UYG Options History — September 2016

In September 2016, UYG traded between $23.82 and $25.40. ATM implied volatility averaged 29.6%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.0% (HV 20d: 22.6%). Max pain ranged from $23.33 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2016-09-16: Highest Volume — 4,302 contracts
  • 2016-09-13: Largest IV spike — 60.6% change
  • 2016-09-13: Highest IV Rank — 45.0%
  • 2016-09-14: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.50$23.82$25.40$25.05$24.39
Max Pain$23.75$23.33$24.00$23.33$24.00
ATM IV29.6%21.9%46.4%29.8%29.7%
Expected Move8.5%6.3%10.6%8.5%8.5%
HV 20d22.6%11.6%28.9%16.2%28.9%
HV 60d29.4%21.3%35.2%33.9%22.1%
IV Rank14.2%0.0%45.0%13.8%14.4%
IV Percentile29.3%0.0%86.5%27.8%32.1%
Term Structure1.5%-3.1%5.9%-0.0%2.4%
VWIV31.4%22.9%36.3%31.6%32.3%
Skew 25d9.0%-1.4%14.6%3.6%14.1%
Skew 10d16.6%3.3%27.1%9.6%24.1%
Call IV 25d26.4%19.7%34.2%31.3%25.4%
Put IV 25d35.4%25.3%41.9%34.9%39.5%
Bid-Ask Spread %87.5873.76104.3898.7496.06
Gamma HHI0.110.060.210.150.07
Net GEX290.7K70.4K679.7K435.1K137.5K
Net DEX-3.2M-7.2M-977.5K-5.8M-1.5M
Net VEX-18.6K-21.6K-16.2K-21.6K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.381.121.601.491.39
Total Volume3,3602,6644,3023,6362,757
Total OI7,750.4295,1699,6339,0066,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$25.05$23.3329.8%8.5%16.2%13.8%31.6%3.6%-0.0%435.1K-5.8M-21.6K1.4998.74N/AN/A1,4582,1785,4273,579
2016-09-02$25.36$23.3321.9%6.3%12.6%0.0%22.9%5.6%5.9%539.2K-6.9M-20.5K1.5698.29N/AN/A1,3922,1785,4273,609
2016-09-06$25.23$23.6722.8%7.6%12.9%1.6%29.3%9.1%1.1%573.4K-6.4M-19.4K1.6073.76N/AN/A1,3832,2085,4363,609
2016-09-07$25.40$23.6723.0%7.4%13.0%2.0%28.6%9.2%2.2%592.3K-7.0M-19.4K1.4883.69N/AN/A1,4912,2025,4513,630
2016-09-08$25.38$24.0023.8%7.7%11.6%3.4%28.4%7.0%2.2%611.6K-7.2M-19.2K1.3575.56N/AN/A1,6202,1815,5293,648
2016-09-09$24.42$24.0032.0%9.0%18.6%18.7%31.5%9.5%0.2%462.0K-4.5M-18.7K1.2877.77N/AN/A1,6892,1635,5923,651
2016-09-12$24.96$23.6728.9%9.3%19.9%12.8%32.8%14.6%1.4%679.7K-5.1M-18.1K1.2981.45N/AN/A1,7372,2355,6883,693
2016-09-13$23.98$23.6746.4%10.2%24.4%45.0%35.8%11.3%-3.1%371.9K-3.3M-17.7K1.1974.12N/AN/A1,8842,2475,7213,723
2016-09-14$23.83$23.6737.1%10.6%24.4%28.0%35.0%11.5%-1.5%258.1K-2.1M-17.1K1.1980.29N/AN/A1,8332,1875,7483,801
2016-09-15$24.20$23.6732.4%9.3%25.0%19.3%36.3%12.4%2.0%314.1K-2.4M-16.2K1.3582.17N/AN/A1,7402,3525,7483,801
2016-09-16$23.82$23.6733.4%9.6%25.6%21.1%35.6%11.0%0.7%70.4K-1.6M-17.1K1.3978.18N/AN/A1,8032,4995,7123,921
2016-09-19$24.12$23.6729.5%8.5%26.0%14.1%32.3%11.1%2.0%81.5K-1.1M-17.6K1.3191.53N/AN/A1,2871,6922,9942,175
2016-09-20$24.16$23.6730.8%8.8%26.0%16.3%30.5%9.4%1.2%100.2K-1.3M-18.5K1.1288.70N/AN/A1,3711,5303,2792,277
2016-09-21$24.44$23.6728.3%8.1%26.3%11.8%33.4%-1.4%2.7%126.3K-1.8M-18.7K1.21104.38N/AN/A1,2991,5693,5132,376
2016-09-22$24.77$23.6725.6%7.3%26.6%6.7%27.2%6.6%2.2%148.7K-2.1M-19.1K1.3693.72N/AN/A1,1551,5753,5582,481
2016-09-23$24.55$23.6725.7%7.4%26.8%7.0%28.2%7.4%3.2%154.1K-2.0M-19.7K1.4683.45N/AN/A1,1551,6923,6662,487
2016-09-26$23.99$24.0030.2%8.7%28.0%15.3%32.2%9.0%0.3%101.9K-1.0M-18.7K1.4994.48N/AN/A1,0981,6353,6662,613
2016-09-27$24.16$24.0029.5%8.5%27.5%13.9%30.4%11.2%2.9%107.3K-977.5K-18.5K1.4994.75N/AN/A1,0981,6353,7352,613
2016-09-28$24.38$24.0027.9%8.0%27.1%10.9%30.7%8.8%2.2%136.6K-1.5M-18.3K1.5591.21N/AN/A1,0531,6353,7562,613
2016-09-29$23.89$24.0033.5%9.6%27.8%21.3%35.2%7.8%1.4%103.4K-1.0M-17.7K1.5296.86N/AN/A1,0591,6053,7742,613
2016-09-30$24.39$24.0029.7%8.5%28.9%14.4%32.3%14.1%2.4%137.5K-1.5M-18.2K1.3996.06N/AN/A1,1521,6053,8042,622