UYG Options History — November 2020

In November 2020, UYG traded between $30.39 and $40.03. ATM implied volatility averaged 45.6%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 15.3% (HV 20d: 60.9%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-11-09: Highest Volume — 791 contracts
  • 2020-11-09: Largest IV spike — 33.8% change
  • 2020-11-02: Highest IV Rank — 30.4%
  • 2020-11-02: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.50$30.39$40.03$30.39$38.31
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV45.6%38.9%68.8%68.8%42.0%
Expected Move12.9%11.1%19.7%19.7%12.0%
HV 20d60.9%43.4%69.1%43.4%61.8%
HV 60d49.3%40.8%52.6%40.8%51.7%
IV Rank16.7%12.6%30.4%30.4%14.5%
IV Percentile41.3%27.0%76.6%76.6%35.3%
Term Structure-1.2%-6.8%5.0%-6.1%1.8%
VWIV50.1%36.8%117.8%68.4%44.9%
Skew 25d8.0%2.7%14.2%14.2%11.0%
Skew 10d18.0%7.2%36.1%36.1%19.1%
Call IV 25d41.7%29.1%61.4%61.4%37.2%
Put IV 25d49.7%43.0%75.6%75.6%48.1%
Bid-Ask Spread %70.6339.9995.6288.2585.82
Gamma HHI0.150.080.260.080.14
Net GEX80.0K35.0K127.2K35.0K92.2K
Net DEX-4.8M-6.2M-1.7M-1.7M-5.2M
Net VEX-8.0K-9.7K-6.2K-9.7K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.003.790.003.05
Total Volume146.85117912081
Total OI3,537.52,3914,0943,3562,801

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$30.39$26.0068.8%19.7%43.4%30.4%68.4%14.2%-6.1%35.0K-1.7M-9.7K0.0088.25N/AN/A2001,8931,463
2020-11-03$32.03$26.0062.5%17.9%47.3%26.7%55.8%10.9%-6.3%49.1K-2.4M-9.2K0.2872.35N/AN/A262731,8931,463
2020-11-04$31.81$26.0052.4%15.0%46.3%20.7%52.4%9.8%-5.7%54.9K-2.7M-9.0K0.4495.62N/AN/A127561,9901,476
2020-11-05$32.85$26.0049.6%13.4%47.0%19.1%47.0%10.1%-4.0%66.2K-3.3M-9.1K0.5078.32N/AN/A98492,0391,490
2020-11-06$32.69$26.0041.3%12.5%46.9%14.1%41.8%4.8%-2.4%70.5K-3.3M-8.5K0.2855.30N/AN/A2572,0751,485
2020-11-09$37.44$26.0055.3%13.6%67.5%22.4%48.3%6.7%-6.8%78.3K-5.8M-8.0K0.7369.14N/AN/A4583332,0911,490
2020-11-10$37.30$26.0047.6%12.6%66.1%17.9%43.6%6.2%-2.9%72.8K-5.5M-8.3K0.1067.69N/AN/A140142,2171,808
2020-11-11$36.90$26.0041.3%11.8%65.7%14.1%52.2%2.7%-0.6%75.6K-5.4M-8.2K1.5964.83N/AN/A17272,2651,807
2020-11-12$35.65$26.0046.1%13.2%67.2%16.9%45.3%6.9%-2.5%56.2K-4.3M-8.7K0.8963.53N/AN/A70622,2131,804
2020-11-13$37.45$26.0041.4%11.9%69.1%14.2%52.7%8.9%0.8%89.0K-5.5M-8.2K3.7964.33N/AN/A19722,2351,809
2020-11-16$38.37$26.0040.9%11.7%67.8%13.9%46.7%7.0%-0.0%113.9K-6.2M-6.8K0.3969.54N/AN/A41162,2311,838
2020-11-17$38.33$26.0041.3%11.8%67.9%14.1%42.1%4.4%-0.5%120.1K-6.1M-6.7K0.2371.15N/AN/A3072,2301,853
2020-11-18$37.94$26.0040.3%11.5%67.8%13.5%40.2%4.3%0.7%98.2K-5.9M-6.6K0.7372.43N/AN/A90662,2341,860
2020-11-19$37.76$26.0041.5%11.9%67.7%14.2%41.2%4.3%1.1%87.6K-5.8M-6.2K0.2272.55N/AN/A1842,2171,852
2020-11-20$37.27$26.0041.0%11.8%68.0%13.9%45.3%6.0%0.5%127.2K-5.5M-6.5K0.3547.21N/AN/A71252,2121,852
2020-11-23$38.18$26.0040.2%11.5%64.8%13.4%36.8%10.2%0.2%64.2K-4.6M-6.3K0.1939.99N/AN/A177331,637754
2020-11-24$40.03$26.0040.0%11.5%65.0%13.3%41.5%13.9%3.6%73.3K-5.5M-6.6K0.0880.69N/AN/A289231,807770
2020-11-25$39.85$26.0038.9%11.1%60.3%12.6%37.7%13.7%5.0%87.1K-5.9M-8.9K0.2469.50N/AN/A2152,018772
2020-11-27$39.44$26.0040.6%11.6%61.0%13.7%117.8%4.0%-0.1%88.2K-5.7M-9.0K0.2284.30N/AN/A922,033773
2020-11-30$38.31$26.0042.0%12.0%61.8%14.5%44.9%11.0%1.8%92.2K-5.2M-9.1K3.0585.82N/AN/A20612,028773