.0M-24.1K1.3078.36N/AN/A1,7402,2624,9023,753
2016-05-12$22.55$21.6731.4%9.0%23.9%21.6%31.9%8.3%1.8%183.1K-1.6M-23.8K1.2879.61N/AN/A1,7612,2624,8633,753
2016-05-13$22.04$21.6737.1%10.6%25.3%31.5%34.0%7.6%-4.1%118.7K-891.2K-23.0K1.3381.79N/AN/A1,7252,2894,8633,753
2016-05-16$22.32$21.6734.5%9.9%25.3%27.0%34.9%11.2%-0.3%130.4K-904.2K-22.7K1.3375.54N/AN/A1,7222,2894,8603,783
2016-05-17$22.12$21.6732.3%9.3%24.6%23.2%34.4%7.5%1.8%114.4K-835.6K-22.4K1.3380.11N/AN/A1,7222,2894,8663,783
2016-05-18$22.54$21.6733.0%9.5%24.9%24.4%36.0%12.6%0.7%156.6K-1.1M-21.8K1.5087.20N/AN/A1,8002,6944,8663,783
2016-05-19$22.24$21.6733.4%9.6%24.7%25.2%36.2%9.4%-2.4%79.7K-614.0K-22.7K1.5087.38N/AN/A1,8002,6944,9414,056
2016-05-20$22.51$21.6732.2%9.2%24.6%22.9%34.4%8.2%-2.1%89.3K-1.0M-22.1K1.5383.86N/AN/A1,7582,6944,9354,056
2016-05-23$22.50$21.6730.3%8.7%24.5%19.6%31.3%8.7%0.5%97.9K-1.1M-21.3K1.3776.10N/AN/A1,7252,3704,0653,792
2016-05-24$23.21$21.6728.3%8.1%26.3%16.2%32.0%6.7%0.6%185.9K-2.4M-22.8K1.5384.98N/AN/A1,4912,2864,5063,861
2016-05-25$23.59$22.0029.0%8.3%26.9%17.5%29.6%3.5%-0.3%219.8K-3.4M-23.5K1.4893.40N/AN/A1,5662,3134,6113,966
2016-05-26$23.37$22.0028.8%8.3%25.5%17.1%29.6%4.1%0.8%225.9K-3.3M-24.0K0.9994.95N/AN/A2,2742,2624,7554,014
2016-05-27$23.68$22.0026.0%7.5%25.6%12.1%25.9%5.9%1.0%281.0K-4.4M-26.8K0.9997.71N/AN/A2,2742,2625,4994,065
2016-05-31$23.63$22.0028.2%8.1%24.8%16.0%28.4%1.4%-0.4%299.1K-4.4M-26.2K0.9397.75N/AN/A2,4212,2475,4754,065