UYG Options History — July 2017

In July 2017, UYG traded between $34.76 and $36.15. ATM implied volatility averaged 20.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.1% (HV 20d: 16.9%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-07-06: Highest Volume — 3,933 contracts
  • 2017-07-06: Largest IV spike — 20.7% change
  • 2017-07-06: Highest IV Rank — 22.5%
  • 2017-07-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.36$34.76$36.15$35.50$36.01
Max Pain$34.50$32.00$35.00$32.00$35.00
ATM IV20.0%16.8%23.9%20.6%18.1%
Expected Move5.7%4.8%6.8%5.9%5.2%
HV 20d16.9%14.4%19.7%18.7%14.9%
HV 60d19.5%18.3%20.9%20.4%18.4%
IV Rank9.7%0.0%22.5%11.3%4.4%
IV Percentile5.9%0.0%28.6%1.6%2.0%
Term Structure1.8%-0.6%3.0%-0.6%1.6%
VWIV21.0%16.2%24.4%24.0%18.8%
Skew 25d3.8%2.0%5.4%2.0%2.8%
Skew 10d7.5%-7.2%11.3%7.2%4.9%
Call IV 25d19.6%16.1%32.0%22.9%16.8%
Put IV 25d23.4%19.6%34.7%24.9%19.6%
Bid-Ask Spread %68.6547.92110.1484.5879.17
Gamma HHI0.240.090.500.250.10
Net GEX532.3K254.1K1.2M474.5K329.4K
Net DEX-5.3M-6.9M-3.4M-6.6M-4.5M
Net VEX-19.2K-21.6K-16.9K-18.9K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.691.220.700.78
Total Volume3,079.952,2083,9333,6752,265
Total OI6,368.14,5997,5666,1955,052

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$35.50$32.0020.6%5.9%18.7%11.3%24.0%2.0%-0.6%474.5K-6.6M-18.9K0.7084.58N/AN/A2,1661,5093,4862,709
2017-07-05$35.46$32.0019.8%5.7%18.1%8.4%16.2%2.7%1.7%497.9K-6.9M-18.4K0.69110.14N/AN/A2,2651,5693,5102,739
2017-07-06$34.81$34.0023.9%6.8%19.7%22.5%24.4%5.2%2.3%463.4K-5.0M-21.3K0.7447.92N/AN/A2,2591,6743,6722,805
2017-07-07$35.10$34.6722.4%6.4%19.4%17.3%23.6%3.7%1.8%512.7K-5.9M-21.6K0.6948.91N/AN/A2,3161,6023,7802,916
2017-07-10$35.08$35.0021.6%6.3%17.6%14.6%23.8%4.4%2.2%555.8K-5.8M-20.7K1.1257.09N/AN/A1,4671,6443,8822,922
2017-07-11$34.76$35.0023.7%6.6%18.0%21.9%23.9%5.4%2.7%506.4K-4.8M-21.0K1.2249.79N/AN/A1,4881,8093,9182,976
2017-07-12$34.97$35.0022.5%6.5%17.7%17.8%23.6%2.8%2.4%542.8K-5.5M-20.3K1.1653.78N/AN/A1,4371,6743,8883,156
2017-07-13$35.28$35.0021.8%6.3%17.9%15.4%23.0%4.8%1.3%582.7K-6.1M-20.3K1.0955.93N/AN/A1,5421,6863,8853,180
2017-07-14$35.36$34.6721.0%6.0%17.8%12.7%21.6%3.9%1.9%685.6K-6.5M-19.9K1.0359.96N/AN/A1,6561,7134,0173,258
2017-07-17$35.18$34.6719.3%5.5%17.9%6.8%20.8%4.0%2.1%735.1K-6.1M-20.0K1.0664.48N/AN/A1,6201,7134,1163,255
2017-07-18$35.06$34.6719.9%5.7%17.3%8.9%20.4%4.0%2.0%736.7K-5.3M-19.5K1.0462.78N/AN/A1,6501,7134,1403,255
2017-07-19$35.27$34.6717.7%5.1%16.9%1.3%18.6%3.9%2.6%995.7K-6.1M-18.3K1.0568.84N/AN/A1,6351,7254,1913,255
2017-07-20$35.36$34.6717.2%4.9%15.5%0.0%18.6%3.0%3.0%1.2M-6.5M-17.9K0.9969.20N/AN/A1,6081,5904,2513,270
2017-07-21$35.23$34.6717.2%4.9%15.2%0.0%19.2%4.0%2.4%500.8K-5.7M-17.3K1.0374.88N/AN/A1,5361,5784,2543,312
2017-07-24$35.56$34.6716.8%4.8%15.0%0.0%18.8%4.1%2.5%266.2K-3.4M-17.3K0.9079.19N/AN/A1,1761,0592,4632,136
2017-07-25$36.15$34.6719.1%5.5%15.1%7.8%20.5%3.7%1.1%291.1K-4.6M-16.9K0.7572.26N/AN/A1,3801,0322,5652,139
2017-07-26$35.95$35.0018.8%5.4%15.4%6.9%19.6%3.4%1.6%281.0K-4.3M-18.4K0.7484.46N/AN/A1,3891,0292,6882,250
2017-07-27$35.57$35.0019.9%5.7%14.5%10.5%20.4%4.4%0.2%254.1K-3.6M-19.1K0.8173.69N/AN/A1,2189902,7332,280
2017-07-28$35.56$35.0018.6%5.3%14.4%6.4%20.0%4.1%2.1%282.3K-3.8M-18.8K0.8175.95N/AN/A1,2249932,7722,286
2017-07-31$36.01$35.0018.1%5.2%14.9%4.4%18.8%2.8%1.6%329.4K-4.5M-17.6K0.7879.17N/AN/A1,2729932,7722,280