UYG Options History — April 2011

In April 2011, UYG traded between $11.10 and $12.08. ATM implied volatility averaged 32.0%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.6% (HV 20d: 22.4%). Max pain ranged from $11.17 to $11.67. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2011-04-08: Highest Volume — 46,590 contracts
  • 2011-04-07: Largest IV spike — 15.0% change
  • 2011-04-11: Highest IV Rank — 15.1%
  • 2011-04-08: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.60$11.10$12.08$11.81$11.78
Max Pain$11.47$11.17$11.67$11.50$11.33
ATM IV32.0%26.3%39.6%32.9%26.4%
Expected Move9.3%7.5%10.8%9.4%7.6%
HV 20d22.4%17.4%31.5%31.5%19.5%
HV 60d31.1%28.9%32.5%32.4%28.9%
IV Rank4.2%0.0%15.1%1.5%0.1%
IV Percentile5.1%0.0%27.8%0.8%0.4%
Term Structure2.3%0.5%3.7%1.6%3.1%
VWIV33.1%26.4%38.3%32.5%28.5%
Skew 25d5.8%3.9%7.2%5.5%4.2%
Skew 10d11.8%8.1%16.1%11.0%9.2%
Call IV 25d30.1%24.7%34.1%30.7%25.0%
Put IV 25d35.9%28.7%41.3%36.2%29.3%
Bid-Ask Spread %20.6514.0439.7239.7223.65
Gamma HHI0.080.060.120.060.08
Net GEX1.3M-1.5M3.2M1.0M3.2M
Net DEX-25.5M-68.9M21.8M-36.3M-66.9M
Net VEX-538.9K-567.2K-509.3K-526.2K-538.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.333.230.740.82
Total Volume23,103.65,52046,59039,8886,798
Total OI390,266.7299,202469,830347,802394,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$11.81$11.5032.9%9.4%31.5%1.5%32.5%5.5%1.6%1.0M-36.3M-526.2K0.7439.72N/AN/A22,89016,998157,254190,548
2011-04-04$11.82$11.6733.3%10.1%30.9%2.2%35.0%7.0%1.3%1.7M-39.9M-538.9K1.0714.50N/AN/A8,5509,126172,854202,188
2011-04-05$11.82$11.6732.7%9.8%27.7%1.3%38.1%6.6%1.4%1.8M-40.9M-544.8K3.2324.68N/AN/A1,9446,282178,824207,258
2011-04-06$12.08$11.6730.0%9.6%28.9%0.0%34.6%7.1%1.9%2.7M-65.7M-521.5K2.4719.55N/AN/A5,33413,188179,316209,640
2011-04-07$11.96$11.6734.5%10.3%25.1%7.1%35.6%6.9%0.5%2.0M-52.3M-551.4K1.1724.91N/AN/A12,74414,850182,904217,836
2011-04-08$11.75$11.6735.6%10.8%25.8%8.7%37.6%7.2%1.3%1.5M-32.3M-560.2K0.9426.46N/AN/A24,06022,530188,070222,498
2011-04-11$11.74$11.6739.6%10.8%25.0%15.1%38.3%7.2%1.4%2.3M-28.3M-567.2K0.6215.15N/AN/A12,3067,632203,652235,914
2011-04-12$11.65$11.6737.5%10.5%23.6%11.8%36.6%7.2%1.2%1.7M-14.3M-563.1K1.6816.23N/AN/A10,18217,118209,946239,376
2011-04-13$11.49$11.6734.4%10.5%19.9%6.8%37.2%7.0%1.5%614.7K1.8M-529.6K0.7119.63N/AN/A18,80413,278208,410246,240
2011-04-14$11.36$11.6735.8%10.3%19.2%9.1%36.3%6.6%2.1%-1.5M21.8M-523.3K0.8415.77N/AN/A13,96211,736213,444252,696
2011-04-15$11.40$11.6734.8%10.0%17.4%7.4%34.8%6.1%3.0%818.5K11.8M-517.2K1.1614.96N/AN/A12,88814,952216,882252,948
2011-04-18$11.10$11.5035.4%10.2%19.0%8.5%36.4%6.5%2.8%-490.7K14.4M-509.3K1.0318.91N/AN/A19,30819,914130,356168,846
2011-04-19$11.17$11.3331.9%9.1%18.9%2.9%32.2%5.3%3.3%-335.1K7.7M-527.6K0.3317.64N/AN/A19,9866,504143,736179,952
2011-04-20$11.26$11.3329.3%8.4%19.0%0.0%29.7%4.9%3.7%352.3K-5.5M-550.2K0.4818.88N/AN/A19,2189,312159,810183,456
2011-04-21$11.38$11.1727.3%7.8%19.0%0.0%29.0%4.5%3.7%1.0M-19.2M-558.3K1.5414.04N/AN/A5,7968,928172,362187,392
2011-04-25$11.37$11.1728.3%8.1%19.0%1.5%29.4%3.9%3.4%1.1M-19.0M-543.2K0.6921.95N/AN/A3,2702,250174,672192,060
2011-04-26$11.51$11.1727.7%7.9%19.4%0.6%27.5%4.2%2.6%1.5M-32.2M-533.2K0.3817.28N/AN/A7,5242,850176,844192,660
2011-04-27$11.66$11.1727.2%7.8%19.9%0.0%27.2%4.2%2.8%1.7M-44.9M-542.3K0.4625.81N/AN/A14,7246,744180,288194,244
2011-04-28$11.82$11.1726.3%7.5%19.5%0.0%26.4%4.0%2.7%2.9M-68.9M-532.1K0.5223.36N/AN/A11,5686,024189,342196,140
2011-04-29$11.78$11.3326.4%7.6%19.5%0.1%28.5%4.2%3.1%3.2M-66.9M-538.2K0.8223.65N/AN/A3,7383,060196,932197,544