UYG Options History — August 2017

In August 2017, UYG traded between $34.59 and $36.43. ATM implied volatility averaged 20.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.6% (HV 20d: 17.7%). Max pain ranged from $33.33 to $35.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.19.

Notable Days

2017-08-31: Highest Volume — 3,357 contracts
2017-08-17: Largest IV spike — 22.5% change
2017-08-17: Highest IV Rank — 27.9%
2017-08-17: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.44	$34.59	$36.43	$36.32	$35.13
Max Pain	$33.94	$33.33	$35.00	$35.00	$34.00
ATM IV	20.2%	16.3%	24.7%	17.3%	19.4%
Expected Move	5.9%	4.7%	7.1%	4.9%	5.6%
HV 20d	17.7%	12.0%	21.3%	13.7%	20.9%
HV 60d	18.1%	16.7%	18.9%	18.5%	18.0%
IV Rank	13.0%	0.0%	27.9%	1.7%	10.4%
IV Percentile	13.2%	0.0%	46.4%	1.2%	6.7%
Term Structure	2.5%	0.9%	3.6%	2.7%	3.6%
VWIV	22.6%	18.3%	28.4%	18.3%	19.7%
Skew 25d	5.1%	2.8%	8.6%	2.8%	3.7%
Skew 10d	10.7%	4.9%	23.0%	6.0%	8.2%
Call IV 25d	18.9%	15.5%	22.0%	16.0%	17.6%
Put IV 25d	24.0%	18.3%	30.5%	18.8%	21.3%
Bid-Ask Spread %	68.95	56.67	83.94	82.79	83.94
Gamma HHI	0.09	0.07	0.14	0.10	0.14
Net GEX	230.8K	-3.2K	392.3K	356.7K	269.3K
Net DEX	-2.8M	-5.2M	-555.2K	-5.2M	-2.6M
Net VEX	-20.5K	-22.8K	-17.2K	-17.2K	-22.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.82	1.38	1.23	0.82
Total Volume	2,791.043	2,382	3,357	2,610	3,357
Total OI	6,054.13	5,082	6,858	5,082	6,858

