UYG Options History — November 2017

In November 2017, UYG traded between $38.78 and $41.76. ATM implied volatility averaged 22.4%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.2% (HV 20d: 13.3%). Max pain ranged from $37.67 to $38.67. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-11-07: Highest Volume — 3,183 contracts
  • 2017-11-28: Largest IV spike — 23.0% change
  • 2017-11-30: Highest IV Rank — 41.7%
  • 2017-11-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.48$38.78$41.76$39.41$41.76
Max Pain$38.08$37.67$38.67$38.33$38.33
ATM IV22.4%18.2%27.3%24.5%27.3%
Expected Move6.5%5.2%7.8%7.0%7.8%
HV 20d13.3%11.3%18.4%12.0%18.4%
HV 60d16.9%15.7%19.0%18.9%15.8%
IV Rank22.9%7.2%41.7%28.8%41.7%
IV Percentile37.8%4.8%83.3%59.9%83.3%
Term Structure0.3%-1.9%3.0%3.0%-0.2%
VWIV24.6%17.5%32.5%32.5%29.8%
Skew 25d4.5%1.1%16.9%16.9%1.8%
Skew 10d7.9%0.7%13.8%6.8%4.5%
Call IV 25d22.2%15.8%29.0%26.5%28.3%
Put IV 25d26.7%18.9%43.3%43.3%30.1%
Bid-Ask Spread %83.1465.60117.45117.4595.13
Gamma HHI0.110.070.170.100.12
Net GEX107.4K-2.9K264.9K34.7K126.5K
Net DEX-4.1M-7.9M-2.1M-4.1M-7.9M
Net VEX-18.2K-23.5K-15.5K-23.5K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.541.251.250.86
Total Volume2,705.4292,1753,1833,0812,538
Total OI6,074.1435,0556,6696,6696,072

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$39.41$38.3324.5%7.0%12.0%28.8%32.5%16.9%3.0%34.7K-4.1M-23.5K1.25117.45N/AN/A1,3711,7103,0603,609
2017-11-02$40.01$37.6720.3%6.1%11.8%14.1%23.7%7.1%1.9%212.1K-5.6M-20.7K1.2375.45N/AN/A1,3921,7163,1323,024
2017-11-03$39.77$37.6720.6%6.5%12.1%14.9%23.8%5.2%-0.0%226.6K-5.4M-21.4K1.2271.74N/AN/A1,4101,7163,1803,036
2017-11-06$40.00$37.6719.5%6.0%12.0%11.1%23.2%5.3%-1.1%264.9K-5.9M-20.3K1.2480.00N/AN/A1,3801,7163,2013,039
2017-11-07$39.22$37.6722.2%6.1%14.0%22.1%23.9%2.2%2.0%196.9K-4.6M-20.0K1.1377.44N/AN/A1,4941,6893,2013,036
2017-11-08$39.07$37.6723.8%6.8%14.1%28.5%25.4%4.0%0.3%195.6K-4.3M-20.6K1.1265.60N/AN/A1,4971,6773,3243,054
2017-11-09$38.90$37.6723.5%6.7%13.8%27.1%27.2%4.8%-1.8%162.0K-3.6M-20.1K0.6778.42N/AN/A1,5091,0143,3183,051
2017-11-10$38.78$37.6723.5%6.7%13.8%27.2%25.5%3.5%0.9%156.0K-3.7M-18.2K0.6970.61N/AN/A1,4671,0143,2613,060
2017-11-13$38.93$37.6721.6%6.2%13.6%20.0%24.3%5.4%2.8%94.7K-3.5M-18.1K0.8574.31N/AN/A1,4701,2513,3033,075
2017-11-14$38.90$38.0022.9%6.6%13.1%24.8%24.7%3.5%0.0%46.9K-2.9M-18.4K0.8272.92N/AN/A1,5181,2513,2313,324
2017-11-15$38.91$38.3322.0%6.3%12.7%21.4%26.1%6.9%-1.8%23.0K-2.6M-17.4K0.8478.56N/AN/A1,5211,2783,1863,309
2017-11-16$38.98$38.3322.8%6.5%12.7%24.4%24.0%2.6%-0.8%37.2K-3.1M-17.3K0.8573.31N/AN/A1,5331,3083,1893,246
2017-11-17$38.81$38.3322.4%6.4%11.4%22.8%24.9%4.4%1.5%-2.9K-2.8M-17.0K0.8880.27N/AN/A1,5061,3323,1983,276
2017-11-20$39.08$38.3321.2%6.1%11.7%18.3%22.3%3.8%-0.1%-480-2.1M-15.8K0.7784.71N/AN/A1,3981,0712,3012,754
2017-11-21$39.41$38.3320.6%5.9%11.7%16.1%20.8%4.1%1.1%58.7K-2.9M-16.2K0.7882.33N/AN/A1,3741,0712,5922,802
2017-11-22$39.16$38.3318.2%5.2%11.7%7.2%17.5%3.1%0.5%51.7K-2.7M-15.5K0.6490.07N/AN/A1,4079002,6552,805
2017-11-24$39.12$38.3320.2%5.8%11.3%14.7%19.4%4.8%1.6%58.4K-2.6M-16.1K0.6595.64N/AN/A1,3869032,6912,835
2017-11-27$39.09$38.3321.6%6.2%11.3%19.8%21.8%1.5%-1.6%75.2K-2.7M-15.9K0.6791.44N/AN/A1,2998762,7002,829
2017-11-28$40.49$38.3326.5%7.6%16.9%38.6%25.0%1.1%0.9%127.9K-5.2M-15.6K0.8497.83N/AN/A1,2001,0052,8532,835
2017-11-29$41.36$38.6726.2%7.5%18.2%37.2%29.6%2.6%-1.9%109.9K-6.8M-17.1K0.5492.72N/AN/A1,7169302,9432,967
2017-11-30$41.76$38.3327.3%7.8%18.4%41.7%29.8%1.8%-0.2%126.5K-7.9M-17.7K0.8695.13N/AN/A1,3621,1763,0992,973