UYG Options History — March 2020

In March 2020, UYG traded between $17.11 and $46.45. ATM implied volatility averaged 118.6%, placing in the 78.6% IV rank vs the trailing year. The 30-day expected move averaged 32.5%. IV traded below realized volatility by 24.5% (HV 20d: 143.1%). Max pain ranged from $35.00 to $53.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.64.

Notable Days

  • 2020-03-03: Highest Volume — 640 contracts
  • 2020-03-05: Largest IV spike — 61.4% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 53.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.34$17.11$46.45$45.27$23.74
Max Pain$45.14$35.00$53.00$44.00$35.00
ATM IV118.6%46.7%185.8%50.4%99.4%
Expected Move32.5%13.4%53.3%14.5%28.5%
HV 20d143.1%71.2%209.4%71.8%202.3%
HV 60d88.0%44.2%124.3%44.2%124.3%
IV Rank78.6%48.6%100.0%64.7%48.6%
IV Percentile98.2%93.7%100.0%98.4%93.7%
Term Structure-26.6%-68.9%20.1%-5.8%-21.0%
VWIV116.0%40.4%202.5%47.1%127.2%
Skew 25d45.3%-42.0%106.8%24.1%30.9%
Skew 10d62.5%-22.1%151.7%29.8%90.2%
Call IV 25d90.7%36.8%153.9%36.8%76.0%
Put IV 25d136.0%54.7%226.1%60.9%106.9%
Bid-Ask Spread %91.4353.17109.1959.3575.21
Gamma HHI0.130.070.340.120.20
Net GEX47.8K-10.2K263.4K157.8K-8.0K
Net DEX667.3K-3.1M1.8M-1.4M1.1M
Net VEX-7.7K-17.4K-2.2K-14.4K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.640.0439.500.302.31
Total Volume188.2271664046753
Total OI4,302.4092,7895,4663,5583,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$45.27$44.0050.4%14.5%71.8%64.7%47.1%24.1%-5.8%157.8K-1.4M-14.4K0.3059.35N/AN/A3581092,741817
2020-03-03$44.53$44.0058.5%16.8%71.2%79.7%61.0%23.7%-17.5%168.0K-1.3M-14.9K0.1060.16N/AN/A582582,943831
2020-03-04$46.45$44.0046.7%13.4%72.6%57.8%40.4%15.0%-6.3%263.4K-3.1M-17.4K0.0453.17N/AN/A520193,514792
2020-03-05$42.50$46.0075.4%16.6%77.1%100.0%48.9%28.1%-8.7%181.9K-969.4K-15.3K0.1174.98N/AN/A291333,967787
2020-03-06$40.32$48.0086.7%20.4%78.0%100.0%88.0%35.2%-9.3%142.6K-145.9K-14.2K2.4480.18N/AN/A451104,193788
2020-03-09$33.55$53.00127.3%30.1%97.9%100.0%71.4%54.7%-23.3%53.4K994.7K-9.6K0.4687.66N/AN/A46214,188833
2020-03-10$35.83$53.00144.8%24.8%102.7%100.0%86.7%28.1%-7.4%58.2K885.3K-10.2K3.7386.18N/AN/A26974,187787
2020-03-11$32.53$53.00102.1%29.3%105.0%66.9%90.2%59.5%-38.7%37.1K1.2M-7.6K4.3289.81N/AN/A22954,184780
2020-03-12$26.40$53.00133.9%38.4%122.1%91.6%123.2%9.9%-47.8%12.2K1.2M-5.8K5.88106.34N/AN/A402354,176759
2020-03-13$29.62$50.00127.1%36.4%133.2%86.3%124.2%39.0%-46.7%13.8K1.6M-7.5K0.18106.78N/AN/A4484,196937
2020-03-16$23.69$50.00166.8%47.8%148.3%100.0%147.0%83.9%-68.9%3.7K1.5M-5.6K0.94105.06N/AN/A1271194,207926
2020-03-17$24.34$50.00164.2%47.1%150.0%98.3%184.2%77.5%-63.7%1.7K1.8M-5.2K39.5099.65N/AN/A2794,3171,016
2020-03-18$19.18$50.00185.8%53.3%163.8%100.0%202.5%72.2%-60.8%3.2K1.4M-4.2K4.24104.72N/AN/A341444,3151,026
2020-03-19$21.59$48.00175.8%50.4%174.1%94.0%174.9%90.5%-67.3%1.5K1.7M-4.4K1.20109.19N/AN/A64774,3351,071
2020-03-20$19.82$44.00157.1%45.0%174.2%82.9%128.2%-42.0%-40.6%-5111.5M-3.6K1.24107.99N/AN/A33414,3711,095
2020-03-23$17.11$40.00147.0%42.2%177.4%77.0%134.9%80.9%20.1%-1.8K959.9K-2.2K7.42106.08N/AN/A483561,973816
2020-03-24$20.86$40.00104.2%29.9%199.0%51.5%108.8%21.5%14.6%-10.2K1.1M-4.4K1.00100.32N/AN/A882,0211,064
2020-03-25$23.83$40.00122.6%35.1%208.5%62.4%140.9%96.0%-20.5%-5.3K1.2M-4.0K1.75101.74N/AN/A24422,0271,063
2020-03-26$24.72$36.00105.7%30.3%209.4%52.4%145.6%106.8%-5.0%-6.1K1.2M-4.7K0.9297.63N/AN/A12112,0431,087
2020-03-27$24.61$36.00114.0%32.7%207.5%57.3%164.3%36.0%-22.9%-5.5K1.1M-5.0K1.12101.25N/AN/A17192,0531,086
2020-03-30$25.02$36.00114.5%32.8%202.2%57.6%113.3%25.9%-36.7%-8.5K1.2M-4.2K0.9497.98N/AN/A33312,0641,088
2020-03-31$23.74$35.0099.4%28.5%202.3%48.6%127.2%30.9%-21.0%-8.0K1.1M-4.5K2.3175.21N/AN/A16372,1021,087