UYG Options History — June 2016

In June 2016, UYG traded between $19.65 and $23.78. ATM implied volatility averaged 38.3%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 9.3% (HV 20d: 29.0%). Max pain ranged from $21.67 to $22.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-06-17: Highest Volume — 5,547 contracts
  • 2016-06-24: Largest IV spike — 52.5% change
  • 2016-06-24: Highest IV Rank — 71.8%
  • 2016-06-24: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.30$19.65$23.78$23.67$21.96
Max Pain$22.27$21.67$22.67$21.67$22.00
ATM IV38.3%26.7%60.1%28.3%33.2%
Expected Move11.0%7.7%17.2%8.1%9.5%
HV 20d29.0%20.8%52.9%22.8%52.9%
HV 60d27.9%24.6%37.1%27.0%37.1%
IV Rank33.6%13.4%71.8%16.2%24.8%
IV Percentile56.6%15.9%97.6%23.0%42.9%
Term Structure-2.3%-12.1%3.5%-1.0%3.5%
VWIV37.7%28.2%58.9%28.2%36.0%
Skew 25d9.6%2.7%17.0%4.8%6.2%
Skew 10d21.5%10.2%50.8%10.6%19.4%
Call IV 25d34.8%24.2%71.5%26.0%35.1%
Put IV 25d44.4%30.8%74.1%30.8%41.3%
Bid-Ask Spread %81.5666.58104.3698.0793.63
Gamma HHI0.120.060.220.160.08
Net GEX187.0K14.7K411.8K353.3K151.7K
Net DEX-1.6M-5.1M1.8M-4.5M-716.3K
Net VEX-22.4K-25.5K-18.6K-25.2K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.731.110.940.85
Total Volume4,707.5454,0595,5474,6925,187
Total OI9,035.0456,49810,5639,8108,796

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$23.67$21.6728.3%8.1%22.8%16.2%28.2%4.8%-1.0%353.3K-4.5M-25.2K0.9498.07N/AN/A2,4212,2715,7424,068
2016-06-02$23.78$22.6728.6%8.0%22.4%16.8%30.0%8.0%1.2%371.5K-5.1M-25.4K0.8266.58N/AN/A2,4332,0015,7364,092
2016-06-03$23.29$22.6728.7%8.1%23.8%16.8%29.7%7.5%0.6%315.6K-3.8M-25.3K0.8276.85N/AN/A2,4572,0135,7454,104
2016-06-06$23.56$22.6730.2%8.6%23.9%19.5%29.8%6.8%0.1%366.3K-4.4M-24.2K0.9277.38N/AN/A2,4512,2655,7424,140
2016-06-07$23.41$22.6729.1%8.4%24.1%17.5%29.5%7.9%0.7%373.0K-4.4M-24.3K0.9686.28N/AN/A2,4602,3555,7184,257
2016-06-08$23.55$22.0026.7%7.7%23.1%13.4%28.5%7.7%2.2%411.8K-4.3M-23.1K0.9379.19N/AN/A2,4632,2865,7424,362
2016-06-09$23.27$22.0029.3%8.4%22.1%17.9%29.9%9.1%0.1%365.9K-3.5M-23.6K0.9283.25N/AN/A2,4722,2865,7484,377
2016-06-10$22.69$22.0033.3%9.5%24.0%24.9%34.9%9.0%1.6%236.7K-2.2M-22.7K0.9978.21N/AN/A2,3192,3045,7514,377
2016-06-13$22.28$22.0037.7%10.8%23.5%32.7%38.8%7.3%2.5%186.0K-1.4M-21.1K0.9975.36N/AN/A2,3492,3315,7484,398
2016-06-14$21.67$22.0046.0%13.2%25.0%47.1%43.6%9.3%-12.1%54.1K130.0K-20.2K0.9072.20N/AN/A2,4782,2325,7784,428
2016-06-15$21.76$22.3341.9%12.0%24.9%39.9%39.5%10.5%-4.4%131.7K-490.9K-20.1K0.8395.14N/AN/A2,8202,3285,8834,311
2016-06-16$21.83$22.3346.2%13.2%23.9%47.5%41.9%17.0%-8.8%52.4K119.2K-19.2K0.8571.49N/AN/A2,8772,4546,1834,380
2016-06-17$21.80$22.6741.2%11.8%23.5%38.8%41.3%17.0%-1.8%72.2K-587.0K-20.3K0.7372.05N/AN/A3,2132,3346,1984,296
2016-06-20$22.05$22.6736.6%10.5%23.5%30.7%37.1%10.0%0.9%100.9K-805.5K-22.1K0.7775.70N/AN/A2,3221,7823,9302,568
2016-06-21$22.28$22.3338.0%10.9%23.8%33.1%38.7%12.3%-4.1%108.4K-744.1K-21.8K0.7870.64N/AN/A2,2771,7824,0502,712
2016-06-22$22.18$22.3341.1%11.8%20.8%38.5%41.8%11.2%-1.0%111.5K-870.8K-22.1K0.8081.80N/AN/A2,2591,8004,1612,712
2016-06-23$23.00$22.3339.4%11.3%24.0%35.6%36.2%7.5%-7.3%146.5K-1.8M-23.9K0.7981.59N/AN/A2,3761,8754,1972,739
2016-06-24$20.95$22.3360.1%17.2%40.5%71.8%58.9%2.7%-9.4%82.8K-119.2K-21.2K1.03104.36N/AN/A2,2772,3494,5392,814
2016-06-27$19.65$22.3359.8%17.1%44.9%71.2%54.2%14.3%-3.9%14.7K1.8M-18.6K1.0680.65N/AN/A2,2142,3494,5993,387
2016-06-28$20.58$22.0048.3%13.8%48.9%51.2%43.1%16.2%-5.7%33.7K1.4M-20.5K1.1192.50N/AN/A2,2412,4904,6323,396
2016-06-29$21.52$22.0038.5%11.0%52.2%34.1%37.5%8.0%-4.5%73.6K599.2K-21.7K0.8981.49N/AN/A2,8142,4994,7613,474
2016-06-30$21.96$22.0033.2%9.5%52.9%24.8%36.0%6.2%3.5%151.7K-716.3K-25.5K0.8593.63N/AN/A2,8022,3855,3133,483