UYG Options History — September 2017

In September 2017, UYG traded between $33.52 and $37.59. ATM implied volatility averaged 22.0%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.5% (HV 20d: 23.6%). Max pain ranged from $34.00 to $35.33. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-09-12: Highest Volume — 3,363 contracts
  • 2017-09-05: Largest IV spike — 42.0% change
  • 2017-09-05: Highest IV Rank — 29.5%
  • 2017-09-07: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.83$33.52$37.59$35.36$37.59
Max Pain$35.02$34.00$35.33$34.00$35.00
ATM IV22.0%17.7%25.2%17.7%20.5%
Expected Move6.5%5.1%7.7%5.1%5.9%
HV 20d23.6%20.6%26.8%20.6%22.2%
HV 60d19.5%17.8%20.6%17.8%18.9%
IV Rank19.6%4.7%29.5%4.7%14.6%
IV Percentile25.2%3.6%51.2%3.6%12.3%
Term Structure1.4%-0.1%4.0%4.0%2.1%
VWIV22.5%17.2%25.1%17.2%21.1%
Skew 25d5.0%3.1%7.3%3.9%3.5%
Skew 10d9.2%-5.2%15.3%7.7%6.4%
Call IV 25d21.0%16.4%24.6%16.4%19.6%
Put IV 25d26.0%20.3%31.3%20.3%23.0%
Bid-Ask Spread %56.5241.6691.0788.3866.35
Gamma HHI0.130.080.230.150.08
Net GEX163.7K-104.1K319.2K319.2K194.4K
Net DEX-2.2M-4.0M1.1M-3.2M-4.0M
Net VEX-17.5K-22.0K-14.7K-22.0K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.721.510.790.81
Total Volume2,465.251,7103,3633,3001,944
Total OI5,362.053,4717,0476,8614,146

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$35.36$34.0017.7%5.1%20.6%4.7%17.2%3.9%4.0%319.2K-3.2M-22.0K0.7988.38N/AN/A1,8481,4523,5043,357
2017-09-05$34.05$35.0025.2%7.7%24.3%29.5%24.0%7.3%-0.1%93.2K-9.5K-20.0K0.7943.30N/AN/A1,8391,4553,5043,363
2017-09-06$34.24$35.0022.1%7.1%24.5%19.3%22.6%7.0%0.6%109.2K-409.4K-19.6K0.8247.27N/AN/A1,7881,4613,4923,375
2017-09-07$33.52$35.0024.6%7.7%25.4%27.5%24.9%6.7%0.7%14.9K1.1M-18.6K1.2846.79N/AN/A1,2061,5453,4923,378
2017-09-08$33.98$35.0024.8%7.6%24.4%28.3%25.1%6.7%0.2%30.8K256.9K-18.8K1.2943.71N/AN/A1,2421,6023,4743,495
2017-09-11$35.06$35.0022.8%7.1%26.8%21.7%23.1%5.6%0.5%252.4K-2.3M-19.4K0.9242.77N/AN/A1,7461,6053,5223,525
2017-09-12$35.53$35.3321.6%6.9%25.2%17.6%23.4%6.0%1.3%270.3K-3.0M-17.2K0.9342.05N/AN/A1,7461,6173,0573,591
2017-09-13$35.53$35.3323.3%6.7%25.1%23.3%23.7%5.2%1.7%290.4K-2.9M-17.8K1.4941.66N/AN/A1,0861,6173,0603,693
2017-09-14$35.46$35.3323.6%6.8%25.1%25.4%23.5%4.6%1.7%280.7K-2.6M-16.9K1.4948.38N/AN/A1,0861,6173,0183,693
2017-09-15$35.72$35.3322.8%6.5%23.1%22.6%23.4%5.5%1.6%-104.1K-3.3M-17.0K1.5150.79N/AN/A1,1761,7763,0153,693
2017-09-18$36.17$35.0021.6%6.2%23.3%18.4%22.4%4.1%1.0%94.5K-1.4M-16.5K1.1157.81N/AN/A8109001,6441,827
2017-09-19$36.43$35.0022.5%6.4%23.3%21.6%22.8%4.4%0.7%110.6K-1.9M-16.2K0.8654.45N/AN/A1,0509001,7221,890
2017-09-20$36.67$35.0020.2%5.8%22.9%13.5%18.5%4.7%2.7%191.2K-2.6M-17.0K0.7991.07N/AN/A1,0658372,0131,890
2017-09-21$36.83$35.0021.1%6.0%22.9%16.6%20.9%4.1%1.7%185.5K-2.9M-17.1K0.7859.39N/AN/A1,0718372,0581,905
2017-09-22$36.75$35.0020.8%6.0%22.9%15.6%21.3%4.2%1.9%180.7K-2.8M-17.0K0.7860.75N/AN/A1,0718372,0611,905
2017-09-25$36.57$35.0021.9%6.3%22.9%19.6%23.0%5.3%1.5%180.2K-2.5M-16.7K0.7260.86N/AN/A1,1258072,0611,905
2017-09-26$36.64$35.0020.9%6.0%22.0%16.0%22.4%4.2%1.3%181.8K-2.5M-15.5K0.7963.35N/AN/A1,0178071,9861,914
2017-09-27$37.19$35.0021.8%6.3%22.2%19.3%23.6%4.3%1.0%191.0K-3.4M-14.7K0.7863.14N/AN/A1,0538252,0041,914
2017-09-28$37.28$35.0020.9%6.0%22.2%16.2%22.4%3.1%1.8%206.7K-3.7M-16.0K0.7958.15N/AN/A1,0268132,1511,944
2017-09-29$37.59$35.0020.5%5.9%22.2%14.6%21.1%3.5%2.1%194.4K-4.0M-15.6K0.8166.35N/AN/A1,0748702,1242,022