UYG Options History — October 2017

In October 2017, UYG traded between $38.06 and $39.68. ATM implied volatility averaged 21.8%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 9.1% (HV 20d: 12.7%). Max pain ranged from $35.00 to $38.33. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-10-24: Highest Volume — 3,012 contracts
  • 2017-10-25: Largest IV spike — 9.1% change
  • 2017-10-30: Highest IV Rank — 26.7%
  • 2017-10-30: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.93$38.06$39.68$38.06$39.32
Max Pain$37.88$35.00$38.33$35.00$38.33
ATM IV21.8%19.7%23.9%21.8%23.4%
Expected Move6.3%5.6%6.9%6.2%6.7%
HV 20d12.7%10.1%22.4%22.4%12.1%
HV 60d19.0%18.9%19.2%19.0%18.9%
IV Rank19.3%11.7%26.7%19.1%24.9%
IV Percentile27.5%7.9%54.8%22.6%49.2%
Term Structure1.4%-0.2%2.3%1.3%-0.2%
VWIV23.8%21.4%26.4%22.4%25.0%
Skew 25d4.1%2.2%8.0%3.2%2.2%
Skew 10d8.5%5.9%12.7%7.3%5.9%
Call IV 25d20.8%18.8%23.6%20.5%23.1%
Put IV 25d24.9%22.3%28.1%23.7%25.3%
Bid-Ask Spread %59.0637.0378.7365.6871.77
Gamma HHI0.110.080.150.080.12
Net GEX106.8K-11.1K233.3K192.2K-505
Net DEX-5.3M-7.8M-3.6M-4.6M-3.8M
Net VEX-21.0K-25.6K-15.5K-15.5K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.641.361.360.80
Total Volume2,547.4092,2803,0122,6432,334
Total OI5,990.7274,2606,6634,2606,663

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$38.06$35.0021.8%6.2%22.4%19.1%22.4%3.2%1.3%192.2K-4.6M-15.5K1.3665.68N/AN/A1,1221,5212,1752,085
2017-10-03$38.25$35.0020.5%5.9%16.2%14.7%21.9%2.3%1.8%81.3K-3.8M-18.8K1.1969.32N/AN/A1,2601,4942,2622,748
2017-10-04$38.13$35.0021.6%6.2%16.5%18.4%22.8%2.8%1.6%94.4K-3.7M-19.6K1.1067.64N/AN/A1,3861,5242,3702,742
2017-10-05$38.76$38.3322.4%6.6%13.6%21.4%24.1%3.9%1.4%118.5K-5.4M-18.2K1.2337.03N/AN/A1,3381,6472,5742,715
2017-10-06$38.70$38.3321.6%6.7%13.7%18.4%25.8%4.3%0.8%96.9K-5.2M-18.9K0.7849.35N/AN/A1,3531,0592,5862,838
2017-10-09$38.57$38.3322.9%6.7%10.6%23.3%26.4%4.3%1.4%117.2K-5.3M-20.4K0.6945.92N/AN/A1,5091,0472,8622,964
2017-10-10$38.87$38.3322.2%6.5%10.2%20.6%24.4%4.1%1.5%117.5K-6.0M-21.5K0.6452.87N/AN/A1,6411,0472,9943,033
2017-10-11$38.90$38.3322.7%6.5%10.1%22.3%25.5%4.1%1.9%169.1K-6.4M-21.4K0.7252.01N/AN/A1,4701,0653,1983,033
2017-10-12$38.55$38.3323.0%6.6%11.0%23.6%25.2%3.9%1.4%164.9K-5.7M-22.4K0.7447.99N/AN/A1,4011,0413,2223,054
2017-10-13$38.65$38.3321.5%6.2%10.9%18.3%23.5%3.9%1.7%174.1K-6.1M-20.8K0.7148.54N/AN/A1,3899873,2403,063
2017-10-16$38.93$38.3320.7%5.9%10.5%15.2%23.1%3.7%2.3%182.8K-6.8M-19.9K0.6753.26N/AN/A1,4679843,2763,081
2017-10-17$38.55$38.3319.8%5.7%11.5%12.1%21.7%3.6%2.1%183.0K-6.3M-20.1K0.6854.46N/AN/A1,4679963,3723,087
2017-10-18$38.90$38.3319.8%5.7%11.6%12.3%21.4%3.8%1.6%233.3K-7.1M-20.3K0.7154.83N/AN/A1,4461,0323,3783,105
2017-10-19$38.84$38.3319.7%5.6%11.7%11.7%22.4%4.0%2.2%231.2K-6.7M-19.4K0.7760.32N/AN/A1,4311,0953,3273,120
2017-10-20$39.46$38.3321.2%6.1%12.4%17.0%22.8%3.9%1.9%28.7K-7.8M-20.3K0.7057.97N/AN/A1,6021,1253,3333,255
2017-10-23$39.27$38.3321.0%6.0%12.4%16.5%22.0%3.3%1.8%74.9K-4.6M-19.3K0.7260.33N/AN/A1,3809872,5892,838
2017-10-24$39.61$38.3321.3%6.1%12.5%17.5%22.8%5.2%1.2%91.9K-4.9M-21.0K1.0063.87N/AN/A1,5061,5062,7722,955
2017-10-25$39.37$38.3323.2%6.7%12.3%24.3%25.6%3.8%1.6%3.1K-3.6M-25.6K0.6762.21N/AN/A1,4709842,8833,468
2017-10-26$39.68$38.3322.8%6.5%12.4%22.9%26.3%6.2%1.2%10.7K-4.2M-25.2K0.7476.11N/AN/A1,3329902,9433,531
2017-10-27$39.64$38.3322.8%6.5%12.3%22.6%24.8%8.0%0.1%-4.6K-3.9M-25.2K0.7769.07N/AN/A1,2909902,9523,576
2017-10-30$39.47$38.3323.9%6.9%12.0%26.7%23.7%5.3%-0.1%-11.1K-3.9M-23.6K0.8078.73N/AN/A1,2901,0382,9553,579
2017-10-31$39.32$38.3323.4%6.7%12.1%24.9%25.0%2.2%-0.2%-505-3.8M-24.3K0.8071.77N/AN/A1,2961,0383,0543,609