UYG Options History — June 2017

In June 2017, UYG traded between $32.06 and $34.84. ATM implied volatility averaged 23.7%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.8% (HV 20d: 19.9%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2017-06-05: Highest Volume — 3,996 contracts
  • 2017-06-09: Largest IV spike — 21.6% change
  • 2017-06-12: Highest IV Rank — 30.7%
  • 2017-06-06: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.65$32.06$34.84$32.19$34.83
Max Pain$31.32$31.00$32.00$31.33$32.00
ATM IV23.7%20.3%30.4%23.4%23.1%
Expected Move6.5%5.8%7.0%6.7%6.6%
HV 20d19.9%15.7%23.7%22.0%18.0%
HV 60d21.2%19.9%23.0%22.1%20.2%
IV Rank15.6%6.9%30.7%14.3%20.0%
IV Percentile21.6%0.8%72.2%17.9%18.3%
Term Structure0.7%-0.2%1.6%-0.2%0.4%
VWIV24.5%20.8%30.7%23.4%22.1%
Skew 25d4.4%3.0%7.8%4.1%7.8%
Skew 10d8.3%3.2%13.3%10.1%5.1%
Call IV 25d21.7%19.0%24.4%22.2%23.2%
Put IV 25d26.1%22.7%31.0%26.3%31.0%
Bid-Ask Spread %64.4247.7485.5383.2478.63
Gamma HHI0.110.080.290.090.09
Net GEX187.9K-176.9K582.5K47.5K227.7K
Net DEX-3.5M-6.6M-604.6K-1.6M-4.1M
Net VEX-18.1K-19.7K-15.2K-19.7K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.722.091.350.72
Total Volume3,060.8182,2893,9962,9673,528
Total OI6,992.3184,2639,1597,8995,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$32.19$31.3323.4%6.7%22.0%14.3%23.4%4.1%-0.2%47.5K-1.6M-19.7K1.3583.24N/AN/A1,2631,7044,0743,825
2017-06-02$32.34$31.3322.9%6.6%22.0%13.0%25.0%3.3%0.2%64.9K-1.9M-18.7K2.0985.53N/AN/A1,2662,6404,0983,774
2017-06-05$32.36$31.0022.3%6.5%22.0%11.5%23.1%3.6%1.3%-145.9K-1.3M-19.2K1.9151.33N/AN/A1,3742,6224,0984,734
2017-06-06$32.06$31.0024.9%7.0%22.2%17.6%24.4%3.2%0.7%-176.9K-604.6K-19.3K1.5855.38N/AN/A1,3622,1484,1464,695
2017-06-07$32.45$31.0023.9%6.7%22.1%15.4%24.2%4.3%0.8%-83.0K-1.5M-19.3K1.6555.13N/AN/A1,3082,1634,1524,656
2017-06-08$32.95$31.0024.5%6.6%22.5%16.7%24.3%4.8%1.1%97.7K-3.1M-18.9K1.2947.74N/AN/A1,3561,7554,1704,701
2017-06-09$33.78$31.0029.8%6.9%23.7%29.1%24.3%5.5%1.3%242.1K-4.9M-18.8K1.2854.72N/AN/A1,3801,7704,2454,620
2017-06-12$33.91$31.0030.4%6.8%23.3%30.7%24.9%4.5%1.0%362.4K-5.2M-18.1K1.2050.04N/AN/A1,4461,7284,2124,653
2017-06-13$34.29$31.0028.8%6.6%23.2%26.9%24.2%4.8%-0.0%523.3K-6.4M-17.8K1.1050.67N/AN/A1,5871,7464,3354,659
2017-06-14$34.37$31.3323.4%6.7%23.1%14.2%25.4%3.6%-0.2%582.5K-6.6M-17.2K1.1162.24N/AN/A1,6081,7914,3984,659
2017-06-15$34.24$31.3323.4%6.7%15.7%14.1%25.2%4.9%1.1%337.6K-6.3M-17.2K1.1270.15N/AN/A1,5991,7944,4554,704
2017-06-16$34.12$31.3321.5%6.2%16.0%9.8%23.3%4.7%1.6%169.2K-6.1M-17.6K1.1358.86N/AN/A1,5901,8004,4374,710
2017-06-19$34.61$31.3320.3%5.8%16.2%6.9%20.8%3.7%1.5%193.2K-3.5M-15.2K1.0466.42N/AN/A1,1521,1972,2232,040
2017-06-20$34.25$31.3320.8%6.0%17.0%8.2%25.6%5.6%1.2%201.5K-3.3M-17.5K1.0767.25N/AN/A1,1071,1822,4452,085
2017-06-21$33.69$31.3321.7%6.2%18.0%10.2%23.2%5.0%1.3%196.5K-2.7M-17.1K1.0167.29N/AN/A1,1731,1882,4722,085
2017-06-22$33.42$31.3322.6%6.5%18.4%12.2%23.9%4.4%0.1%185.9K-2.3M-17.9K1.0264.97N/AN/A1,1611,1882,5472,163
2017-06-23$33.22$31.3322.6%6.5%18.5%12.4%23.2%3.5%1.2%175.0K-2.0M-17.6K0.8961.46N/AN/A1,3291,1882,5322,163
2017-06-26$33.77$31.3322.4%6.4%19.1%11.7%26.0%4.0%0.7%227.2K-2.8M-18.0K1.0481.86N/AN/A1,3201,3682,6972,163
2017-06-27$33.91$31.3323.6%6.8%18.2%14.9%25.7%3.8%-0.0%237.4K-3.3M-17.8K1.1364.04N/AN/A1,3321,5032,7482,346
2017-06-28$34.64$32.0023.2%6.6%18.6%18.9%25.3%3.0%0.9%242.2K-4.2M-18.0K1.1161.05N/AN/A1,3381,4882,7512,484
2017-06-29$34.84$32.0021.8%6.3%17.9%15.5%30.7%4.5%0.2%226.2K-4.4M-18.6K1.1379.31N/AN/A1,3141,4822,7842,493
2017-06-30$34.83$32.0023.1%6.6%18.0%20.0%22.1%7.8%0.4%227.7K-4.1M-18.3K0.7278.63N/AN/A2,0551,4732,6942,706