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-08-01	$36.32	$35.00	17.3%	4.9%	13.7%	1.7%	18.3%	2.8%	2.7%	356.7K	-5.2M	-17.2K	1.23	82.79	N/A	N/A	1,170	1,440	2,802	2,280
2017-08-02	$36.25	$35.00	16.3%	4.7%	13.8%	0.0%	18.4%	2.8%	3.2%	354.1K	-4.9M	-19.8K	1.24	82.58	N/A	N/A	1,164	1,440	2,844	2,730
2017-08-03	$36.02	$33.33	16.8%	5.6%	12.0%	1.6%	21.9%	5.0%	2.4%	348.1K	-4.6M	-19.4K	1.23	65.26	N/A	N/A	1,197	1,476	2,844	2,730
2017-08-04	$36.43	$33.33	18.1%	5.7%	12.3%	5.8%	21.9%	4.1%	1.6%	364.8K	-5.2M	-20.0K	1.20	60.44	N/A	N/A	1,203	1,446	2,919	2,769
2017-08-07	$36.41	$33.33	16.8%	5.8%	12.3%	1.5%	24.7%	3.9%	2.4%	389.5K	-5.2M	-19.8K	1.24	58.67	N/A	N/A	1,215	1,506	2,979	2,823
2017-08-08	$36.17	$33.33	18.9%	6.0%	12.0%	8.6%	23.1%	4.1%	2.6%	384.0K	-5.0M	-20.2K	1.00	67.52	N/A	N/A	1,506	1,509	3,102	2,871
2017-08-09	$36.02	$33.33	21.3%	6.1%	12.1%	16.6%	22.4%	5.0%	2.4%	385.5K	-4.7M	-21.1K	1.12	64.95	N/A	N/A	1,506	1,692	3,249	2,928
2017-08-10	$35.05	$34.00	23.6%	6.8%	15.5%	24.1%	26.7%	6.5%	1.5%	199.6K	-2.2M	-22.8K	1.27	60.79	N/A	N/A	1,335	1,701	3,252	3,117
2017-08-11	$34.69	$34.00	24.1%	6.9%	15.9%	25.9%	25.4%	6.7%	1.9%	109.9K	-1.1M	-21.8K	1.35	59.51	N/A	N/A	1,278	1,722	3,258	3,117
2017-08-14	$35.69	$34.00	20.4%	5.8%	18.9%	13.4%	22.6%	5.8%	2.6%	333.8K	-3.5M	-21.3K	1.25	73.56	N/A	N/A	1,311	1,635	3,261	3,138
2017-08-15	$35.86	$34.00	19.9%	5.7%	18.9%	11.7%	21.8%	5.6%	3.5%	392.3K	-4.1M	-20.1K	1.32	61.61	N/A	N/A	1,311	1,731	3,297	3,138
2017-08-16	$35.72	$34.00	20.2%	5.8%	18.9%	12.8%	22.3%	5.1%	3.1%	379.1K	-3.6M	-20.7K	1.11	67.85	N/A	N/A	1,317	1,458	3,297	3,225
2017-08-17	$34.76	$34.00	24.7%	7.1%	21.3%	27.9%	28.4%	8.6%	0.9%	89.5K	-938.9K	-22.3K	1.05	65.36	N/A	N/A	1,413	1,488	3,336	3,378
2017-08-18	$34.64	$34.00	24.1%	6.9%	21.3%	25.9%	24.7%	6.5%	1.9%	-3.2K	-661.1K	-20.9K	1.05	57.96	N/A	N/A	1,386	1,458	3,339	3,405
2017-08-21	$34.59	$34.00	22.2%	6.4%	20.9%	19.6%	23.0%	6.1%	2.8%	67.1K	-555.2K	-19.9K	1.15	56.67	N/A	N/A	1,107	1,278	2,451	3,048
2017-08-22	$35.11	$34.00	19.9%	5.7%	20.8%	12.0%	21.1%	5.1%	3.2%	126.1K	-1.6M	-19.6K	1.28	67.91	N/A	N/A	1,083	1,389	2,511	3,051
2017-08-23	$35.23	$34.00	20.8%	6.0%	20.8%	14.7%	21.6%	5.3%	3.1%	135.0K	-1.8M	-20.9K	1.38	71.56	N/A	N/A	1,002	1,380	2,616	3,180
2017-08-24	$35.14	$34.00	20.6%	5.9%	20.5%	14.3%	21.2%	6.1%	1.8%	131.0K	-1.4M	-21.2K	1.25	73.58	N/A	N/A	1,125	1,401	2,634	3,228
2017-08-25	$35.45	$34.00	19.5%	5.6%	20.8%	10.7%	21.0%	4.7%	2.7%	165.3K	-2.2M	-20.9K	1.29	74.42	N/A	N/A	1,089	1,401	2,727	3,249
2017-08-28	$34.89	$34.00	20.2%	5.8%	20.9%	12.8%	24.8%	5.0%	2.4%	101.2K	-1.1M	-20.0K	1.37	73.64	N/A	N/A	1,083	1,488	2,730	3,249
2017-08-29	$34.71	$34.00	20.7%	5.9%	20.6%	14.6%	22.5%	4.9%	2.6%	90.8K	-819.4K	-19.9K	1.30	74.39	N/A	N/A	1,155	1,497	2,763	3,348
2017-08-30	$34.95	$34.00	20.0%	5.7%	20.9%	12.1%	21.6%	4.3%	3.0%	137.7K	-1.5M	-19.7K	0.82	80.94	N/A	N/A	1,836	1,509	2,823	3,351
2017-08-31	$35.13	$34.00	19.4%	5.6%	20.9%	10.4%	19.7%	3.7%	3.6%	269.3K	-2.6M	-22.6K	0.82	83.94	N/A	N/A	1,848	1,509	3,501	3,357