UYG Options History — September 2021

In September 2021, UYG traded between $61.46 and $67.00. ATM implied volatility averaged 35.3%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 11.3% (HV 20d: 24.0%). Max pain ranged from $57.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2021-09-21: Highest Volume — 863 contracts
  • 2021-09-20: Largest IV spike — 27.8% change
  • 2021-09-20: Highest IV Rank — 44.9%
  • 2021-09-20: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.20$61.46$67.00$67.00$63.76
Max Pain$63.62$57.00$65.00$60.00$65.00
ATM IV35.3%30.4%45.1%31.3%40.8%
Expected Move10.2%9.0%12.9%9.0%11.7%
HV 20d24.0%18.3%31.2%21.3%31.2%
HV 60d31.1%29.5%32.3%31.5%32.3%
IV Rank22.3%11.1%44.9%13.2%35.0%
IV Percentile38.2%11.1%83.3%15.5%66.7%
Term Structure0.8%-1.0%2.6%1.1%-0.6%
VWIV36.3%31.7%42.4%31.7%42.0%
Skew 25d8.5%5.8%13.1%5.8%9.2%
Skew 10d19.4%13.4%29.9%15.5%18.0%
Call IV 25d32.5%27.4%39.8%27.4%38.2%
Put IV 25d41.1%33.1%50.6%33.1%47.4%
Bid-Ask Spread %35.9217.8388.0488.0441.55
Gamma HHI0.310.110.470.470.28
Net GEX303.3K33.8K494.1K474.8K324.7K
Net DEX-6.6M-9.0M-2.1M-8.9M-5.4M
Net VEX-18.1K-24.4K-12.7K-16.0K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0110.330.160.86
Total Volume188.762368633641
Total OI3,480.7142,3694,2663,2733,753

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$67.00$60.0031.3%9.0%21.3%13.2%31.7%5.8%1.1%474.8K-8.9M-16.0K0.1688.04N/AN/A3152,588685
2021-09-02$66.80$57.0030.4%9.1%20.7%11.1%34.0%6.7%2.5%476.9K-8.7M-15.2K0.2736.35N/AN/A55152,579689
2021-09-03$66.96$57.0030.5%9.0%18.5%11.3%33.2%7.7%2.0%494.1K-8.6M-15.2K2.0839.62N/AN/A901872,573691
2021-09-07$66.05$57.0031.6%9.6%19.2%13.8%34.2%6.7%1.0%417.3K-7.6M-12.7K0.5330.78N/AN/A128682,564694
2021-09-08$66.01$65.0033.2%9.5%19.1%17.6%36.7%8.0%1.7%383.3K-7.2M-14.3K0.3617.83N/AN/A83302,640840
2021-09-09$66.03$65.0033.4%9.6%18.3%17.9%34.2%8.5%1.7%383.2K-7.2M-15.4K0.2025.04N/AN/A203412,715912
2021-09-10$64.65$65.0034.9%10.0%19.6%21.5%39.2%8.1%1.1%246.6K-6.0M-15.1K0.7925.47N/AN/A43342,751927
2021-09-13$65.46$65.0035.1%10.1%20.2%21.9%33.6%9.4%0.7%285.6K-6.8M-15.5K0.0718.31N/AN/A260172,852961
2021-09-14$64.06$65.0037.5%10.7%21.5%27.3%42.2%9.4%-0.4%166.1K-5.5M-15.2K10.3329.61N/AN/A212172,866982
2021-09-15$65.40$65.0034.3%9.8%22.4%20.0%35.3%8.3%1.1%273.1K-7.2M-15.3K0.2532.26N/AN/A267662,930985
2021-09-16$65.33$65.0033.2%9.5%22.1%17.5%34.3%9.5%1.9%308.5K-6.9M-16.2K0.3020.63N/AN/A164492,9191,194
2021-09-17$64.24$65.0035.3%10.1%21.8%22.3%33.8%9.9%-0.0%61.2K-5.0M-16.9K0.8627.33N/AN/A1811553,0141,252
2021-09-20$61.46$65.0045.1%12.9%26.2%44.9%42.4%10.8%-1.0%33.8K-2.1M-17.8K0.6655.63N/AN/A99651,508861
2021-09-21$62.25$65.0041.1%11.8%26.1%35.7%37.1%13.1%-0.9%43.2K-2.3M-18.6K0.0138.64N/AN/A852111,613926
2021-09-22$63.74$65.0035.7%10.2%27.6%23.3%34.9%11.2%0.3%74.9K-3.4M-19.2K0.5339.74N/AN/A47251,707954
2021-09-23$65.93$65.0032.3%9.3%29.8%15.4%35.4%7.3%1.4%374.7K-7.7M-24.4K0.5040.42N/AN/A80402,539963
2021-09-24$66.39$65.0032.3%9.2%29.7%15.3%32.4%7.1%2.6%392.2K-8.4M-23.6K0.3537.38N/AN/A37132,566986
2021-09-27$67.00$65.0033.5%9.6%28.6%18.1%33.1%6.1%0.4%415.1K-9.0M-23.4K0.4144.87N/AN/A49202,5891,011
2021-09-28$65.19$65.0040.9%11.7%29.7%35.3%41.0%8.1%-0.8%360.5K-7.1M-23.6K1.4130.94N/AN/A32452,6061,023
2021-09-29$65.51$65.0038.1%10.9%29.8%28.8%41.2%8.5%1.4%380.1K-7.5M-23.6K0.0333.81N/AN/A9532,6461,041
2021-09-30$63.76$65.0040.8%11.7%31.2%35.0%42.0%9.2%-0.6%324.7K-5.4M-23.4K0.8641.55N/AN/A22192,6671,086