UYG Options History — January 2017

In January 2017, UYG traded between $30.46 and $32.00. ATM implied volatility averaged 26.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.2% (HV 20d: 22.1%). Max pain ranged from $29.33 to $31.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-01-13: Highest Volume — 4,404 contracts
  • 2017-01-06: Largest IV drop — 17.2% change
  • 2017-01-17: Highest IV Rank — 14.7%
  • 2017-01-17: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.29$30.46$32.00$31.12$31.09
Max Pain$30.45$29.33$31.00$29.33$31.00
ATM IV26.3%22.0%29.9%29.0%26.2%
Expected Move7.6%6.3%8.6%8.3%7.5%
HV 20d22.1%19.4%24.3%21.6%24.0%
HV 60d24.8%23.6%25.7%23.6%25.1%
IV Rank8.1%0.1%14.7%13.0%7.9%
IV Percentile17.2%0.4%41.3%31.3%17.1%
Term Structure1.3%-1.4%3.8%1.2%0.7%
VWIV28.2%23.9%31.4%31.4%28.1%
Skew 25d4.7%1.1%6.2%4.2%5.6%
Skew 10d10.0%2.5%14.0%8.6%14.0%
Call IV 25d25.3%22.0%28.7%28.2%24.9%
Put IV 25d30.0%25.1%34.7%32.4%30.5%
Bid-Ask Spread %62.2136.5793.9285.0486.75
Gamma HHI0.080.060.250.070.06
Net GEX133.1K-182.2K233.9K124.7K179.3K
Net DEX-6.4M-8.0M-4.6M-6.5M-5.6M
Net VEX-24.5K-26.4K-22.9K-25.6K-24.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.861.431.060.98
Total Volume3,516.153,0064,4043,1293,186
Total OI8,424.756,8229,8827,8427,956

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$31.12$29.3329.0%8.3%21.6%13.0%31.4%4.2%1.2%124.7K-6.5M-25.6K1.0685.04N/AN/A1,5181,6114,3593,483
2017-01-04$32.00$29.3327.8%8.0%22.4%10.8%29.1%3.2%2.3%185.0K-8.0M-24.1K1.0988.74N/AN/A1,5601,6954,4223,531
2017-01-05$31.50$29.6729.8%8.4%22.9%14.6%30.4%6.0%3.8%150.6K-7.0M-24.6K1.1446.95N/AN/A1,6531,8784,4013,612
2017-01-06$31.88$29.6724.7%8.1%20.2%5.2%29.7%3.6%1.7%217.2K-7.8M-26.4K1.1247.99N/AN/A1,6051,8034,5993,936
2017-01-09$31.40$29.6726.2%8.1%20.1%7.8%30.2%5.4%0.4%200.4K-7.1M-25.7K1.3141.79N/AN/A1,4611,9114,6504,029
2017-01-10$31.45$29.6725.8%8.0%20.1%7.2%30.3%5.9%1.7%216.9K-7.2M-24.7K1.2936.57N/AN/A1,5121,9534,6504,074
2017-01-11$31.42$29.6728.0%8.0%19.7%11.2%29.8%5.4%1.1%194.0K-7.1M-24.8K1.4340.57N/AN/A1,4642,0944,7704,047
2017-01-12$31.20$31.0029.1%8.3%19.7%13.2%30.9%5.6%0.3%133.2K-6.4M-25.0K1.3145.02N/AN/A1,5932,0914,7584,224
2017-01-13$31.51$31.0027.3%7.8%19.4%9.9%29.6%6.0%0.7%201.5K-7.3M-24.9K1.0439.31N/AN/A2,1602,2444,8154,269
2017-01-17$30.46$31.0029.9%8.6%22.7%14.7%30.1%5.8%-1.4%64.8K-5.0M-25.6K1.1040.86N/AN/A2,0252,2325,3494,434
2017-01-18$30.83$31.0027.8%8.0%22.8%10.7%28.9%5.1%0.1%-22.3K-5.4M-24.0K1.3856.84N/AN/A1,6802,3225,1844,431
2017-01-19$30.49$31.0028.4%8.1%23.0%12.0%28.3%6.1%0.6%-138.3K-4.6M-24.7K1.2556.51N/AN/A1,7522,1935,2534,524
2017-01-20$30.75$31.0024.6%7.0%22.5%4.9%25.6%5.3%2.3%-182.2K-5.4M-24.1K1.2947.15N/AN/A1,7342,2445,3104,572
2017-01-23$30.73$30.6724.9%7.1%22.4%5.5%25.4%3.1%2.1%91.2K-4.6M-23.0K1.0668.88N/AN/A1,4581,5483,6633,159
2017-01-24$31.29$30.6723.3%6.7%23.2%2.5%25.0%4.3%2.2%161.6K-5.7M-23.2K1.0975.49N/AN/A1,5841,7344,0143,171
2017-01-25$31.94$30.6723.0%6.6%24.3%2.0%23.9%3.1%0.6%225.3K-7.2M-23.1K1.0075.47N/AN/A1,6441,6444,2183,276
2017-01-26$31.97$31.0023.9%6.9%24.2%3.7%24.8%1.1%0.2%233.9K-7.7M-22.9K0.8678.86N/AN/A1,6951,4524,3953,360
2017-01-27$31.62$31.0022.0%6.3%23.5%0.1%24.6%2.4%1.5%233.8K-6.8M-24.0K0.9291.41N/AN/A1,7101,5724,4103,357
2017-01-30$31.18$31.0024.6%7.0%24.0%4.9%27.8%6.2%3.4%191.2K-5.9M-24.8K0.9593.92N/AN/A1,5901,5184,4643,366
2017-01-31$31.09$31.0026.2%7.5%24.0%7.9%28.1%5.6%0.7%179.3K-5.6M-24.4K0.9886.75N/AN/A1,6081,5784,4883,468