UYG Options History — September 2019

In September 2019, UYG traded between $44.02 and $47.99. ATM implied volatility averaged 28.1%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.5% (HV 20d: 28.7%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 13.56.

Notable Days

  • 2019-09-17: Highest Volume — 742 contracts
  • 2019-09-05: Largest IV spike — 68.9% change
  • 2019-09-05: Highest IV Rank — 49.6%
  • 2019-09-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.87$44.02$47.99$44.02$47.07
Max Pain$43.20$43.00$45.00$43.00$45.00
ATM IV28.1%22.4%48.0%36.4%25.7%
Expected Move7.8%6.4%10.4%10.4%7.4%
HV 20d28.7%18.4%39.8%38.8%18.9%
HV 60d30.1%29.6%30.4%29.6%29.8%
IV Rank19.1%10.3%49.6%31.9%15.3%
IV Percentile35.9%9.9%91.7%73.8%22.2%
Term Structure0.2%-6.9%4.0%-6.9%1.6%
VWIV28.4%21.0%43.1%43.1%24.4%
Skew 25d8.9%5.7%20.5%19.7%6.9%
Skew 10d14.1%-36.0%49.6%-36.0%16.0%
Call IV 25d22.9%19.6%25.7%23.2%23.6%
Put IV 25d31.8%26.7%42.8%42.8%30.5%
Bid-Ask Spread %81.7360.45108.93105.1279.41
Gamma HHI0.330.150.690.350.15
Net GEX777.8K199.7K1.8M608.7K272.4K
Net DEX-9.2M-14.9M-4.3M-5.1M-4.8M
Net VEX-30.6K-37.6K-26.1K-33.6K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.560.00182.001.000.00
Total Volume124.352742628
Total OI5,846.13,3307,7996,3183,949

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$44.02$43.0036.4%10.4%38.8%31.9%43.1%19.7%-6.9%608.7K-5.1M-33.6K0.00105.12N/AN/A064,9581,360
2019-09-04$44.93$43.0028.4%8.2%38.7%19.6%33.2%7.6%-0.6%675.1K-6.6M-35.4K1.0083.81N/AN/A114,9581,363
2019-09-05$46.19$43.0048.0%9.4%39.8%49.6%21.0%20.5%-3.1%647.9K-10.0M-37.6K0.0081.63N/AN/A10804,9581,364
2019-09-06$46.21$43.0025.8%7.4%38.2%15.6%26.6%8.3%0.8%983.9K-9.2M-35.4K0.3267.94N/AN/A31105,0401,364
2019-09-09$46.80$43.0029.9%7.6%38.5%21.9%24.0%8.0%-0.3%947.4K-11.0M-34.3K0.1960.45N/AN/A1635,0471,374
2019-09-10$46.29$43.0029.8%7.6%36.1%21.7%34.5%7.8%0.3%972.5K-9.2M-33.5K0.1578.01N/AN/A2645,0591,377
2019-09-11$46.64$43.0024.5%7.0%35.7%13.6%0.0%7.6%1.6%1.1M-10.6M-33.2K0.0070.56N/AN/A0435,0591,380
2019-09-12$47.56$43.0022.4%6.4%29.1%10.3%31.8%6.0%2.0%1.1M-13.1M-31.8K31.3189.48N/AN/A165015,0591,422
2019-09-13$47.67$43.0024.2%6.9%29.1%13.1%28.0%7.3%1.3%901.3K-12.5M-32.7K0.4883.72N/AN/A21105,0741,920
2019-09-16$47.42$43.0026.6%7.6%27.8%16.8%0.0%8.1%1.4%940.3K-11.6M-31.2K0.0279.33N/AN/A5615,0881,930
2019-09-17$47.75$43.0025.0%7.2%27.1%14.3%0.0%6.9%1.7%1.0M-13.3M-30.1K26.4879.76N/AN/A277155,1181,929
2019-09-18$47.99$43.0028.9%8.3%25.7%20.3%32.0%9.5%1.0%768.6K-13.1M-29.8K0.01108.93N/AN/A8315,1322,627
2019-09-19$47.89$43.0030.1%8.6%25.8%22.1%28.0%10.5%-5.2%1.6M-14.9M-27.9K0.03101.86N/AN/A7025,1712,628
2019-09-20$47.38$43.0025.1%7.2%26.3%14.5%22.4%5.7%1.9%1.8M-13.9M-26.7K0.0089.00N/AN/A1705,1582,630
2019-09-23$47.60$43.0023.4%6.7%18.4%11.9%22.6%5.9%4.0%224.0K-5.2M-26.1K1.5071.85N/AN/A8122,335995
2019-09-24$46.72$45.0027.7%7.9%20.2%18.4%27.4%8.5%0.6%199.7K-4.3M-26.3K0.0780.75N/AN/A4432,3431,007
2019-09-25$47.27$43.0026.5%7.6%20.2%16.5%22.8%7.1%1.0%230.1K-5.0M-26.2K0.0064.86N/AN/A18702,3771,010
2019-09-26$47.24$43.0027.0%7.7%20.2%17.4%26.7%9.1%0.5%278.9K-5.1M-26.6K0.5678.03N/AN/A162912,5641,010
2019-09-27$46.78$43.0027.6%7.9%18.9%18.2%34.5%7.4%1.0%269.4K-4.7M-27.0K182.0080.08N/AN/A11822,7261,059
2019-09-30$47.07$45.0025.7%7.4%18.9%15.3%24.4%6.9%1.6%272.4K-4.8M-26.7K0.0079.41N/AN/A2802,7281,221