UYG Options History — March 2017

In March 2017, UYG traded between $31.55 and $35.57. ATM implied volatility averaged 24.8%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.3% (HV 20d: 25.1%). Max pain ranged from $30.00 to $34.33. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-03-17: Highest Volume — 5,961 contracts
  • 2017-03-21: Largest IV spike — 23.9% change
  • 2017-03-23: Highest IV Rank — 28.9%
  • 2017-03-23: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.33$31.55$35.57$35.57$32.58
Max Pain$33.55$30.00$34.33$30.00$34.00
ATM IV24.8%17.3%29.7%26.8%25.3%
Expected Move7.2%5.0%8.5%7.7%7.2%
HV 20d25.1%22.0%29.7%23.6%24.0%
HV 60d23.4%22.0%24.9%23.0%24.3%
IV Rank13.8%0.0%28.9%15.5%18.6%
IV Percentile19.9%0.0%56.7%27.4%22.6%
Term Structure1.8%-1.7%6.2%-1.2%-1.3%
VWIV24.8%20.2%28.7%28.0%24.0%
Skew 25d3.8%-0.3%6.7%0.2%2.3%
Skew 10d7.4%1.8%13.1%4.9%3.7%
Call IV 25d23.7%17.9%27.7%26.8%19.0%
Put IV 25d27.5%21.3%31.7%27.0%21.3%
Bid-Ask Spread %72.6847.3193.2593.2592.65
Gamma HHI0.110.080.180.150.09
Net GEX109.0K-72.6K425.8K113.0K-30.3K
Net DEX-4.7M-12.6M2.5M-12.6M951.9K
Net VEX-30.0K-34.7K-19.5K-19.5K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.982.001.561.42
Total Volume4,416.2613,5135,9614,0264,422
Total OI9,182.2176,48311,6799,3338,148

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$35.57$30.0026.8%7.7%23.6%15.5%28.0%0.2%-1.2%113.0K-12.6M-19.5K1.5693.25N/AN/A1,5722,4544,7374,596
2017-03-02$34.60$30.0026.0%7.4%26.5%13.4%27.3%0.9%1.3%130.7K-10.9M-23.3K1.4186.83N/AN/A1,5632,2025,1304,674
2017-03-03$34.75$30.0024.7%7.1%26.2%10.1%25.6%1.8%1.3%232.1K-11.7M-22.7K2.0092.06N/AN/A1,4102,8205,3134,506
2017-03-06$34.48$33.3324.9%7.7%24.0%10.5%26.0%3.6%3.3%199.4K-9.5M-27.1K1.6847.31N/AN/A1,5482,5985,0885,178
2017-03-07$34.10$33.6722.0%7.2%24.2%3.3%24.7%3.9%3.9%197.5K-8.6M-27.8K1.6653.99N/AN/A1,5692,5985,1605,223
2017-03-08$33.90$33.6723.9%7.4%24.2%8.1%24.9%5.7%4.0%166.0K-7.8M-28.7K1.3861.18N/AN/A1,5812,1845,1575,262
2017-03-09$33.87$33.6726.6%7.6%24.1%14.9%25.6%4.3%3.1%156.0K-7.4M-28.5K1.4655.14N/AN/A1,5152,2115,1485,265
2017-03-10$33.78$33.6722.5%7.0%23.3%4.5%23.8%5.3%3.4%143.3K-7.2M-27.6K0.9952.96N/AN/A2,3792,3615,1965,328
2017-03-13$33.93$34.3324.9%7.0%23.3%10.6%24.3%6.7%3.5%363.3K-9.5M-28.6K0.9865.19N/AN/A2,4422,4005,7844,737
2017-03-14$33.76$34.3328.8%7.1%22.6%20.5%24.5%4.3%2.8%335.4K-8.7M-27.6K0.9857.01N/AN/A2,4602,4125,7484,755
2017-03-15$34.07$34.3324.2%6.9%22.2%8.9%23.7%4.1%2.7%418.3K-10.2M-27.2K1.2379.64N/AN/A2,5623,1445,7484,800
2017-03-16$34.20$34.3322.5%6.4%22.0%4.5%22.6%4.1%-1.3%425.8K-9.3M-33.5K1.2366.86N/AN/A2,5503,1325,8325,568
2017-03-17$33.79$34.3317.3%5.0%22.4%0.0%20.2%4.3%6.2%4.8K-8.4M-34.7K1.1187.04N/AN/A2,8263,1355,8475,832
2017-03-20$33.49$34.3321.2%6.1%22.6%9.0%20.8%3.4%3.2%14.1K-1.0M-34.3K1.7573.37N/AN/A1,2782,2353,1773,306
2017-03-21$31.74$34.3326.2%7.5%28.9%20.8%23.9%-0.3%1.8%-33.6K1.2M-31.2K1.2770.92N/AN/A1,7312,2023,1443,411
2017-03-22$31.70$34.3327.3%7.8%28.9%23.2%25.6%6.4%0.2%-43.1K1.9M-33.9K1.2167.21N/AN/A1,8182,1993,7533,756
2017-03-23$31.83$34.3329.7%8.5%28.9%28.9%25.0%4.4%-1.7%-33.6K1.6M-33.8K1.2565.82N/AN/A1,8152,2623,5673,831
2017-03-24$31.86$34.3328.3%8.1%28.8%25.8%27.3%5.0%1.4%-46.9K2.0M-34.3K1.3272.78N/AN/A1,8632,4513,5794,059
2017-03-27$31.55$34.3329.3%8.4%28.3%27.9%28.7%3.3%-0.6%-72.6K2.5M-32.8K1.3377.70N/AN/A1,8962,5293,6334,155
2017-03-28$32.24$34.0023.2%6.7%29.7%13.7%25.0%5.2%2.5%-41.6K1.4M-33.8K1.3482.45N/AN/A1,8932,5293,6814,284
2017-03-29$32.01$34.0023.5%6.7%24.0%14.4%24.3%2.3%0.4%-54.0K1.6M-33.2K1.4081.49N/AN/A1,8572,6043,7144,281
2017-03-30$32.70$34.0021.9%6.3%24.2%10.7%23.7%5.6%2.4%-36.0K865.7K-33.0K1.5288.70N/AN/A1,7282,6343,7234,377
2017-03-31$32.58$34.0025.3%7.2%24.0%18.6%24.0%2.3%-1.3%-30.3K951.9K-33.9K1.4292.65N/AN/A1,8302,5923,7414,407