UYG Options History — August 2016

In August 2016, UYG traded between $23.25 and $25.28. ATM implied volatility averaged 25.0%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.5% (HV 20d: 17.6%). Max pain ranged from $22.33 to $23.33. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.75.

Notable Days

  • 2016-08-12: Highest Volume — 4,731 contracts
  • 2016-08-10: Largest IV spike — 19.9% change
  • 2016-08-02: Highest IV Rank — 15.8%
  • 2016-08-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.27$23.25$25.28$23.56$25.28
Max Pain$22.88$22.33$23.33$23.00$23.33
ATM IV25.0%22.3%28.1%25.2%26.4%
Expected Move7.3%6.7%8.1%7.2%7.6%
HV 20d17.6%15.7%21.3%21.3%15.7%
HV 60d34.6%33.9%35.4%35.2%33.9%
IV Rank6.9%2.0%15.8%10.8%7.5%
IV Percentile5.2%0.4%13.5%5.6%10.3%
Term Structure3.3%0.6%7.0%2.4%0.6%
VWIV26.4%19.3%30.5%26.5%28.5%
Skew 25d7.7%5.3%9.8%5.3%8.6%
Skew 10d16.3%7.5%23.9%12.3%9.2%
Call IV 25d23.0%20.6%26.3%23.8%23.9%
Put IV 25d30.7%27.7%33.6%29.2%32.5%
Bid-Ask Spread %82.6765.29107.1179.7393.09
Gamma HHI0.130.090.170.100.16
Net GEX414.6K274.6K541.5K333.0K441.8K
Net DEX-4.7M-6.4M-2.9M-3.7M-6.4M
Net VEX-23.0K-25.1K-20.9K-25.1K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0310.001.271.54
Total Volume3,583.304334,7314,0803,633
Total OI9,410.6098,24410,2429,3938,964

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$23.56$23.0025.2%7.2%21.3%10.8%26.5%5.3%2.4%333.0K-3.7M-25.1K1.2779.73N/AN/A1,7942,2865,6343,759
2016-08-02$23.25$23.0028.1%8.0%18.9%15.8%30.3%6.9%1.9%274.6K-2.9M-25.0K1.3284.65N/AN/A1,7552,3165,6703,759
2016-08-03$23.59$23.0026.5%7.6%19.2%12.9%26.9%6.0%1.8%330.2K-3.5M-24.9K1.3392.84N/AN/A1,7612,3495,6913,798
2016-08-04$23.55$22.3324.8%8.1%19.3%10.1%30.5%8.3%4.5%346.0K-3.4M-24.1K1.2965.29N/AN/A1,8212,3495,7423,831
2016-08-05$24.31$22.3322.8%7.5%18.3%6.5%27.5%8.2%1.9%435.3K-5.3M-25.1K1.3168.83N/AN/A1,8182,3855,8053,846
2016-08-08$24.35$22.6723.2%7.5%18.1%7.2%27.4%6.6%7.0%464.8K-5.8M-24.3K1.3973.33N/AN/A1,7612,4515,8593,876
2016-08-09$24.46$22.6722.3%7.2%16.9%5.8%26.0%7.3%3.0%483.2K-6.1M-24.5K1.1870.74N/AN/A2,0942,4665,8863,894
2016-08-10$24.11$22.6726.8%7.7%18.0%13.5%27.7%7.5%2.5%441.6K-5.1M-24.9K1.1270.30N/AN/A2,2022,4665,9253,933
2016-08-11$24.19$22.6725.6%7.3%17.2%6.0%26.9%7.2%4.6%475.1K-5.3M-24.6K1.1470.73N/AN/A2,2052,5116,0093,933
2016-08-12$24.06$22.6725.9%7.4%17.3%6.6%26.6%8.3%2.9%473.8K-4.7M-23.7K1.1574.33N/AN/A2,2022,5296,0124,029
2016-08-15$24.36$22.6724.9%7.1%17.6%4.7%26.1%9.2%3.5%528.8K-5.6M-23.6K1.3282.29N/AN/A1,9352,5566,0154,047
2016-08-16$24.22$23.0025.7%7.4%17.8%6.2%27.4%8.8%3.6%520.9K-5.1M-23.0K1.3879.78N/AN/A1,8542,5506,1054,104
2016-08-17$24.33$23.0023.4%6.7%17.8%2.0%19.3%8.1%3.5%541.5K-5.5M-21.7K10.00107.11N/AN/A3306,0814,119
2016-08-18$24.29$23.0024.2%6.9%17.4%3.5%22.2%6.5%5.1%492.4K-5.3M-22.2K2.7584.39N/AN/A12336,0664,131
2016-08-19$24.25$23.0023.7%6.8%16.8%2.5%26.2%7.8%4.3%307.7K-5.2M-21.7K1.6481.04N/AN/A1,5962,6136,0724,170
2016-08-22$24.31$23.0023.7%6.8%16.6%2.5%26.4%7.6%4.5%332.4K-3.5M-21.5K1.5984.77N/AN/A1,3982,2204,8723,372
2016-08-23$24.42$23.0024.2%6.9%16.6%3.4%25.1%6.0%3.7%369.9K-3.9M-21.0K1.5689.44N/AN/A1,4192,2144,9113,414
2016-08-24$24.29$23.0026.1%7.5%16.8%7.0%19.9%8.3%3.4%318.6K-3.6M-21.4K0.0389.87N/AN/A9634,9623,441
2016-08-25$24.41$23.0027.9%8.0%16.5%10.2%28.4%8.8%0.7%341.9K-3.9M-21.9K1.4088.13N/AN/A1,5542,1785,0913,444
2016-08-26$24.46$23.0027.1%7.8%16.5%8.9%28.4%9.8%2.6%366.6K-3.9M-21.8K1.4688.84N/AN/A1,4882,1665,2143,453
2016-08-29$24.86$23.0023.4%6.7%16.8%2.0%26.2%6.9%4.0%461.0K-5.1M-21.2K1.5389.00N/AN/A1,4402,2055,2263,480
2016-08-30$25.23$23.3323.9%6.8%16.2%2.8%25.7%9.7%4.5%453.9K-6.0M-20.9K1.4792.84N/AN/A1,5002,1995,2653,534
2016-08-31$25.28$23.3326.4%7.6%15.7%7.5%28.5%8.6%0.6%441.8K-6.4M-21.4K1.5493.09N/AN/A1,4312,2025,3943,570