UYG Options History — January 2018

In January 2018, UYG traded between $42.39 and $47.60. ATM implied volatility averaged 22.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.9% (HV 20d: 14.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2018-01-19: Highest Volume — 2,811 contracts
  • 2018-01-29: Largest IV spike — 58.5% change
  • 2018-01-31: Highest IV Rank — 58.5%
  • 2018-01-31: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.24$42.39$47.60$42.39$46.46
Max Pain$41.06$40.00$42.00$40.67$42.00
ATM IV22.1%15.1%28.4%23.1%28.4%
Expected Move6.3%4.3%8.2%6.6%8.2%
HV 20d14.2%11.4%17.9%17.9%14.1%
HV 60d16.0%15.7%16.8%15.8%16.6%
IV Rank27.5%0.0%58.5%31.2%58.5%
IV Percentile40.9%0.0%92.5%51.2%92.5%
Term Structure2.0%-9.1%5.7%2.0%-9.1%
VWIV23.9%18.0%30.5%25.0%30.5%
Skew 25d3.0%-1.7%6.0%4.2%4.8%
Skew 10d5.4%1.8%10.0%6.5%7.4%
Call IV 25d23.1%19.6%31.8%22.9%31.8%
Put IV 25d26.2%22.3%36.6%27.1%36.6%
Bid-Ask Spread %71.4338.34114.8370.79114.83
Gamma HHI0.080.070.090.070.07
Net GEX276.8K186.7K376.9K276.4K234.3K
Net DEX-7.4M-9.1M-4.6M-4.6M-7.7M
Net VEX-14.1K-16.1K-11.4K-16.1K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.510.880.560.73
Total Volume2,192.4291,6982,8112,0491,977
Total OI3,977.5713,3004,5363,7953,918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$42.39$40.6723.1%6.6%17.9%31.2%25.0%4.2%2.0%276.4K-4.6M-16.1K0.5670.79N/AN/A1,3177322,5261,269
2018-01-03$42.83$40.6722.1%6.3%17.2%26.9%24.6%1.5%2.7%281.7K-4.9M-15.8K0.6380.09N/AN/A1,3028222,5381,296
2018-01-04$43.21$40.0023.2%6.8%16.8%31.8%25.8%0.4%1.0%290.8K-5.6M-15.5K0.6253.28N/AN/A1,3178222,5231,386
2018-01-05$43.57$40.0021.6%6.3%16.9%24.6%24.4%4.9%2.0%324.4K-6.1M-14.8K0.6050.99N/AN/A1,3808342,5711,386
2018-01-08$43.62$40.0023.8%6.5%16.7%34.5%24.6%2.2%1.1%334.4K-6.4M-14.6K0.6038.34N/AN/A1,3868312,6131,413
2018-01-09$43.92$40.0026.6%6.1%16.6%47.5%24.5%4.5%1.6%314.4K-6.6M-15.3K0.6370.88N/AN/A1,3418402,6311,455
2018-01-10$44.15$40.0022.0%6.3%16.6%26.3%23.4%1.2%2.5%376.9K-7.3M-13.7K0.6172.07N/AN/A1,3778402,6581,464
2018-01-11$44.51$40.0022.5%6.5%15.6%28.6%24.6%2.6%2.5%342.8K-7.5M-14.1K0.6554.81N/AN/A1,3538792,6851,464
2018-01-12$44.98$40.3322.5%6.5%13.9%28.6%24.3%1.7%1.2%340.8K-8.2M-13.0K0.8459.45N/AN/A1,2931,0892,6701,512
2018-01-16$44.86$41.6725.6%7.3%13.3%43.1%24.6%1.7%1.7%313.7K-8.3M-12.8K0.8876.29N/AN/A1,3171,1612,7301,683
2018-01-17$45.46$41.6723.0%6.6%12.9%30.8%25.5%4.4%3.4%262.8K-8.5M-13.3K0.7974.32N/AN/A1,4911,1852,7421,773
2018-01-18$45.25$41.6722.0%6.3%12.4%26.3%23.1%4.7%1.7%218.7K-8.3M-13.1K0.8368.13N/AN/A1,4371,1972,7001,800
2018-01-19$45.83$41.6719.6%5.6%11.4%15.0%21.7%6.0%4.4%186.7K-8.9M-12.4K0.7363.49N/AN/A1,6261,1852,7211,815
2018-01-22$46.71$41.6719.8%5.7%12.0%15.9%18.8%2.7%1.5%248.4K-7.4M-11.4K0.5955.87N/AN/A1,0686302,2741,026
2018-01-23$46.96$41.6719.6%5.6%11.9%15.3%20.9%3.6%3.3%240.5K-7.7M-12.8K0.5156.86N/AN/A1,3146662,3641,077
2018-01-24$47.31$41.6717.0%4.9%11.8%3.2%21.5%4.0%5.1%252.1K-8.4M-14.0K0.5985.93N/AN/A1,1676872,5141,116
2018-01-25$47.12$41.6721.8%6.3%11.6%25.4%23.3%4.4%2.1%244.1K-8.5M-14.5K0.6683.26N/AN/A1,2007862,5981,131
2018-01-26$47.60$41.6715.1%4.3%11.7%0.0%18.0%3.5%5.7%261.9K-9.1M-13.6K0.6492.91N/AN/A1,2458012,6461,143
2018-01-29$47.14$41.6723.9%6.8%12.8%38.6%24.7%-1.7%0.2%233.9K-8.5M-15.1K0.6683.21N/AN/A1,2668402,6491,158
2018-01-30$46.23$42.0020.9%6.0%14.9%25.6%27.8%2.7%5.4%233.4K-7.4M-15.7K0.7094.18N/AN/A1,2038372,6611,230
2018-01-31$46.46$42.0028.4%8.2%14.1%58.5%30.5%4.8%-9.1%234.3K-7.7M-14.4K0.73114.83N/AN/A1,1408372,6821,236