UYG Options History — February 2011

In February 2011, UYG traded between $11.74 and $12.63. ATM implied volatility averaged 35.9%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.7% (HV 20d: 31.2%). Max pain ranged from $10.50 to $11.67. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-02-23: Highest Volume — 64,656 contracts
  • 2011-02-22: Largest IV spike — 27.0% change
  • 2011-02-23: Highest IV Rank — 18.5%
  • 2011-02-23: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.17$11.74$12.63$11.97$12.17
Max Pain$11.10$10.50$11.67$11.17$11.67
ATM IV35.9%31.9%43.4%33.8%36.9%
Expected Move10.4%9.4%12.4%9.7%10.6%
HV 20d31.2%25.2%34.0%32.6%31.0%
HV 60d31.1%28.7%34.0%34.0%29.7%
IV Rank6.0%0.0%18.5%1.5%8.0%
IV Percentile13.0%0.0%42.9%2.8%17.1%
Term Structure2.7%0.3%5.2%1.9%1.6%
VWIV37.9%33.9%44.4%34.8%38.8%
Skew 25d6.2%4.9%7.9%5.3%6.6%
Skew 10d15.3%12.3%18.6%14.1%15.5%
Call IV 25d34.0%30.8%40.6%31.9%34.1%
Put IV 25d40.2%36.8%48.3%37.2%40.7%
Bid-Ask Spread %41.0621.4364.0059.8546.39
Gamma HHI0.090.060.220.080.07
Net GEX2.6M695.1K4.3M2.0M1.3M
Net DEX-97.8M-152.4M-38.3M-87.7M-69.1M
Net VEX-489.4K-540.6K-441.6K-521.8K-523.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.602.810.602.27
Total Volume26,525.0537,82464,65636,52236,372
Total OI381,308.842303,522434,880367,050365,754

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$11.97$11.1733.8%9.7%32.6%1.5%34.8%5.3%1.9%2.0M-87.7M-521.8K0.6059.85N/AN/A22,79413,728181,122185,928
2011-02-02$11.83$11.1734.9%10.0%32.9%3.4%36.1%5.2%2.2%1.9M-77.3M-522.0K1.1564.00N/AN/A5,9946,906183,564190,098
2011-02-03$11.83$11.1734.6%9.9%32.2%2.9%37.4%4.9%2.7%1.8M-75.5M-522.9K2.8123.92N/AN/A2,0525,772184,494193,098
2011-02-04$11.84$10.5033.9%10.6%31.9%1.8%40.9%6.9%2.0%1.9M-74.9M-508.7K0.9845.93N/AN/A4,8124,704183,870191,820
2011-02-07$12.15$10.5032.9%10.1%32.4%0.2%37.0%5.9%2.7%2.9M-105.7M-474.9K0.7421.43N/AN/A15,13211,166186,372192,564
2011-02-08$12.30$10.5031.9%9.9%32.4%0.0%35.7%5.8%3.1%3.0M-113.5M-478.0K0.8024.97N/AN/A11,1068,880186,606194,442
2011-02-09$12.17$10.6733.3%10.1%32.7%2.2%37.5%5.2%2.3%3.0M-103.4M-476.0K0.8537.88N/AN/A11,97610,152189,990196,188
2011-02-10$12.16$10.8336.5%10.5%31.4%7.5%37.6%6.0%2.8%3.1M-105.2M-480.7K0.7145.40N/AN/A11,1607,956193,884200,238
2011-02-11$12.48$10.8335.1%10.1%32.3%5.2%36.5%6.4%3.8%4.0M-135.8M-467.8K0.7222.21N/AN/A21,39015,330197,220201,330
2011-02-14$12.49$11.0035.6%10.2%30.8%5.9%37.1%6.3%3.7%4.1M-137.3M-448.7K0.6123.37N/AN/A13,1467,974198,954207,900
2011-02-15$12.45$11.0034.1%9.8%30.6%3.5%35.6%6.3%4.2%4.2M-133.4M-466.5K1.5047.95N/AN/A5,3948,118204,006212,250
2011-02-16$12.59$11.0032.6%9.4%25.3%1.2%33.9%5.8%5.2%4.3M-148.5M-441.6K1.0851.42N/AN/A9,1149,876205,650212,694
2011-02-17$12.58$11.1734.4%9.8%25.4%3.9%37.1%6.1%4.4%3.8M-147.3M-453.3K1.1944.22N/AN/A8,1609,732207,726218,634
2011-02-18$12.63$11.1733.7%9.7%25.2%2.9%34.3%6.3%5.0%3.8M-152.4M-456.6K0.7539.51N/AN/A15,48611,586209,748225,132
2011-02-22$11.96$11.5042.9%12.3%32.8%17.7%44.1%7.5%0.7%1.0M-51.8M-473.2K1.7345.08N/AN/A21,90637,992148,158155,364
2011-02-23$11.81$11.6743.4%12.4%33.1%18.5%44.4%7.9%0.3%695.1K-40.6M-510.9K1.1845.48N/AN/A29,63435,022158,610170,328
2011-02-24$11.74$11.6742.7%12.2%33.2%17.4%43.2%7.4%0.9%770.7K-38.3M-530.7K1.2148.74N/AN/A13,35016,134169,302182,634
2011-02-25$12.05$11.6738.3%11.0%34.0%10.3%38.9%6.8%2.2%1.2M-61.1M-540.6K0.8242.45N/AN/A13,20010,770174,018185,178
2011-02-28$12.17$11.6736.9%10.6%31.0%8.0%38.8%6.6%1.6%1.3M-69.1M-523.1K2.2746.39N/AN/A11,11825,254175,860189,894