UYG Options History — May 2011

In May 2011, UYG traded between $10.65 and $11.78. ATM implied volatility averaged 31.8%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.1% (HV 20d: 21.7%). Max pain ranged from $10.83 to $11.33. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2011-05-26: Highest Volume — 24,336 contracts
  • 2011-05-12: Largest IV spike — 13.9% change
  • 2011-05-13: Highest IV Rank — 15.2%
  • 2011-05-13: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.20$10.65$11.78$11.71$11.20
Max Pain$11.17$10.83$11.33$11.33$10.83
ATM IV31.8%27.2%36.6%28.7%27.2%
Expected Move9.3%7.8%10.5%8.2%7.8%
HV 20d21.7%18.4%25.7%19.0%25.7%
HV 60d28.0%25.4%29.4%28.9%25.5%
IV Rank8.8%1.5%15.2%3.5%1.7%
IV Percentile7.7%0.8%19.0%2.4%0.8%
Term Structure3.7%1.7%6.8%2.4%3.3%
VWIV32.9%26.8%37.9%28.1%26.8%
Skew 25d5.5%3.8%6.6%3.8%6.4%
Skew 10d11.4%7.2%15.5%7.2%13.4%
Call IV 25d30.5%24.1%34.5%27.2%24.1%
Put IV 25d36.0%30.5%40.2%31.0%30.5%
Bid-Ask Spread %38.5815.3465.2515.7815.34
Gamma HHI0.080.050.290.080.08
Net GEX865.9K-3.1M3.4M3.1M655.5K
Net DEX-7.7M-65.4M32.3M-61.2M-4.8M
Net VEX-458.8K-538.3K-341.8K-529.6K-341.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.381.561.000.74
Total Volume14,217.7146,34224,3369,28814,688
Total OI374,831.143244,452427,530396,714244,452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$11.71$11.3328.7%8.2%19.0%3.5%28.1%3.8%2.4%3.1M-61.2M-529.6K1.0015.78N/AN/A4,6384,650198,540198,174
2011-05-03$11.78$11.3328.9%8.3%19.2%3.8%30.6%5.1%2.3%3.2M-65.4M-538.3K0.4824.91N/AN/A6,6363,180199,512200,130
2011-05-04$11.60$11.3330.8%8.8%20.0%6.6%31.2%3.8%2.7%2.5M-45.4M-522.8K0.5724.40N/AN/A7,1164,062197,268200,352
2011-05-05$11.35$11.3333.7%9.7%19.3%10.9%34.4%4.8%1.8%1.7M-19.6M-528.8K0.9823.07N/AN/A10,1109,954198,360202,350
2011-05-06$11.40$11.1733.2%10.3%19.3%10.1%36.8%5.9%2.6%1.9M-25.7M-527.8K0.7462.05N/AN/A5,8384,332200,148203,892
2011-05-09$11.39$11.1731.5%10.0%18.4%7.7%35.0%5.8%4.1%2.0M-23.0M-516.4K1.5059.36N/AN/A6,1929,270204,084204,144
2011-05-10$11.61$11.1727.4%9.3%19.8%1.5%33.1%5.1%4.9%3.4M-49.8M-512.0K0.6819.72N/AN/A7,8905,400206,616209,346
2011-05-11$11.32$11.1730.6%9.9%21.6%6.3%36.1%5.8%4.0%1.7M-15.6M-508.0K1.1765.25N/AN/A2,9283,414207,642211,248
2011-05-12$11.33$11.1734.8%10.0%21.2%12.6%35.7%6.3%4.4%1.5M-11.2M-500.3K0.8959.09N/AN/A6,4565,754207,864212,658
2011-05-13$11.02$11.1736.6%10.5%22.9%15.2%36.4%5.4%3.9%-167.5K18.9M-480.5K1.5628.15N/AN/A5,3948,424206,646212,940
2011-05-16$11.01$11.1736.2%10.4%22.8%14.6%37.2%6.0%4.4%-605.5K23.8M-463.1K1.0362.38N/AN/A5,8626,024206,670217,146
2011-05-17$11.13$11.1735.7%10.2%21.3%13.8%37.9%6.6%4.1%-255.9K13.4M-454.3K1.0037.73N/AN/A4,0384,026208,944218,586
2011-05-18$11.24$11.1732.7%9.4%21.5%9.5%33.9%5.9%6.2%726.7K-3.8M-438.0K1.0024.67N/AN/A5,1365,124209,886216,786
2011-05-19$11.27$11.1730.6%8.8%21.3%6.3%30.0%5.3%6.8%1.4M-9.1M-420.0K0.4123.59N/AN/A16,9506,930208,218211,692
2011-05-20$10.97$11.1731.6%9.0%23.0%10.2%32.2%5.8%6.3%-3.1M32.3M-397.9K0.6919.85N/AN/A8,5925,886211,350214,146
2011-05-23$10.67$11.1733.8%9.7%24.7%14.6%32.8%6.5%1.9%-615.9K22.7M-380.5K0.3847.48N/AN/A12,5584,740119,328149,796
2011-05-24$10.65$11.1733.4%9.6%24.0%13.7%32.8%4.9%1.7%-469.1K22.7M-383.5K0.4849.49N/AN/A15,1087,272127,326151,842
2011-05-25$10.67$11.1732.8%9.4%23.3%12.5%32.5%5.3%2.1%-482.2K22.5M-390.8K0.9264.57N/AN/A7,4706,870128,466156,594
2011-05-26$10.80$11.1729.3%8.4%23.2%5.8%28.8%5.1%4.0%-304.1K15.5M-395.3K1.5028.59N/AN/A9,74414,592132,984159,546
2011-05-27$10.97$11.0028.1%8.1%24.3%3.5%28.1%5.1%3.9%430.1K1.6M-404.3K0.8754.70N/AN/A8,1847,140138,882156,900
2011-05-31$11.20$10.8327.2%7.8%25.7%1.7%26.8%6.4%3.3%655.5K-4.8M-341.8K0.7415.34N/AN/A8,4606,228108,576135,876