UYG Options History — September 2020

In September 2020, UYG traded between $28.97 and $34.82. ATM implied volatility averaged 48.0%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 8.7% (HV 20d: 39.2%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2020-09-24: Highest Volume — 405 contracts
  • 2020-09-08: Largest IV spike — 43.2% change
  • 2020-09-08: Highest IV Rank — 27.3%
  • 2020-09-03: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.86$28.97$34.82$33.56$30.80
Max Pain$24.71$22.00$25.00$22.00$25.00
ATM IV48.0%42.9%63.5%43.8%48.6%
Expected Move13.8%12.3%16.2%12.6%13.9%
HV 20d39.2%24.9%50.3%24.9%50.3%
HV 60d39.3%36.0%50.2%49.7%37.4%
IV Rank18.1%15.0%27.3%15.6%18.4%
IV Percentile58.1%52.0%72.2%56.7%57.1%
Term Structure2.4%-11.3%7.7%7.7%6.5%
VWIV47.6%41.4%59.7%43.2%47.0%
Skew 25d8.8%1.9%20.4%15.7%4.5%
Skew 10d19.2%9.7%44.2%20.2%9.7%
Call IV 25d45.1%35.5%54.0%38.7%46.9%
Put IV 25d53.9%48.0%64.2%54.4%51.4%
Bid-Ask Spread %57.8332.9191.9591.9536.79
Gamma HHI0.160.090.260.240.09
Net GEX54.1K31.1K85.7K71.9K33.3K
Net DEX-2.6M-3.9M-1.1M-3.3M-1.6M
Net VEX-8.2K-9.3K-6.9K-8.6K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.0012.300.000.09
Total Volume130.71464051487
Total OI3,383.8571,7924,3033,8592,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$33.56$22.0043.8%12.6%24.9%15.6%43.2%15.7%7.7%71.9K-3.3M-8.6K0.0091.95N/AN/A1403,199660
2020-09-02$34.82$22.0050.0%14.3%26.5%19.3%54.0%20.4%0.5%85.7K-3.9M-9.0K0.4877.73N/AN/A182883,207663
2020-09-03$33.34$25.0047.8%16.2%31.6%17.9%58.9%12.5%-2.8%69.6K-3.3M-9.1K1.0154.75N/AN/A1451463,261694
2020-09-04$33.71$25.0044.4%14.4%30.2%15.9%52.0%10.1%2.9%74.0K-3.5M-9.3K0.8966.18N/AN/A45403,322748
2020-09-08$32.36$25.0063.5%14.8%33.5%27.3%59.7%1.9%-11.3%65.1K-2.9M-8.8K0.1675.14N/AN/A204333,319760
2020-09-09$32.88$25.0048.9%14.0%33.6%18.6%46.6%8.3%1.1%68.1K-3.3M-8.6K0.0753.14N/AN/A9873,405771
2020-09-10$32.01$25.0048.6%13.9%34.8%18.5%48.1%13.2%-6.8%58.0K-2.9M-8.2K0.6664.10N/AN/A59393,436766
2020-09-11$31.99$25.0045.3%13.0%34.4%16.5%43.5%7.6%3.8%56.8K-2.9M-8.2K0.6650.21N/AN/A44293,415746
2020-09-14$33.17$25.0043.8%12.5%36.9%15.6%42.0%4.1%5.0%63.6K-3.4M-7.8K0.1749.87N/AN/A167283,402750
2020-09-15$32.71$25.0045.1%12.9%37.1%16.4%43.4%8.2%3.8%49.0K-3.2M-7.7K0.2464.89N/AN/A142343,422768
2020-09-16$33.51$25.0046.0%13.2%37.8%16.9%45.2%7.9%2.2%79.0K-3.7M-8.5K0.2959.88N/AN/A56163,523765
2020-09-17$32.34$25.0045.1%12.9%40.0%16.4%47.9%9.5%5.0%49.6K-3.2M-8.3K0.5063.77N/AN/A1263,521772
2020-09-18$32.25$25.0042.9%12.3%40.0%15.0%43.5%8.5%5.0%47.6K-3.1M-8.1K0.1763.54N/AN/A4783,529774
2020-09-21$30.12$25.0048.9%14.0%46.9%18.6%42.8%8.1%3.1%43.6K-1.5M-7.2K0.3448.37N/AN/A59201,473319
2020-09-22$30.30$25.0047.3%13.5%45.0%17.6%45.6%8.2%5.3%44.8K-1.5M-7.1K0.2353.50N/AN/A4091,477324
2020-09-23$28.97$25.0051.7%14.8%46.9%20.3%50.1%8.8%3.0%42.9K-1.2M-6.9K12.3053.38N/AN/A273321,487319
2020-09-24$28.97$25.0053.2%15.3%47.0%21.2%50.3%10.4%2.2%34.9K-1.1M-7.6K4.3349.22N/AN/A763291,506620
2020-09-25$29.57$25.0049.7%14.2%46.0%19.1%41.4%7.1%1.7%31.1K-1.2M-8.6K0.0057.81N/AN/A601,550928
2020-09-28$31.10$25.0045.8%13.1%50.1%16.8%46.6%3.7%7.1%34.4K-1.7M-8.7K0.2147.28N/AN/A3371,546928
2020-09-29$30.54$25.0046.5%13.3%50.1%17.2%47.8%5.7%5.7%33.2K-1.5M-8.4K0.1532.91N/AN/A2741,552930
2020-09-30$30.80$25.0048.6%13.9%50.3%18.4%47.0%4.5%6.5%33.3K-1.6M-8.3K0.0936.79N/AN/A8071,573931