UYG Options History — March 2018

In March 2018, UYG traded between $38.94 and $45.74. ATM implied volatility averaged 33.1%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.8% (HV 20d: 38.9%). Max pain ranged from $33.33 to $47.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2018-03-15: Highest Volume — 3,513 contracts
  • 2018-03-22: Largest IV spike — 42.6% change
  • 2018-03-28: Highest IV Rank — 92.7%
  • 2018-03-28: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.95$38.94$45.74$42.02$41.10
Max Pain$43.84$33.33$47.00$39.00$45.00
ATM IV33.1%25.3%43.8%33.3%37.3%
Expected Move9.4%7.5%12.6%9.5%10.7%
HV 20d38.9%29.9%52.7%52.7%44.6%
HV 60d35.4%33.1%40.5%33.2%40.5%
IV Rank58.1%33.1%92.7%58.8%71.7%
IV Percentile91.8%75.0%99.6%96.0%95.6%
Term Structure-0.6%-5.5%4.4%-0.1%-2.5%
VWIV32.2%23.5%45.2%45.2%40.4%
Skew 25d5.9%1.6%14.4%5.6%8.3%
Skew 10d14.7%-1.2%28.6%13.9%28.6%
Call IV 25d31.8%22.6%41.4%41.0%36.9%
Put IV 25d37.7%28.5%51.7%46.6%45.1%
Bid-Ask Spread %73.8853.90104.6598.5468.02
Gamma HHI0.090.050.160.070.05
Net GEX179.5K-9.8K641.8K112.8K-2.0K
Net DEX-3.2M-8.8M1.3M-3.1M707.2K
Net VEX-19.7K-22.1K-18.4K-22.1K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.241.071.641.491.10
Total Volume2,716.1432,0943,5132,6102,298
Total OI4,9263,2766,5315,2593,891

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$42.02$39.0033.3%9.5%52.7%58.8%45.2%5.6%-0.1%112.8K-3.1M-22.1K1.4998.54N/AN/A1,0471,5633,0092,250
2018-03-02$42.37$39.0034.0%9.8%52.7%61.1%37.9%8.5%2.3%81.6K-2.4M-20.2K1.4895.60N/AN/A1,0501,5543,0332,289
2018-03-05$43.41$33.3329.0%8.6%52.3%45.0%29.8%14.4%1.1%158.9K-4.1M-18.4K1.6476.44N/AN/A1,0561,7313,0332,319
2018-03-06$43.63$44.0029.5%8.5%43.0%46.5%29.2%1.7%1.6%205.4K-4.0M-20.0K1.6279.97N/AN/A1,0681,7313,0392,532
2018-03-07$43.95$44.0029.4%8.6%42.7%46.4%29.0%7.7%1.6%222.7K-3.9M-18.4K1.6165.15N/AN/A1,0801,7403,0512,532
2018-03-08$43.85$44.0029.6%8.6%42.7%46.7%27.1%4.0%-0.1%241.9K-4.3M-19.7K1.1857.60N/AN/A1,5361,8123,1322,538
2018-03-09$45.73$47.0025.3%7.5%31.7%33.1%23.5%2.1%2.3%504.6K-8.4M-19.9K1.2571.62N/AN/A1,4491,8123,6152,613
2018-03-12$45.74$46.0033.6%8.2%30.8%59.8%25.8%7.3%-2.2%421.1K-8.8M-20.2K1.2363.01N/AN/A1,4641,7943,6692,613
2018-03-13$44.86$45.0033.8%7.9%31.4%60.4%26.4%4.4%0.7%428.4K-7.9M-20.8K1.2553.90N/AN/A1,4401,8063,6872,634
2018-03-14$44.06$45.3328.4%8.1%32.3%43.0%26.5%2.4%0.5%466.4K-6.8M-21.0K1.0962.54N/AN/A1,6621,8093,6992,670
2018-03-15$44.15$45.0030.1%8.6%29.9%48.4%25.6%1.6%-0.4%641.8K-7.0M-20.3K1.0762.50N/AN/A1,6981,8153,8552,676
2018-03-16$44.60$45.0026.6%7.6%29.9%37.2%24.6%5.9%4.4%81.3K-7.2M-18.7K1.1094.57N/AN/A1,6411,8123,8132,694
2018-03-19$43.77$45.0031.0%8.9%30.5%51.3%30.5%6.7%-2.8%61.6K-1.7M-19.2K1.2166.09N/AN/A9631,1671,7521,524
2018-03-20$43.90$45.0029.6%8.5%30.2%46.9%27.8%6.5%-0.1%52.9K-1.7M-19.8K1.1557.73N/AN/A1,0111,1671,7941,623
2018-03-21$43.69$45.0027.8%8.0%30.1%41.2%29.5%2.1%0.5%65.1K-1.9M-19.5K1.17104.65N/AN/A9991,1671,8421,623
2018-03-22$41.16$44.0039.7%11.4%36.8%79.4%35.4%9.8%-5.5%31.9K-139.3K-19.1K1.1378.11N/AN/A1,0231,1551,8451,623
2018-03-23$38.94$45.0041.3%11.8%39.8%84.4%39.9%3.2%-0.6%7.9K953.2K-18.5K1.0775.58N/AN/A1,0141,0801,8811,650
2018-03-26$41.10$45.0038.9%11.2%44.0%77.0%36.5%6.6%-3.8%429761.3K-18.9K1.1264.54N/AN/A1,0651,1911,9021,812
2018-03-27$39.76$45.0042.9%12.3%44.9%89.7%41.1%5.3%-4.3%-9.8K1.3M-19.7K1.0786.59N/AN/A1,0951,1731,9261,908
2018-03-28$40.14$45.0043.8%12.6%44.8%92.7%44.3%10.7%-4.6%-5.8K1.2M-19.6K1.1068.77N/AN/A1,0981,2031,9591,896
2018-03-29$41.10$45.0037.3%10.7%44.6%71.7%40.4%8.3%-2.5%-2.0K707.2K-19.7K1.1068.02N/AN/A1,0951,2031,9621,929