UYG Options History — September 2018

In September 2018, UYG traded between $43.25 and $46.40. ATM implied volatility averaged 26.4%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 10.9% (HV 20d: 15.5%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2018-09-18: Highest Volume — 1,959 contracts
  • 2018-09-06: Largest IV spike — 88.1% change
  • 2018-09-06: Highest IV Rank — 24.2%
  • 2018-09-04: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.91$43.25$46.40$45.40$43.25
Max Pain$43.68$41.00$44.00$41.00$44.00
ATM IV26.4%21.6%46.0%42.7%25.7%
Expected Move7.3%6.2%12.2%12.2%7.4%
HV 20d15.5%12.4%17.6%17.6%16.9%
HV 60d16.6%16.0%17.5%16.5%17.5%
IV Rank8.9%5.1%24.2%21.6%8.3%
IV Percentile46.1%17.9%98.4%96.4%53.2%
Term Structure-0.1%-16.3%3.8%-16.3%0.8%
VWIV24.8%21.5%30.7%25.1%25.7%
Skew 25d4.6%-8.8%6.7%5.3%3.4%
Skew 10d11.6%2.3%18.0%2.3%8.4%
Call IV 25d24.2%20.2%42.3%42.3%24.5%
Put IV 25d28.8%25.7%47.6%47.6%27.9%
Bid-Ask Spread %45.6119.53111.69111.6932.78
Gamma HHI0.090.040.230.040.09
Net GEX151.0K80.2K310.7K120.3K80.2K
Net DEX-2.3M-4.6M18.9K-2.9M18.9K
Net VEX-17.5K-21.4K-15.1K-16.9K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.411.560.701.56
Total Volume1,468.7371,0701,9591,2481,785
Total OI3,925.1583,3874,9063,6003,898

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$45.40$41.0042.7%12.2%17.6%21.6%25.1%5.3%-16.3%120.3K-2.9M-16.9K0.70111.69N/AN/A7325162,0991,501
2018-09-05$45.39$41.0024.5%7.0%17.4%7.3%23.0%5.1%-0.8%146.9K-2.8M-16.1K0.9344.67N/AN/A7136602,1041,520
2018-09-06$45.23$44.0046.0%7.8%17.5%24.2%25.9%2.5%-0.1%116.1K-2.7M-15.1K0.9285.77N/AN/A7176632,1141,614
2018-09-07$44.83$44.0025.7%7.1%17.5%8.3%25.6%6.7%0.8%139.9K-2.2M-16.8K0.8033.20N/AN/A7175732,1201,623
2018-09-10$44.89$44.0023.0%7.0%15.6%6.2%25.3%6.1%1.4%130.8K-2.2M-15.2K0.7821.89N/AN/A7245662,1241,656
2018-09-11$45.05$44.0023.1%7.1%15.0%6.3%25.1%6.2%0.8%137.0K-2.3M-15.9K0.7919.96N/AN/A7235742,1701,667
2018-09-12$44.54$44.0023.8%6.8%15.2%6.8%24.6%5.3%1.0%133.6K-2.0M-16.0K0.8325.38N/AN/A7215982,1711,685
2018-09-13$44.54$44.0023.3%6.7%14.7%6.4%23.7%6.4%-0.6%137.2K-2.0M-15.6K0.8842.52N/AN/A7396502,1741,705
2018-09-14$44.80$44.0021.6%6.2%12.4%5.1%21.5%5.2%1.6%132.8K-2.1M-15.8K0.6235.99N/AN/A9495852,1911,741
2018-09-17$44.47$44.0024.4%7.0%12.4%7.3%23.7%5.9%0.6%152.7K-2.4M-16.3K0.5746.28N/AN/A1,0926252,4261,732
2018-09-18$44.82$44.0022.6%6.5%12.6%5.9%22.6%5.5%0.9%172.8K-2.7M-16.9K0.4629.90N/AN/A1,3416182,5311,738
2018-09-19$45.65$44.0023.4%6.7%14.1%6.5%24.5%5.3%1.7%225.7K-3.7M-18.6K0.5619.53N/AN/A1,1576532,8831,753
2018-09-20$46.40$44.0022.4%6.4%14.6%5.8%24.3%6.2%1.2%237.7K-4.6M-20.0K0.5667.75N/AN/A1,2596992,9681,775
2018-09-21$46.21$44.0021.8%6.2%14.5%5.2%22.9%5.4%3.8%310.7K-4.5M-21.4K0.4929.94N/AN/A1,2886283,0651,841
2018-09-24$45.12$44.0023.7%6.8%17.0%6.7%25.5%6.0%2.1%142.0K-1.4M-19.9K0.6325.49N/AN/A6584122,1121,275
2018-09-25$45.02$44.0024.0%6.9%15.5%7.0%25.3%5.4%0.7%123.8K-1.3M-18.8K0.6328.99N/AN/A6594122,1411,283
2018-09-26$44.00$44.0035.9%10.3%17.3%16.3%30.7%-8.8%-1.6%113.3K-1.1M-17.8K0.41109.80N/AN/A8843632,1511,283
2018-09-27$43.67$44.0024.7%7.1%17.3%7.5%25.7%3.5%0.1%115.8K-512.8K-19.3K0.7755.15N/AN/A7075462,3741,370
2018-09-28$43.25$44.0025.7%7.4%16.9%8.3%25.7%3.4%0.8%80.2K18.9K-19.6K1.5632.78N/AN/A6981,0872,3781,520