UYG Options History — November 2016

In November 2016, UYG traded between $23.36 and $28.79. ATM implied volatility averaged 34.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.5% (HV 20d: 27.1%). Max pain ranged from $23.33 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-11-17: Highest Volume — 5,424 contracts
  • 2016-11-09: Largest IV drop — 27.1% change
  • 2016-11-04: Highest IV Rank — 42.1%
  • 2016-11-01: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.77$23.36$28.79$23.83$28.79
Max Pain$23.79$23.33$25.00$24.00$25.00
ATM IV34.6%27.6%44.8%38.0%31.2%
Expected Move9.4%7.9%10.9%10.9%8.9%
HV 20d27.1%17.2%31.3%17.7%29.0%
HV 60d24.9%20.8%26.7%20.8%26.7%
IV Rank23.3%10.4%42.1%29.6%17.1%
IV Percentile53.4%17.1%83.3%71.8%41.7%
Term Structure-2.3%-7.2%1.1%-1.2%-2.4%
VWIV38.0%33.0%44.8%37.6%37.6%
Skew 25d7.6%1.8%13.0%6.2%4.6%
Skew 10d19.9%8.7%37.7%26.0%10.8%
Call IV 25d29.9%25.1%35.6%30.6%28.7%
Put IV 25d37.5%27.6%44.6%36.8%33.3%
Bid-Ask Spread %80.0653.97107.2399.2088.69
Gamma HHI0.110.070.150.070.13
Net GEX262.1K58.3K384.1K112.3K359.2K
Net DEX-7.1M-11.0M87.9K-1.2M-11.0M
Net VEX-22.8K-28.7K-15.7K-18.1K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.411.021.791.711.29
Total Volume3,9812,9495,4242,9493,777
Total OI9,188.1437,39511,1607,39510,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$23.83$24.0038.0%10.9%17.7%29.6%37.6%6.2%-1.2%112.3K-1.2M-18.1K1.7199.20N/AN/A1,0891,8604,1193,276
2016-11-02$23.55$24.0036.6%10.5%17.2%27.1%40.0%1.8%-3.8%82.1K-467.1K-17.0K1.68107.23N/AN/A1,1311,8964,1283,273
2016-11-03$23.41$23.3344.6%10.5%17.3%41.9%42.4%11.5%0.6%58.3K87.9K-15.7K1.7268.42N/AN/A1,1341,9504,1673,282
2016-11-04$23.36$23.3344.8%10.5%17.2%42.1%40.3%10.1%-3.0%59.0K-7.2K-15.9K1.5653.97N/AN/A1,2631,9714,1913,312
2016-11-07$24.37$23.3342.0%9.4%23.1%36.9%34.7%11.7%-4.2%159.0K-1.4M-16.4K1.4262.26N/AN/A1,3471,9084,4253,342
2016-11-08$24.63$23.3341.3%9.1%22.1%35.7%33.7%11.9%-3.8%189.9K-1.9M-16.6K1.4762.08N/AN/A1,3021,9084,4343,363
2016-11-09$25.82$23.3330.1%8.6%27.4%15.1%37.3%9.9%-2.7%319.2K-4.3M-18.4K1.7978.93N/AN/A1,2992,3224,4553,363
2016-11-10$26.87$23.3332.0%9.2%29.7%18.6%39.2%8.7%-5.7%303.1K-7.4M-21.0K1.7373.37N/AN/A1,5032,5984,9953,588
2016-11-11$27.12$23.3334.0%9.8%29.7%22.3%41.0%9.7%-0.7%343.9K-8.2M-23.1K1.6166.91N/AN/A1,5842,5535,4153,981
2016-11-14$27.95$23.3336.6%10.5%30.3%27.0%44.8%9.0%-3.4%305.0K-10.4M-22.6K1.5871.36N/AN/A1,7492,7695,6343,984
2016-11-15$28.01$23.3335.1%10.1%30.3%24.3%39.3%10.8%-3.1%225.9K-10.6M-23.5K1.0966.67N/AN/A2,4332,6645,8624,233
2016-11-16$27.58$23.3334.1%9.8%31.2%22.5%39.2%6.5%-7.2%324.6K-10.4M-26.4K1.1171.67N/AN/A2,5112,7906,3454,296
2016-11-17$27.99$23.6734.2%9.8%31.1%22.5%34.7%5.5%-1.2%258.3K-11.0M-27.4K1.0273.10N/AN/A2,6912,7336,4594,494
2016-11-18$28.17$24.0029.8%8.5%31.0%14.5%39.7%13.0%-1.3%328.0K-11.0M-28.2K1.32104.96N/AN/A2,2682,9946,4174,743
2016-11-21$28.17$24.0030.7%8.8%31.1%16.2%36.1%7.6%-0.3%339.6K-9.6M-28.7K1.1084.12N/AN/A1,9472,1335,7453,906
2016-11-22$28.43$24.0029.4%8.4%30.7%13.8%34.1%4.4%-0.6%335.5K-10.2M-27.0K1.2984.23N/AN/A1,7192,2265,7603,978
2016-11-23$28.62$24.3327.6%7.9%30.6%10.4%33.0%2.5%1.1%322.0K-10.3M-27.8K1.3296.18N/AN/A1,6922,2385,7724,086
2016-11-25$28.77$24.3329.3%8.4%30.1%13.6%36.6%5.8%-2.1%340.3K-10.9M-26.3K1.2585.86N/AN/A1,7582,1965,8084,101
2016-11-28$28.25$24.3330.8%8.8%31.3%16.4%40.0%3.7%-0.7%384.1K-9.9M-27.1K1.2292.31N/AN/A1,7492,1305,9044,119
2016-11-29$28.38$24.6734.3%9.8%31.3%22.7%36.7%4.5%-3.6%354.7K-10.1M-26.8K1.2689.73N/AN/A1,6862,1305,9014,209
2016-11-30$28.79$25.0031.2%8.9%29.0%17.1%37.6%4.6%-2.4%359.2K-11.0M-24.8K1.2988.69N/AN/A1,6472,1305,8414,245