UYG Options History — May 2017

In May 2017, UYG traded between $30.98 and $32.66. ATM implied volatility averaged 22.4%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.7% (HV 20d: 21.7%). Max pain ranged from $31.00 to $32.67. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-05-15: Highest Volume — 4,179 contracts
  • 2017-05-17: Largest IV spike — 39.1% change
  • 2017-05-17: Highest IV Rank — 26.3%
  • 2017-05-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.13$30.98$32.66$32.59$31.62
Max Pain$31.41$31.00$32.67$32.67$31.33
ATM IV22.4%19.2%28.6%21.9%23.6%
Expected Move6.4%5.9%8.2%6.3%6.8%
HV 20d21.7%20.5%25.7%20.9%21.1%
HV 60d23.0%21.6%24.2%24.2%21.8%
IV Rank11.7%4.4%26.3%10.7%14.6%
IV Percentile8.7%0.4%56.0%1.2%19.0%
Term Structure1.5%-0.5%3.0%0.9%-0.5%
VWIV24.0%21.3%29.6%24.0%25.0%
Skew 25d3.9%1.2%9.0%1.2%3.8%
Skew 10d8.8%2.5%13.8%2.5%9.2%
Call IV 25d21.7%20.3%26.3%22.5%22.8%
Put IV 25d25.6%22.9%31.6%23.7%26.6%
Bid-Ask Spread %81.8569.2887.1885.5881.83
Gamma HHI0.140.080.230.200.09
Net GEX70.0K-101.4K345.9K198.2K-79.4K
Net DEX394.4K-1.7M2.9M-1.0M1.2M
Net VEX-27.2K-31.5K-23.3K-29.9K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.911.471.471.01
Total Volume3,337.6362,2384,1792,6582,583
Total OI9,049.9098,02810,0988,2478,508

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$32.59$32.6721.9%6.3%20.9%10.7%24.0%1.2%0.9%198.2K-1.0M-29.9K1.4785.58N/AN/A1,0771,5813,9874,260
2017-05-02$32.30$32.6721.1%6.1%20.8%8.9%23.1%2.9%0.7%189.3K-407.2K-28.9K1.4686.58N/AN/A1,0801,5813,9904,254
2017-05-03$32.51$32.6722.4%6.4%20.9%11.9%23.8%3.4%0.8%205.7K-784.2K-28.7K0.9783.17N/AN/A1,7221,6713,9934,254
2017-05-04$32.61$31.0022.7%6.5%20.7%12.4%25.5%5.9%0.8%313.4K-898.1K-30.0K0.9182.20N/AN/A1,8301,6714,6744,266
2017-05-05$32.66$31.0022.4%6.3%20.6%11.9%24.3%3.7%1.4%345.9K-1.7M-31.5K1.1581.41N/AN/A1,8422,1154,7974,266
2017-05-08$32.50$31.0021.3%6.1%20.7%9.2%24.3%9.0%2.3%315.0K-712.9K-31.5K1.1684.01N/AN/A1,8782,1724,8454,716
2017-05-09$32.08$31.0019.2%6.3%21.2%4.4%23.6%1.9%2.6%174.8K143.7K-29.9K1.1279.42N/AN/A1,9592,1904,8844,776
2017-05-10$32.42$31.0021.9%6.3%21.5%10.6%23.0%4.0%1.8%241.5K-127.3K-28.9K1.1283.26N/AN/A1,9292,1544,8394,809
2017-05-11$32.11$31.0022.5%6.4%21.3%12.0%23.3%4.8%1.9%130.9K605.1K-28.1K1.1179.96N/AN/A1,9382,1544,8544,803
2017-05-12$31.85$31.0022.1%6.3%21.0%11.1%24.5%2.8%2.3%3.8K1.4M-26.4K1.2077.62N/AN/A1,8722,2474,8844,803
2017-05-15$32.30$31.3321.0%6.0%21.4%8.5%22.0%4.3%1.5%9.0K775.2K-25.5K1.1783.97N/AN/A1,9262,2534,9114,884
2017-05-16$32.35$31.3320.6%5.9%20.5%7.5%22.9%2.9%2.3%30.3K312.6K-26.6K1.1787.18N/AN/A1,9262,2535,0314,884
2017-05-17$30.98$31.3328.6%8.2%25.7%26.3%29.6%5.3%0.4%-59.5K2.7M-27.1K0.9373.33N/AN/A1,9351,7975,0614,884
2017-05-18$31.18$31.3326.9%7.7%23.4%22.4%28.0%5.9%0.6%-99.8K2.9M-26.4K0.9769.28N/AN/A1,8991,8425,0734,938
2017-05-19$31.53$31.3323.0%6.6%23.6%13.2%25.1%6.0%3.0%-98.7K2.3M-24.8K0.9879.55N/AN/A1,9021,8575,0795,019
2017-05-22$31.82$31.3321.9%6.3%22.3%10.5%23.7%4.0%2.8%-101.4K1.2M-25.4K1.3878.63N/AN/A9391,2993,4924,536
2017-05-23$32.24$31.3321.2%6.1%22.2%8.9%22.3%2.7%2.8%-73.4K666.1K-24.6K1.1982.70N/AN/A1,0381,2363,5344,557
2017-05-24$32.36$31.3321.6%6.2%22.3%10.1%21.3%3.6%1.7%-54.4K324.2K-24.8K1.1685.88N/AN/A1,0891,2603,7354,578
2017-05-25$32.54$31.3321.5%6.2%22.2%9.8%22.8%2.9%1.6%2.6K-432.0K-25.9K1.0684.67N/AN/A1,2271,2963,8374,539
2017-05-26$32.38$31.3321.9%6.3%21.0%10.6%21.8%1.5%1.7%1.1K-385.7K-26.4K0.9884.76N/AN/A1,3111,2873,9094,581
2017-05-30$31.95$31.3322.7%6.5%21.0%12.5%24.5%4.0%0.4%-55.1K711.3K-24.2K0.9785.64N/AN/A1,3231,2874,0024,572
2017-05-31$31.62$31.3323.6%6.8%21.1%14.6%25.0%3.8%-0.5%-79.4K1.2M-23.3K1.0181.83N/AN/A1,2841,2994,0144,494