UYG Options History — December 2016

In December 2016, UYG traded between $28.85 and $31.53. ATM implied volatility averaged 30.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.4% (HV 20d: 22.4%). Max pain ranged from $25.33 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2016-12-16: Highest Volume — 5,442 contracts
  • 2016-12-08: Largest IV spike — 26.1% change
  • 2016-12-12: Highest IV Rank — 38.3%
  • 2016-12-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.77$28.85$31.53$29.01$30.67
Max Pain$28.29$25.33$30.00$25.33$29.33
ATM IV30.8%26.4%42.7%34.3%29.1%
Expected Move8.5%7.6%9.8%9.8%8.3%
HV 20d22.4%19.6%27.9%27.9%21.4%
HV 60d24.6%23.6%26.7%26.7%23.6%
IV Rank16.4%8.3%38.3%22.8%13.2%
IV Percentile35.9%13.5%79.4%59.1%32.1%
Term Structure1.2%-6.9%3.4%-6.9%1.9%
VWIV32.5%28.9%44.4%44.1%30.8%
Skew 25d4.9%2.9%8.2%4.9%4.8%
Skew 10d10.7%6.8%17.0%12.0%12.0%
Call IV 25d27.9%24.6%33.4%33.4%27.8%
Put IV 25d32.8%28.8%38.4%38.4%32.6%
Bid-Ask Spread %73.1960.3890.3688.9882.59
Gamma HHI0.110.080.150.130.08
Net GEX155.4K26.0K331.1K308.0K78.5K
Net DEX-10.3M-15.9M-5.3M-10.6M-5.6M
Net VEX-24.4K-26.9K-20.2K-25.9K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.171.031.451.451.03
Total Volume3,867.2862,8805,4423,7173,063
Total OI9,3256,97811,8269,9127,626

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$29.01$25.3334.3%9.8%27.9%22.8%44.1%4.9%-6.9%308.0K-10.6M-25.9K1.4588.98N/AN/A1,5152,2025,6464,266
2016-12-02$28.85$25.6731.1%8.9%27.9%16.9%44.4%5.1%0.1%331.1K-10.3M-25.9K1.3790.36N/AN/A1,6142,2145,6614,356
2016-12-05$29.47$26.3330.0%8.8%27.7%14.8%30.9%4.2%2.5%322.9K-12.0M-24.0K1.1969.57N/AN/A1,8302,1785,7514,419
2016-12-06$29.95$26.6727.4%8.0%25.4%10.0%29.8%5.1%3.4%271.9K-13.3M-22.5K1.3165.53N/AN/A1,7612,3135,9044,479
2016-12-07$30.97$26.3330.6%9.3%26.7%16.0%31.0%5.4%-1.5%172.0K-14.7M-20.2K1.2165.62N/AN/A1,9382,3375,8414,536
2016-12-08$31.53$26.6738.6%9.2%23.2%30.7%34.6%8.2%2.2%204.6K-15.5M-21.4K1.0564.30N/AN/A2,2382,3496,0664,578
2016-12-09$31.49$26.6736.0%9.0%20.6%25.9%34.1%5.8%1.5%204.1K-15.9M-20.8K1.0361.75N/AN/A2,1842,2416,2824,605
2016-12-12$31.14$26.6742.7%9.2%21.7%38.3%34.4%5.8%1.0%211.8K-14.9M-21.5K1.0560.38N/AN/A2,1992,3166,2044,707
2016-12-13$31.31$26.6740.7%9.1%19.9%34.6%33.0%3.8%3.0%178.4K-15.0M-21.8K1.2461.82N/AN/A2,3252,8776,2074,851
2016-12-14$30.89$30.0030.9%8.9%21.0%16.5%33.1%6.0%1.7%142.8K-13.6M-24.4K1.1685.92N/AN/A2,3672,7516,1625,340
2016-12-15$31.21$30.0031.2%8.9%19.6%17.1%34.1%5.4%-0.5%145.3K-14.2M-24.0K1.1666.23N/AN/A2,4062,8026,2675,559
2016-12-16$30.85$30.0027.8%8.0%20.3%10.8%30.7%4.6%1.5%26.0K-12.7M-24.8K1.2065.22N/AN/A2,4752,9676,0335,631
2016-12-19$31.04$30.0026.9%7.7%20.3%9.2%28.9%4.8%-2.0%75.7K-5.9M-25.0K1.2269.17N/AN/A1,2991,5813,7383,240
2016-12-20$31.53$30.0026.6%7.6%20.5%8.5%29.2%4.3%3.2%89.1K-6.6M-25.5K1.1666.68N/AN/A1,4011,6233,8553,303
2016-12-21$31.32$30.0026.5%7.6%20.9%8.5%29.9%3.8%3.2%85.8K-6.5M-26.9K1.1577.04N/AN/A1,4011,6053,9663,384
2016-12-22$31.09$30.0026.4%7.6%21.4%8.3%29.5%2.9%2.9%72.2K-6.1M-26.7K1.1974.02N/AN/A1,4071,6713,9603,453
2016-12-23$31.16$30.0026.7%7.7%21.4%8.9%29.0%4.2%1.6%71.4K-6.1M-26.8K1.1379.57N/AN/A1,3741,5543,9783,534
2016-12-27$31.32$29.3327.0%7.7%19.7%9.3%29.4%4.8%1.5%106.9K-6.6M-25.4K1.0581.18N/AN/A1,4461,5153,9903,378
2016-12-28$30.72$29.0028.1%8.1%21.5%11.5%30.0%3.9%2.4%87.5K-5.8M-26.5K1.1380.66N/AN/A1,3891,5694,0803,393
2016-12-29$30.54$29.3328.6%8.2%21.5%12.3%30.9%4.6%2.1%77.2K-5.3M-26.5K1.1480.51N/AN/A1,3621,5544,1433,453
2016-12-30$30.67$29.3329.1%8.3%21.4%13.2%30.8%4.8%1.9%78.5K-5.6M-26.5K1.0382.59N/AN/A1,5091,5544,1433,483