UYG Options History — December 2017

In December 2017, UYG traded between $41.77 and $43.32. ATM implied volatility averaged 27.0%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.7% (HV 20d: 19.3%). Max pain ranged from $39.00 to $40.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-12-15: Highest Volume — 3,294 contracts
  • 2017-12-13: Largest IV drop — 31.7% change
  • 2017-12-05: Highest IV Rank — 81.7%
  • 2017-12-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.53$41.77$43.32$41.77$42.76
Max Pain$39.80$39.00$40.67$39.00$40.67
ATM IV27.0%22.6%37.9%32.2%22.9%
Expected Move7.2%6.5%9.2%9.2%6.6%
HV 20d19.3%17.0%22.0%17.8%17.5%
HV 60d15.2%14.2%16.1%14.9%16.0%
IV Rank43.9%29.1%81.7%60.1%30.5%
IV Percentile72.1%43.3%98.8%97.6%48.8%
Term Structure0.8%-4.5%3.7%-4.5%1.5%
VWIV26.1%24.3%29.8%29.8%24.6%
Skew 25d3.0%0.3%6.4%3.3%2.4%
Skew 10d8.4%2.7%11.6%2.7%7.2%
Call IV 25d25.0%21.5%33.5%33.5%23.6%
Put IV 25d28.0%25.5%36.8%36.8%26.0%
Bid-Ask Spread %64.1140.26106.5096.6080.37
Gamma HHI0.090.070.140.130.07
Net GEX159.2K61.6K265.4K95.4K265.4K
Net DEX-7.0M-10.4M-4.3M-7.3M-5.2M
Net VEX-16.9K-19.4K-15.0K-17.7K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.581.090.900.58
Total Volume2,374.81,7343,2942,4782,139
Total OI5,0942,9706,6696,2133,762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$41.77$39.0032.2%9.2%17.8%60.1%29.8%3.3%-4.5%95.4K-7.3M-17.7K0.9096.60N/AN/A1,3051,1733,1353,078
2017-12-04$42.49$39.3334.6%7.9%18.3%69.2%28.5%1.7%-0.2%110.1K-9.0M-16.6K0.7046.97N/AN/A1,4229933,1503,093
2017-12-05$41.98$39.3337.9%8.0%19.1%81.7%28.8%4.3%1.0%106.9K-8.0M-18.7K0.6654.05N/AN/A1,5211,0023,2163,144
2017-12-06$41.85$39.3330.4%7.8%17.3%53.3%28.3%4.2%1.3%111.2K-8.0M-19.4K0.7243.50N/AN/A1,3861,0023,3543,168
2017-12-07$42.16$39.3328.4%7.3%17.2%45.7%27.0%5.0%0.3%72.9K-8.7M-17.6K0.7345.96N/AN/A1,4161,0353,3033,168
2017-12-08$42.54$39.3325.7%7.1%17.0%35.6%26.0%5.0%0.6%126.5K-9.1M-17.5K0.7846.73N/AN/A1,3651,0623,3513,201
2017-12-11$42.43$39.3328.3%7.1%17.0%45.4%25.6%3.0%0.0%114.2K-9.1M-16.7K0.7640.67N/AN/A1,4131,0713,3513,234
2017-12-12$43.22$39.3335.6%6.7%17.7%73.0%25.6%5.9%2.1%193.8K-10.4M-15.6K0.7240.26N/AN/A1,4851,0623,3933,276
2017-12-13$42.41$39.3324.3%7.0%19.5%32.7%24.8%0.4%-1.4%141.6K-9.4M-16.1K1.08106.50N/AN/A1,4851,5993,3663,273
2017-12-14$41.99$39.3323.3%6.7%20.1%32.3%24.3%0.3%2.5%61.6K-9.1M-15.3K1.0957.01N/AN/A1,4731,5993,3722,811
2017-12-15$42.70$39.3323.0%6.6%20.6%31.1%25.3%6.4%3.7%128.4K-9.2M-15.0K1.0264.06N/AN/A1,6291,6653,2222,814
2017-12-18$43.32$39.3324.5%7.0%20.6%37.7%25.9%3.0%0.7%171.5K-4.8M-15.1K0.6661.06N/AN/A1,0446901,9021,068
2017-12-19$42.72$40.3324.4%7.0%21.7%37.6%25.6%1.3%1.0%175.6K-4.5M-16.4K0.5860.48N/AN/A1,2006962,0461,167
2017-12-20$42.44$40.3327.0%7.7%22.0%49.2%25.3%0.6%1.5%184.8K-4.3M-16.9K0.6174.95N/AN/A1,2367532,1961,173
2017-12-21$42.83$40.3324.5%7.0%21.8%37.9%25.6%1.4%0.1%197.8K-4.6M-17.1K0.6570.11N/AN/A1,2818342,2351,173
2017-12-22$42.79$40.6723.2%6.7%21.8%32.0%25.8%2.0%1.6%197.8K-4.4M-18.1K0.6167.18N/AN/A1,3778342,3071,254
2017-12-26$42.55$40.6723.3%6.7%22.0%32.3%25.6%2.8%1.4%234.2K-4.6M-17.7K0.6775.09N/AN/A1,2518372,4541,257
2017-12-27$42.67$40.6723.1%6.6%18.7%31.3%25.3%3.5%2.3%240.2K-4.6M-17.5K0.6775.25N/AN/A1,2518402,4511,254
2017-12-28$43.04$40.6722.6%6.5%17.5%29.1%25.0%4.0%1.2%253.7K-5.0M-17.1K0.6075.39N/AN/A1,2907802,4511,257
2017-12-29$42.76$40.6722.9%6.6%17.5%30.5%24.6%2.4%1.5%265.4K-5.2M-16.8K0.5880.37N/AN/A1,3567832,4961,266