UYG Options History — July 2016

In July 2016, UYG traded between $21.32 and $23.84. ATM implied volatility averaged 31.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 15.4% (HV 20d: 46.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2016-07-08: Highest Volume — 5,568 contracts
  • 2016-07-13: Largest IV drop — 36.9% change
  • 2016-07-12: Highest IV Rank — 46.9%
  • 2016-07-06: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.00$21.32$23.84$21.93$23.79
Max Pain$22.57$22.00$23.00$22.00$23.00
ATM IV31.5%24.6%45.8%33.7%24.6%
Expected Move8.5%7.0%11.9%9.7%7.0%
HV 20d46.9%20.8%54.9%52.5%20.8%
HV 60d36.2%35.1%36.8%36.3%35.1%
IV Rank21.8%9.6%46.9%25.6%9.6%
IV Percentile29.7%4.4%80.6%46.4%4.4%
Term Structure1.7%-2.2%5.3%3.4%3.3%
VWIV31.9%25.7%41.3%34.0%25.7%
Skew 25d7.6%5.5%12.8%8.6%6.3%
Skew 10d15.1%3.5%26.0%16.6%11.1%
Call IV 25d26.9%22.1%35.2%31.0%22.1%
Put IV 25d34.4%28.3%45.5%39.6%28.3%
Bid-Ask Spread %74.2253.06106.29106.2981.00
Gamma HHI0.110.070.510.080.10
Net GEX286.9K105.5K788.9K165.7K349.6K
Net DEX-2.8M-5.2M367.9K-1.0M-4.2M
Net VEX-25.5K-26.6K-22.7K-26.2K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.811.440.851.29
Total Volume4,655.553,8465,5685,2084,053
Total OI9,226.058,3139,9218,9559,462

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$21.93$22.0033.7%9.7%52.5%25.6%34.0%8.6%3.4%165.7K-1.0M-26.2K0.85106.29N/AN/A2,8142,3945,4483,507
2016-07-05$21.32$22.0042.1%10.8%52.9%40.3%38.9%8.4%0.8%110.7K13.3K-23.4K0.8657.55N/AN/A2,8142,4305,4603,525
2016-07-06$21.43$22.0040.5%11.9%53.1%37.6%41.3%11.0%-2.2%105.5K367.9K-22.7K0.8267.75N/AN/A2,9252,4125,4723,627
2016-07-07$21.44$22.0043.6%10.4%53.0%42.9%39.2%12.8%-0.3%119.0K157.7K-23.2K0.8167.51N/AN/A2,9792,4095,6343,627
2016-07-08$22.24$22.0035.6%9.7%54.9%29.0%37.0%9.9%0.5%227.0K-1.4M-24.8K0.8253.06N/AN/A3,0572,5115,7003,627
2016-07-11$22.52$22.3344.4%8.9%54.4%44.4%37.2%9.6%-0.1%285.2K-2.2M-25.6K0.9059.91N/AN/A2,8382,5475,8983,735
2016-07-12$23.01$22.3345.8%9.0%54.5%46.9%35.2%7.5%-0.6%355.6K-3.3M-25.1K0.9577.59N/AN/A2,6792,5505,9343,774
2016-07-13$23.03$22.0028.9%8.3%53.4%17.3%34.7%6.9%1.7%379.2K-3.6M-25.7K0.9874.53N/AN/A2,6792,6256,0123,777
2016-07-14$23.40$22.0028.7%8.2%53.6%16.8%30.4%5.5%1.6%395.8K-5.2M-26.3K0.8967.16N/AN/A2,8232,5086,0123,690
2016-07-15$23.31$23.0027.9%8.0%53.7%15.4%29.2%5.8%3.5%788.9K-4.9M-26.3K0.8871.95N/AN/A2,8202,4846,1473,774
2016-07-18$23.49$22.6727.3%7.8%53.7%14.3%30.4%6.0%-0.7%224.5K-3.0M-25.8K1.3476.32N/AN/A1,8032,4214,9473,366
2016-07-19$23.50$23.0026.9%7.7%53.6%13.7%29.5%7.5%-0.1%228.5K-2.9M-25.4K1.2872.83N/AN/A1,8962,4215,0583,579
2016-07-20$23.64$23.0025.8%7.4%53.5%11.8%28.1%7.1%2.1%262.1K-3.5M-26.6K1.3671.65N/AN/A1,6472,2445,2203,579
2016-07-21$23.42$23.0027.4%7.8%53.7%14.5%27.8%5.9%5.3%260.6K-3.2M-26.0K1.3782.48N/AN/A1,6532,2655,2923,579
2016-07-22$23.75$23.0025.9%7.4%52.4%11.9%26.2%7.3%3.6%276.7K-3.6M-25.4K1.3670.89N/AN/A1,6292,2175,3253,678
2016-07-25$23.61$23.0026.2%7.5%38.9%12.4%31.7%6.2%4.9%287.5K-3.7M-25.9K1.3487.92N/AN/A1,6592,2235,5083,678
2016-07-26$23.65$23.0025.4%7.3%28.9%11.1%28.5%6.9%3.0%294.5K-3.6M-26.2K1.3481.60N/AN/A1,6592,2235,5443,693
2016-07-27$23.60$23.0025.1%7.2%25.6%10.5%26.0%5.6%3.1%298.1K-3.6M-25.9K1.4476.83N/AN/A1,5872,2865,5443,693
2016-07-28$23.84$23.0024.6%7.1%21.4%9.7%27.2%6.8%2.2%322.6K-4.1M-26.5K1.3979.53N/AN/A1,6412,2865,6373,759
2016-07-29$23.79$23.0024.6%7.0%20.8%9.6%25.7%6.3%3.3%349.6K-4.2M-26.1K1.2981.00N/AN/A1,7672,2865,7033,759