UYG Options History — October 2020

In October 2020, UYG traded between $29.10 and $34.74. ATM implied volatility averaged 50.4%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 7.3% (HV 20d: 43.1%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2020-10-09: Highest Volume — 325 contracts
  • 2020-10-28: Largest IV spike — 23.9% change
  • 2020-10-28: Highest IV Rank — 30.5%
  • 2020-10-28: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.30$29.10$34.74$31.22$29.10
Max Pain$25.73$24.00$26.00$25.00$26.00
ATM IV50.4%37.9%68.9%47.5%67.8%
Expected Move15.1%13.0%19.8%13.6%19.4%
HV 20d43.1%35.6%48.4%48.4%41.3%
HV 60d37.4%35.9%40.3%37.4%40.2%
IV Rank19.5%12.1%30.5%17.8%29.8%
IV Percentile57.0%38.1%77.0%56.0%75.8%
Term Structure-1.8%-8.3%7.5%7.5%-6.8%
VWIV54.6%43.1%79.0%50.2%79.0%
Skew 25d10.7%5.5%24.5%5.9%24.5%
Skew 10d18.6%-11.7%70.6%10.3%46.3%
Call IV 25d47.5%36.0%61.0%46.6%55.2%
Put IV 25d58.2%49.8%79.8%52.6%79.8%
Bid-Ask Spread %63.4934.0392.3169.8692.31
Gamma HHI0.120.070.190.090.08
Net GEX53.8K25.5K92.8K37.5K25.5K
Net DEX-2.7M-4.1M-1.1M-2.0M-1.1M
Net VEX-9.2K-9.7K-8.6K-8.9K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.0020.180.005.10
Total Volume116.227432572122
Total OI2,964.4552,5693,2772,5693,268

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$31.22$25.0047.5%13.6%48.4%17.8%50.2%5.9%7.5%37.5K-2.0M-8.9K0.0069.86N/AN/A7201,637932
2020-10-02$32.01$25.0049.5%14.2%47.4%19.0%53.8%5.5%4.3%47.7K-2.4M-9.1K0.5381.36N/AN/A30161,706932
2020-10-05$32.86$24.0045.9%15.4%48.3%16.8%64.1%9.7%-1.4%54.5K-2.8M-8.9K0.2434.03N/AN/A242571,724937
2020-10-06$32.22$25.0046.8%14.7%46.5%17.3%63.1%9.0%-2.8%54.9K-2.8M-9.2K0.2266.95N/AN/A125281,841972
2020-10-07$33.10$25.0042.8%14.5%47.2%15.0%62.1%10.1%2.6%65.6K-3.3M-9.2K0.7253.17N/AN/A120871,914995
2020-10-08$33.90$26.0038.5%14.2%46.7%12.5%59.4%11.9%1.0%75.6K-3.6M-9.1K0.1853.68N/AN/A3461,8851,100
2020-10-09$34.00$26.0037.9%13.4%46.7%12.1%50.6%7.2%0.9%79.9K-3.7M-9.0K0.5359.12N/AN/A2121131,8871,100
2020-10-12$34.74$26.0040.6%13.0%45.6%13.7%47.6%6.4%0.0%92.8K-4.1M-8.9K0.4054.27N/AN/A100401,9291,161
2020-10-13$33.60$26.0042.5%13.7%47.0%14.8%48.6%6.3%-0.7%76.5K-3.4M-8.6K0.8656.62N/AN/A70601,9211,185
2020-10-14$32.90$26.0048.0%13.8%46.8%18.1%48.5%8.2%-1.5%55.0K-3.0M-8.9K0.5558.84N/AN/A164911,9421,224
2020-10-15$33.12$26.0049.5%14.2%45.1%19.0%48.4%9.5%-2.3%55.3K-3.1M-9.5K0.6261.45N/AN/A1382,0141,263
2020-10-16$33.14$26.0056.0%16.0%45.0%22.8%43.1%7.8%-8.3%32.8K-3.2M-9.4K0.1481.83N/AN/A1422,0061,259
2020-10-19$32.08$26.0049.9%14.3%39.1%19.2%45.9%10.2%-1.9%47.6K-2.4M-9.0K0.1163.19N/AN/A5661,6731,107
2020-10-20$32.65$26.0050.5%14.5%39.4%19.6%49.0%11.4%-3.1%54.0K-2.7M-8.9K0.5367.49N/AN/A108571,7101,108
2020-10-21$32.27$26.0052.6%15.1%35.6%20.8%54.2%9.1%-2.6%51.7K-2.6M-9.7K0.0959.93N/AN/A1111,7741,144
2020-10-22$33.07$26.0050.8%14.6%36.1%19.7%46.5%10.2%-4.2%56.1K-2.9M-9.5K0.0766.60N/AN/A1511,7751,144
2020-10-23$33.25$26.0050.1%14.4%35.8%19.3%45.5%18.4%-1.5%57.9K-3.0M-9.3K0.0064.61N/AN/A401,7811,143
2020-10-26$31.57$26.0055.5%15.9%37.3%22.5%53.9%11.8%-2.4%47.6K-2.3M-9.3K0.0154.26N/AN/A16011,7811,143
2020-10-27$30.89$26.0055.6%15.9%37.5%22.6%54.5%10.7%-4.2%47.9K-2.1M-9.5K0.7645.80N/AN/A29221,8971,144
2020-10-28$29.24$26.0068.9%19.8%42.2%30.5%75.3%14.8%-7.3%31.8K-1.3M-9.6K0.3576.66N/AN/A2071,9101,173
2020-10-29$29.66$26.0061.3%17.6%42.2%26.0%58.2%16.2%-4.2%35.8K-1.4M-9.3K20.1874.74N/AN/A112221,9101,167
2020-10-30$29.10$26.0067.8%19.4%41.3%29.8%79.0%24.5%-6.8%25.5K-1.1M-9.3K5.1092.31N/AN/A201021,9031,365