UYG Options History — August 2020

In August 2020, UYG traded between $30.87 and $34.35. ATM implied volatility averaged 41.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 15.2% (HV 20d: 26.6%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-08-11: Highest Volume — 582 contracts
  • 2020-08-31: Largest IV drop — 21.6% change
  • 2020-08-11: Highest IV Rank — 19.2%
  • 2020-08-11: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.65$30.87$34.35$30.92$33.74
Max Pain$21.81$20.00$23.00$23.00$22.00
ATM IV41.8%33.4%49.9%41.9%33.4%
Expected Move12.1%9.6%13.7%12.0%9.6%
HV 20d26.6%23.3%36.0%36.0%24.7%
HV 60d58.8%50.2%68.0%68.0%50.2%
IV Rank14.4%9.4%19.2%14.4%9.4%
IV Percentile55.4%46.4%61.1%57.1%46.4%
Term Structure3.8%-5.8%10.9%4.5%10.9%
VWIV45.3%28.5%51.8%50.9%41.8%
Skew 25d7.7%1.9%16.3%5.3%5.9%
Skew 10d17.3%2.9%35.0%13.2%12.4%
Call IV 25d39.6%33.6%46.4%40.6%35.5%
Put IV 25d47.3%39.3%54.4%46.0%41.5%
Bid-Ask Spread %55.9118.6592.4262.6835.97
Gamma HHI0.190.120.280.140.28
Net GEX77.2K53.6K108.0K55.3K70.1K
Net DEX-3.2M-4.0M-2.0M-2.1M-3.4M
Net VEX-7.8K-9.2K-6.3K-6.3K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.012.432.430.44
Total Volume128.857135824813
Total OI4,242.3333,6384,7573,9633,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$30.92$23.0041.9%12.0%36.0%14.4%50.9%5.3%4.5%55.3K-2.1M-6.3K2.4362.68N/AN/A14342,8781,085
2020-08-04$30.87$23.0038.3%11.0%32.6%12.3%43.8%3.8%8.7%55.0K-2.0M-6.3K0.0168.51N/AN/A10512,8781,108
2020-08-05$31.65$23.0037.1%10.6%33.4%11.6%41.3%2.9%9.9%66.2K-2.4M-6.5K0.2937.60N/AN/A284832,9141,107
2020-08-06$31.73$21.0040.6%13.5%29.8%13.7%50.2%9.3%1.5%72.5K-2.7M-7.7K1.9492.42N/AN/A31603,0631,126
2020-08-07$32.67$20.0041.0%12.5%27.3%13.9%45.6%13.9%3.1%80.0K-3.1M-7.8K0.2143.67N/AN/A86183,0661,102
2020-08-10$33.03$20.0044.8%13.0%27.2%16.1%46.0%7.0%2.6%89.8K-3.5M-7.9K0.6250.05N/AN/A1641023,1161,108
2020-08-11$33.48$20.0049.9%13.7%27.3%19.2%48.8%8.0%2.1%102.0K-3.9M-8.6K0.5451.39N/AN/A3772053,2181,173
2020-08-12$33.47$22.0046.2%13.2%23.8%17.0%49.0%15.5%1.3%96.9K-4.0M-8.4K0.3279.18N/AN/A193613,2701,309
2020-08-13$32.92$22.0042.8%12.3%24.3%15.0%48.9%5.5%4.1%96.6K-3.8M-7.9K0.3978.11N/AN/A51203,3091,334
2020-08-14$32.98$22.0043.8%12.5%24.3%15.6%42.9%5.8%4.1%103.7K-4.0M-8.8K0.0572.09N/AN/A8643,3511,348
2020-08-17$32.65$22.0037.6%10.8%24.6%11.9%45.8%8.5%8.5%108.0K-3.7M-7.7K0.1735.29N/AN/A80143,3771,347
2020-08-18$32.31$22.0042.8%12.3%24.4%15.0%44.1%3.9%6.1%83.0K-3.4M-7.4K0.6135.51N/AN/A38233,3151,349
2020-08-19$32.08$22.0045.1%12.9%24.5%16.4%0.0%6.2%0.9%80.9K-3.3M-7.8K0.5565.91N/AN/A22123,3751,356
2020-08-20$31.97$22.0044.6%12.8%24.5%16.1%47.2%6.6%0.7%70.1K-3.3M-7.8K0.0875.90N/AN/A3933,3881,369
2020-08-21$31.78$22.0042.8%12.3%24.3%15.0%43.3%1.9%-5.8%53.6K-3.1M-7.3K0.3472.06N/AN/A98333,3781,370
2020-08-24$32.88$22.0038.1%10.9%26.7%12.2%39.9%9.9%2.4%58.6K-2.8M-7.8K0.1823.94N/AN/A74133,005633
2020-08-25$33.17$22.0039.8%11.4%26.7%13.2%46.2%11.2%3.7%61.8K-3.0M-8.0K0.5521.51N/AN/A38213,040641
2020-08-26$33.02$22.0041.4%11.9%24.4%14.2%28.5%7.8%2.5%62.1K-3.0M-8.0K0.0866.44N/AN/A11193,072648
2020-08-27$34.07$22.0042.9%12.3%23.9%15.0%49.3%16.3%4.3%75.0K-3.6M-9.1K0.2018.65N/AN/A55113,182657
2020-08-28$34.35$22.0042.6%12.2%23.3%14.9%51.8%7.4%4.7%79.8K-3.7M-9.2K0.2587.29N/AN/A1643,202658
2020-08-31$33.74$22.0033.4%9.6%24.7%9.4%41.8%5.9%10.9%70.1K-3.4M-8.2K0.4435.97N/AN/A943,205659