UYG Options History — January 2020

In January 2020, UYG traded between $52.52 and $55.60. ATM implied volatility averaged 21.2%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 6.5% (HV 20d: 14.7%). Max pain ranged from $40.00 to $49.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2020-01-08: Highest Volume — 897 contracts
  • 2020-01-13: Largest IV spike — 48.7% change
  • 2020-01-13: Highest IV Rank — 29.7%
  • 2020-01-31: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.15$52.52$55.60$53.92$52.52
Max Pain$44.29$40.00$49.00$40.00$49.00
ATM IV21.2%17.6%28.5%17.9%25.7%
Expected Move6.0%5.0%7.4%5.1%7.4%
HV 20d14.7%10.9%23.4%14.6%23.4%
HV 60d15.3%14.4%17.7%17.1%17.7%
IV Rank12.6%4.0%29.7%4.0%23.2%
IV Percentile22.7%0.4%67.9%0.4%50.4%
Term Structure1.3%-2.5%3.6%1.7%-1.3%
VWIV23.3%15.8%30.5%15.8%24.6%
Skew 25d5.9%4.5%8.0%4.8%8.0%
Skew 10d12.8%6.9%18.3%10.0%18.3%
Call IV 25d18.5%15.7%23.2%15.7%23.2%
Put IV 25d24.4%20.5%31.2%20.6%31.2%
Bid-Ask Spread %47.8912.9977.9277.9255.23
Gamma HHI0.170.100.440.190.10
Net GEX286.1K-55.4K886.5K456.4K87.7K
Net DEX-12.4M-18.0M-8.4M-12.1M-8.4M
Net VEX-20.0K-23.2K-17.1K-19.4K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.016.390.140.03
Total Volume286.5247889784108
Total OI4,6333,8296,2273,8954,391

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$53.92$40.0017.9%5.1%14.6%4.0%15.8%4.8%1.7%456.4K-12.1M-19.4K0.1477.92N/AN/A74103,199696
2020-01-03$53.57$40.0019.2%5.5%14.2%6.3%21.3%4.7%1.7%445.6K-11.5M-19.6K0.5174.64N/AN/A68353,216706
2020-01-06$53.24$47.0021.7%6.2%14.4%10.7%21.6%6.2%1.5%433.2K-11.1M-19.3K0.1147.08N/AN/A99113,210716
2020-01-07$52.80$40.0020.8%6.1%13.1%9.1%30.5%6.0%1.6%416.1K-10.5M-19.2K0.0159.55N/AN/A726103,229716
2020-01-08$53.63$40.0020.5%6.0%14.0%11.4%26.0%5.7%1.7%489.0K-12.8M-21.0K2.0648.89N/AN/A2936043,507714
2020-01-09$53.92$43.0020.3%6.0%13.8%10.7%23.5%5.6%1.5%387.8K-13.4M-21.6K1.8137.41N/AN/A1542793,6131,303
2020-01-10$53.67$43.0019.1%6.0%13.7%8.1%20.8%6.9%2.0%222.6K-12.7M-22.4K0.2235.36N/AN/A76173,6441,577
2020-01-13$54.37$43.0028.5%6.1%11.6%29.7%21.4%6.3%1.6%329.0K-14.0M-21.4K6.3930.74N/AN/A845373,6971,593
2020-01-14$54.26$43.0022.5%5.6%11.2%16.0%25.0%5.9%3.6%68.3K-13.7M-20.6K1.6046.58N/AN/A811303,7152,191
2020-01-15$54.01$43.0020.5%5.9%10.9%11.2%21.8%5.7%1.9%-55.4K-13.4M-20.4K0.3139.79N/AN/A4351333,7442,195
2020-01-16$55.12$43.0018.7%5.4%12.8%7.1%19.9%5.2%2.0%886.5K-16.9M-17.7K0.3073.31N/AN/A246753,8432,286
2020-01-17$55.60$43.0017.6%5.0%12.9%4.5%22.9%4.5%2.3%396.6K-18.0M-17.9K0.8324.00N/AN/A118983,8942,333
2020-01-21$55.51$43.0019.1%5.5%13.0%8.0%21.7%5.0%1.6%240.6K-13.4M-17.5K0.3412.99N/AN/A150513,045784
2020-01-22$55.49$43.0020.4%5.8%13.0%11.0%22.3%4.8%1.3%235.2K-13.4M-17.1K2.6621.74N/AN/A471253,064822
2020-01-23$55.60$43.0018.9%5.4%12.7%7.5%28.6%5.3%2.1%219.2K-13.2M-17.8K1.9416.06N/AN/A1001943,078938
2020-01-24$54.19$48.0022.7%6.5%16.1%16.4%28.9%6.7%0.9%189.2K-11.3M-21.7K2.0442.00N/AN/A1122293,0831,129
2020-01-27$53.08$49.0024.8%7.1%17.6%21.2%24.5%7.6%0.7%135.4K-9.5M-23.2K0.1459.86N/AN/A203293,0381,349
2020-01-28$54.06$49.0022.5%6.4%18.8%15.8%19.4%7.1%0.9%146.0K-10.6M-20.2K0.8962.94N/AN/A62552,9381,355
2020-01-29$53.97$49.0022.3%6.4%18.7%15.5%18.7%6.8%-2.5%124.9K-10.4M-20.3K0.2070.30N/AN/A65132,9391,406
2020-01-30$54.58$49.0022.6%6.5%19.0%16.2%29.1%5.3%0.7%155.0K-11.0M-20.5K0.0169.23N/AN/A8012,9791,418
2020-01-31$52.52$49.0025.7%7.4%23.4%23.2%24.6%8.0%-1.3%87.7K-8.4M-22.3K0.0355.23N/AN/A10532,9731,418