UYG Options History — December 2019

In December 2019, UYG traded between $49.98 and $53.55. ATM implied volatility averaged 20.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.6% (HV 20d: 17.0%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2019-12-17: Highest Volume — 1,091 contracts
  • 2019-12-13: Largest IV drop — 17.3% change
  • 2019-12-03: Highest IV Rank — 18.3%
  • 2019-12-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.40$49.98$53.55$50.95$53.55
Max Pain$40.33$40.00$43.00$41.00$40.00
ATM IV20.5%18.1%26.0%23.2%19.3%
Expected Move5.9%5.2%7.4%6.6%5.5%
HV 20d17.0%11.5%19.0%11.5%16.6%
HV 60d20.6%17.1%21.7%20.7%17.1%
IV Rank8.7%4.3%18.3%13.4%6.5%
IV Percentile12.0%0.4%37.3%23.0%8.7%
Term Structure2.0%-2.1%4.0%0.6%0.9%
VWIV21.3%17.2%33.3%23.1%18.5%
Skew 25d5.8%4.3%8.8%8.8%4.9%
Skew 10d12.0%6.8%18.3%14.4%11.2%
Call IV 25d18.0%15.2%22.8%20.8%17.8%
Put IV 25d23.8%20.4%31.1%29.6%22.7%
Bid-Ask Spread %64.6328.0381.4578.8178.30
Gamma HHI0.250.130.520.170.17
Net GEX762.0K274.8K1.6M611.6K426.4K
Net DEX-17.8M-25.4M-10.6M-15.4M-11.6M
Net VEX-17.6K-20.5K-12.8K-18.2K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.410.110.04
Total Volume324.048441,0911,04253
Total OI5,949.3813,4057,5605,7413,913

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$50.95$41.0023.2%6.6%11.5%13.4%23.1%8.8%0.6%611.6K-15.4M-18.2K0.1178.81N/AN/A9361064,3961,345
2019-12-03$49.98$43.0026.0%7.4%13.4%18.3%23.2%8.3%-2.1%574.8K-14.4M-19.8K0.0467.29N/AN/A962424,7771,453
2019-12-04$50.81$43.0022.2%6.4%14.5%11.7%24.3%7.2%-0.1%769.7K-17.8M-20.2K0.0159.67N/AN/A33825,3491,457
2019-12-05$51.15$40.0023.6%6.5%14.7%14.1%33.3%7.3%2.2%792.0K-19.2M-20.1K0.0058.93N/AN/A5405,4341,458
2019-12-06$52.20$40.0020.1%5.9%16.1%7.9%22.3%6.9%3.1%855.8K-21.8M-17.3K0.0855.23N/AN/A336285,4361,458
2019-12-09$51.93$40.0022.2%6.1%16.3%11.6%22.1%6.9%2.9%847.3K-21.0M-16.8K0.1056.14N/AN/A4045,3981,464
2019-12-10$51.67$40.0021.6%6.1%16.4%10.6%23.8%6.9%3.1%846.5K-20.4M-16.4K1.4128.03N/AN/A1812565,4161,474
2019-12-11$51.38$40.0021.9%6.3%16.6%11.1%26.3%5.2%-0.9%854.8K-19.9M-16.6K0.3769.00N/AN/A132495,4971,660
2019-12-12$52.67$40.0024.2%6.9%18.5%15.1%22.4%6.6%1.9%832.1K-22.0M-15.4K0.5679.17N/AN/A61345,3191,700
2019-12-13$52.28$40.0020.0%5.7%18.8%7.7%18.4%5.5%3.0%919.5K-20.9M-14.7K0.1973.22N/AN/A4285,2051,706
2019-12-16$52.87$40.0018.5%5.3%19.0%5.1%17.6%4.5%3.9%1.1M-21.3M-12.8K0.0069.19N/AN/A16504,9671,713
2019-12-17$53.09$40.0018.1%5.2%19.0%4.4%20.0%4.3%3.7%1.2M-21.9M-12.8K0.0580.37N/AN/A1,040515,0331,713
2019-12-18$52.97$40.0018.3%5.3%18.8%4.8%19.0%4.6%3.8%1.4M-22.7M-16.8K0.0871.40N/AN/A552435,4171,766
2019-12-19$53.10$40.0018.9%5.4%18.5%5.8%19.7%4.8%3.5%1.6M-24.2M-19.4K0.0681.45N/AN/A254145,7441,816
2019-12-20$53.41$40.0018.1%5.2%18.0%4.3%17.2%5.2%4.0%744.7K-25.4M-19.0K0.1372.75N/AN/A139185,6691,826
2019-12-23$53.12$40.0018.6%5.3%18.3%5.2%18.6%4.7%2.3%286.8K-10.6M-18.5K0.3961.78N/AN/A70272,808606
2019-12-24$53.05$40.0018.3%5.2%17.9%4.7%17.4%4.9%2.2%274.8K-10.6M-18.1K0.2546.38N/AN/A221552,785620
2019-12-26$53.49$40.0018.6%5.3%18.0%5.2%21.6%4.6%2.0%362.8K-11.2M-19.3K0.0140.60N/AN/A7412,996674
2019-12-27$53.55$40.0018.5%5.3%17.8%5.0%18.6%5.0%1.5%355.2K-11.3M-18.8K0.1257.08N/AN/A181222,997674
2019-12-30$53.24$40.0021.1%6.1%17.9%9.8%19.2%5.2%0.6%389.2K-11.1M-18.9K0.0372.35N/AN/A20863,104694
2019-12-31$53.55$40.0019.3%5.5%16.6%6.5%18.5%4.9%0.9%426.4K-11.6M-20.5K0.0478.30N/AN/A5123,217696