UYG Options History — October 2016

In October 2016, UYG traded between $23.82 and $24.55. ATM implied volatility averaged 31.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.0% (HV 20d: 22.2%). Max pain ranged from $24.00 to $24.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2016-10-21: Highest Volume — 3,396 contracts
  • 2016-10-07: Largest IV drop — 15.5% change
  • 2016-10-28: Highest IV Rank — 24.0%
  • 2016-10-28: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.19$23.82$24.55$23.94$24.42
Max Pain$24.14$24.00$24.33$24.00$24.00
ATM IV31.2%25.6%35.0%33.2%34.0%
Expected Move9.0%7.3%10.0%9.5%9.7%
HV 20d22.2%15.2%29.5%29.0%15.2%
HV 60d21.2%20.2%21.6%21.3%20.2%
IV Rank17.2%6.8%24.0%20.8%22.2%
IV Percentile41.6%9.5%63.9%50.8%58.3%
Term Structure0.5%-4.7%7.6%-1.2%-1.7%
VWIV33.3%27.8%39.2%35.0%37.8%
Skew 25d9.8%-7.0%24.0%9.2%11.0%
Skew 10d19.1%11.9%31.5%14.1%20.6%
Call IV 25d28.7%21.9%47.4%32.4%29.0%
Put IV 25d38.5%32.6%55.1%41.6%40.0%
Bid-Ask Spread %86.4464.42109.7496.7996.20
Gamma HHI0.080.060.140.060.07
Net GEX131.9K58.9K209.1K112.1K113.0K
Net DEX-1.2M-2.0M-90.8K-835.8K-1.0M
Net VEX-16.5K-18.6K-14.7K-16.9K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.701.262.111.501.82
Total Volume3,138.8572,8293,3962,8473,096
Total OI6,988.5715,9467,6446,4987,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$23.94$24.0033.2%9.5%29.0%20.8%35.0%9.2%-1.2%112.1K-835.8K-16.9K1.5096.79N/AN/A1,1371,7103,8762,622
2016-10-04$23.86$24.0031.5%9.0%29.0%17.7%33.1%9.2%-0.8%103.2K-998.4K-17.6K1.6493.44N/AN/A1,0711,7583,8942,742
2016-10-05$24.22$24.0032.1%9.2%29.5%18.8%39.2%24.0%7.6%132.7K-1.6M-17.4K1.59109.74N/AN/A1,1071,7583,8942,805
2016-10-06$24.16$24.3331.9%9.5%29.5%18.3%33.9%11.8%0.6%124.7K-1.2M-17.9K1.6564.42N/AN/A1,0921,8063,9452,808
2016-10-07$24.21$24.3326.9%9.0%26.2%9.2%36.7%-7.0%3.7%130.6K-1.6M-18.6K1.5789.91N/AN/A1,1581,8154,0202,856
2016-10-10$24.40$24.3329.9%9.0%25.1%14.7%32.1%8.2%0.5%174.8K-1.6M-17.2K1.5681.57N/AN/A1,1641,8184,0202,862
2016-10-11$23.92$24.3334.2%9.6%21.8%22.6%37.7%5.7%2.2%107.2K-794.2K-16.3K1.6077.52N/AN/A1,1341,8184,0292,862
2016-10-12$24.10$24.3334.1%9.8%21.8%22.4%33.3%10.1%1.3%149.0K-1.2M-15.7K1.7286.23N/AN/A1,1371,9564,0293,012
2016-10-13$23.83$24.3334.4%9.9%21.5%23.0%35.7%12.3%-4.5%58.9K-90.8K-14.7K1.7073.02N/AN/A1,2182,0764,0383,045
2016-10-14$24.06$24.3332.1%9.2%21.0%18.7%33.0%11.8%2.7%119.2K-1.0M-16.9K1.7373.33N/AN/A1,2152,1064,1343,168
2016-10-17$23.82$24.3334.3%9.8%20.8%22.7%34.4%11.2%-1.5%124.3K-1.0M-16.0K1.8380.74N/AN/A1,1912,1754,2213,228
2016-10-18$24.08$24.3330.4%8.7%21.2%15.6%30.8%7.8%-0.7%150.6K-986.2K-16.3K1.8888.79N/AN/A1,1552,1754,2243,330
2016-10-19$24.49$24.0029.7%8.5%21.7%14.3%32.2%11.9%0.4%209.1K-2.0M-16.7K2.0386.23N/AN/A1,0982,2264,2393,330
2016-10-20$24.39$24.0030.9%8.9%21.1%16.6%32.0%8.5%-0.1%197.7K-1.4M-16.2K2.1178.90N/AN/A1,0442,1994,2573,360
2016-10-21$24.38$24.0028.2%8.1%20.9%11.5%29.1%8.1%1.4%175.2K-1.1M-15.1K1.8482.70N/AN/A1,1942,2024,2693,375
2016-10-24$24.55$24.0025.6%7.3%19.2%6.8%27.8%10.7%3.0%88.1K-1.2M-15.1K1.6983.75N/AN/A1,2002,0253,1052,841
2016-10-25$24.40$24.0028.9%8.3%19.3%12.8%30.4%9.6%3.8%113.8K-1.5M-16.0K1.8994.44N/AN/A1,0742,0253,4472,973
2016-10-26$24.44$24.0028.3%8.1%19.0%11.8%29.6%10.2%2.9%114.6K-1.4M-15.0K1.5093.43N/AN/A1,3502,0253,5523,003
2016-10-27$24.26$24.0030.4%8.7%17.8%15.7%29.6%8.7%-4.0%140.4K-1.4M-16.2K1.2693.30N/AN/A1,4161,7853,9423,003
2016-10-28$24.15$24.0035.0%10.0%16.2%24.0%36.5%12.8%-4.7%130.1K-1.4M-17.3K1.6590.87N/AN/A1,2091,9984,0203,060
2016-10-31$24.42$24.0034.0%9.7%15.2%22.2%37.8%11.0%-1.7%113.0K-1.0M-17.1K1.8296.20N/AN/A1,0981,9984,0443,276