UYG Options History — May 2018

In May 2018, UYG traded between $39.81 and $43.27. ATM implied volatility averaged 30.5%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.7% (HV 20d: 22.9%). Max pain ranged from $40.00 to $120.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2018-05-04: Highest Volume — 2,385 contracts
  • 2018-05-25: Largest IV spike — 342.3% change
  • 2018-05-25: Highest IV Rank — 100.0%
  • 2018-05-25: Largest Expected Move — 41.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.98$39.81$43.27$40.74$41.13
Max Pain$44.59$40.00$120.00$40.33$42.00
ATM IV30.5%20.7%143.0%21.5%28.8%
Expected Move8.7%5.9%41.0%6.2%8.3%
HV 20d22.9%18.6%30.0%30.0%28.6%
HV 60d36.3%33.8%43.3%43.3%35.5%
IV Rank30.0%10.7%100.0%20.0%10.7%
IV Percentile62.4%19.8%100.0%27.4%78.6%
Term Structure-3.9%-35.4%5.6%5.1%-27.4%
VWIV32.5%23.9%149.9%27.6%27.0%
Skew 25d8.3%-3.0%88.0%-0.9%5.1%
Skew 10d14.3%1.8%88.0%1.8%11.1%
Call IV 25d29.3%21.1%99.6%32.6%26.7%
Put IV 25d37.5%25.7%187.6%31.7%31.8%
Bid-Ask Spread %77.0154.62115.98103.4865.46
Gamma HHI0.090.030.140.060.08
Net GEX18.0K-130.1K158.1K17.8K14.1K
Net DEX-773.5K-2.5M2.1M-113.0K-1.2M
Net VEX-7.990591118556045e+21B-1.7579300460823298e+23B-460-14.8K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.621.441.370.94
Total Volume1,825.0456282,3852,223939
Total OI3,959.2731,0864,6233,6394,399

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$40.74$40.3321.5%6.2%30.0%20.0%27.6%-0.9%5.1%17.8K-113.0K-14.8K1.37103.48N/AN/A9391,2841,9621,677
2018-05-02$40.46$41.0024.6%7.1%28.6%29.9%30.2%4.9%-0.3%-36.2K-89.6K-15.4K1.35115.98N/AN/A9511,2871,9652,064
2018-05-03$39.81$40.0025.9%7.7%28.7%33.7%29.1%3.5%3.4%-115.4K1.6M-15.2K1.4492.15N/AN/A9601,3831,9622,067
2018-05-04$40.90$40.0026.2%7.3%24.8%34.7%26.8%5.7%2.8%-130.1K1.1M-14.9K1.3867.79N/AN/A1,0021,3831,9682,103
2018-05-07$41.26$40.0027.2%7.5%24.2%37.7%26.1%5.2%0.8%-85.7K358.4K-14.5K0.9772.14N/AN/A1,0059752,0252,109
2018-05-08$41.75$40.3325.9%7.4%24.1%33.7%26.7%5.9%1.5%-77.9K48.7K-15.1K0.9571.65N/AN/A1,0741,0202,0372,160
2018-05-09$42.52$41.0022.8%6.5%23.9%24.0%27.1%5.7%3.6%-4.5K-909.0K-15.1K0.8981.52N/AN/A1,1521,0202,0702,202
2018-05-10$43.27$41.0023.4%6.7%22.8%26.1%27.6%9.6%3.6%79.8K-2.1M-15.0K0.8967.83N/AN/A1,1611,0352,2022,202
2018-05-11$43.20$41.3322.5%6.4%19.4%23.1%26.2%6.4%3.7%132.1K-2.5M-14.5K0.9074.55N/AN/A1,1641,0472,2172,214
2018-05-14$43.15$41.3322.9%6.6%18.6%24.5%24.9%4.3%1.7%158.1K-2.4M-13.7K0.9370.60N/AN/A1,1311,0472,2172,241
2018-05-15$42.58$41.3324.7%7.1%19.4%30.1%26.6%5.2%1.5%47.4K-1.4M-13.6K1.0268.78N/AN/A1,1461,1702,1722,241
2018-05-16$42.75$41.3323.7%6.8%19.2%27.1%25.2%2.9%1.5%110.7K-1.7M-13.1K1.0365.96N/AN/A1,1371,1702,1902,352
2018-05-17$42.47$41.3324.3%7.0%19.1%28.9%25.6%4.8%0.9%105.3K-1.5M-12.9K0.9966.76N/AN/A1,1371,1252,2112,361
2018-05-18$42.10$41.3324.0%6.9%19.3%28.0%25.3%1.7%1.2%44.7K-1.1M-12.4K0.9554.62N/AN/A1,1401,0862,2562,367
2018-05-21$42.71$40.0020.7%5.9%19.8%17.7%25.9%6.2%5.6%16.7K-1.3M-12.1K1.0875.57N/AN/A7357951,3801,458
2018-05-22$43.24$40.0022.1%6.3%19.4%21.8%25.9%5.5%1.5%56.8K-1.8M-12.5K0.9471.02N/AN/A8498011,5061,476
2018-05-23$42.75$40.0024.4%7.0%20.1%29.1%26.6%6.4%1.9%54.8K-1.9M-13.4K0.8864.50N/AN/A9458341,6591,485
2018-05-24$42.49$120.0032.3%9.3%19.5%53.9%23.9%5.4%-35.4%-7332.1M-4600.7993.71N/AN/A350278586500
2018-05-25$42.26$42.67143.0%41.0%19.6%100.0%149.9%88.0%-8.2%1.2K-1.4M-1.7579300460823298e+23B0.73108.71N/AN/A3922862,3151,910
2018-05-29$40.31$42.6732.3%9.2%25.9%13.4%33.4%-3.0%-27.4%-13.5K795.7K-5.5K0.6380.52N/AN/A5553502,3151,911
2018-05-30$41.66$42.0028.9%8.3%28.3%10.8%28.5%3.3%-27.2%21.0K-1.6M-12.2K0.6260.90N/AN/A5623492,4521,938
2018-05-31$41.13$42.0028.8%8.3%28.6%10.7%27.0%5.1%-27.4%14.1K-1.2M-12.3K0.9465.46N/AN/A4844552,4591,940