UAN Options History — September 2013

In September 2013, UAN traded between $177.00 and $192.00. ATM implied volatility averaged 28.9%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.8% (HV 20d: 28.1%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.91.

Notable Days

  • 2013-09-04: Highest Volume — 26 contracts
  • 2013-09-12: Largest IV drop — 29.6% change
  • 2013-09-11: Highest IV Rank — 70.1%
  • 2013-09-10: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.75$177.00$192.00$184.80$177.00
Max Pain$200.00$200.00$200.00$200.00$200.00
ATM IV28.9%22.5%39.2%29.4%29.3%
Expected Move8.2%6.4%9.7%8.4%8.4%
HV 20d28.1%23.1%35.9%35.2%24.2%
HV 60d36.6%35.7%37.4%36.8%35.8%
IV Rank37.8%17.4%70.1%39.4%38.9%
IV Percentile56.7%12.3%98.8%61.5%63.1%
Term Structure6.5%-0.3%15.8%8.4%2.2%
VWIV27.6%19.3%43.1%43.1%29.3%
Skew 25d7.9%-0.4%66.4%3.7%66.4%
Skew 10d21.1%6.0%120.2%8.3%120.2%
Call IV 25d25.7%14.3%31.5%30.8%26.8%
Put IV 25d33.6%26.9%93.2%34.6%93.2%
Bid-Ask Spread %74.8413.8288.6335.7970.95
Gamma HHI0.320.280.520.290.52
Net GEX-86.8K-96.3K-68.2K-77.6K-94.9K
Net DEX7.8M7.1M8.8M7.5M8.8M
Net VEX-22.8K-27.4K-16.1K-25.6K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.0019.507.001.39
Total Volume11.3126624
Total OI1,391.31,2971,4421,3951,354

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$184.80$200.0029.4%8.4%35.2%39.4%0.0%3.7%8.4%-77.6K7.5M-25.6K7.0035.79N/AN/A15720675
2013-09-04$188.80$200.0028.0%8.0%35.9%34.7%43.1%-0.4%-0.3%-84.3K7.6M-25.9K0.4662.25N/AN/A188720679
2013-09-05$185.40$200.0029.2%8.4%29.1%38.6%0.0%2.7%5.6%-82.6K7.6M-24.9K19.5067.05N/AN/A04726681
2013-09-06$184.50$200.0028.4%9.1%28.3%36.1%29.4%2.6%2.5%-83.9K7.6M-25.4K0.2383.24N/AN/A41727684
2013-09-09$187.60$200.0030.8%8.3%28.5%43.7%28.7%5.5%2.6%-85.7K7.6M-24.3K0.1682.95N/AN/A112730685
2013-09-10$183.90$200.0032.1%9.7%29.1%47.9%0.0%2.4%0.1%-87.7K7.9M-24.1K0.4682.59N/AN/A73738685
2013-09-11$189.20$200.0039.2%7.8%30.9%70.1%0.0%1.3%2.3%-87.2K7.7M-25.5K0.0076.02N/AN/A60742687
2013-09-12$192.00$200.0027.6%7.9%30.9%33.6%27.2%8.8%5.2%-68.2K7.1M-27.4K1.9413.82N/AN/A59747687
2013-09-13$188.60$200.0029.6%8.5%31.3%40.0%0.0%3.2%5.4%-75.8K7.4M-26.4K0.0088.63N/AN/A01746689
2013-09-16$186.00$200.0031.1%8.9%29.9%44.6%30.8%1.0%6.6%-86.9K7.9M-23.1K0.4583.44N/AN/A73746689
2013-09-17$187.10$200.0031.8%9.1%28.6%46.7%26.7%4.6%6.5%-89.7K7.8M-23.5K2.7185.75N/AN/A26750692
2013-09-18$186.60$200.0026.8%7.7%27.2%31.0%0.0%2.7%15.2%-85.9K7.6M-24.2K2.5087.41N/AN/A13749692
2013-09-19$185.60$200.0029.0%8.3%25.6%37.9%26.6%0.5%8.1%-88.6K7.6M-22.5K0.6585.03N/AN/A32729671
2013-09-20$189.30$200.0022.5%6.4%26.0%17.4%22.5%5.4%9.7%-91.6K7.7M-22.1K5.0085.49N/AN/A29731672
2013-09-23$186.90$200.0024.6%7.1%26.2%24.2%21.4%11.7%15.8%-91.7K7.9M-18.8K4.6782.60N/AN/A313658639
2013-09-24$184.40$200.0023.6%6.8%25.6%21.1%0.0%12.6%14.6%-91.5K7.6M-20.4K5.9577.66N/AN/A211661647
2013-09-25$183.50$200.0029.0%8.3%23.3%38.0%19.3%8.6%8.4%-93.5K8.2M-18.2K0.6681.84N/AN/A96662657
2013-09-26$182.70$200.0028.1%8.1%23.2%35.3%26.7%5.5%6.1%-96.3K8.1M-19.3K0.7385.72N/AN/A1410669661
2013-09-27$181.20$200.0028.5%8.2%23.1%36.4%0.0%9.6%4.4%-92.9K8.2M-19.3K0.8678.51N/AN/A65679670
2013-09-30$177.00$200.0029.3%8.4%24.2%38.9%29.3%66.4%2.2%-94.9K8.8M-16.1K1.3970.95N/AN/A1014680674