UYG Options History — July 2011

In July 2011, UYG traded between $9.75 and $11.06. ATM implied volatility averaged 40.2%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 1.9% (HV 20d: 38.3%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-07-11: Highest Volume — 30,894 contracts
  • 2011-07-11: Largest IV spike — 54.6% change
  • 2011-07-29: Highest IV Rank — 90.3%
  • 2011-07-29: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.34$9.75$11.06$10.94$9.85
Max Pain$10.30$10.00$10.50$10.00$10.33
ATM IV40.2%29.1%53.8%29.1%53.8%
Expected Move11.5%8.3%15.4%8.3%15.4%
HV 20d38.3%33.7%43.8%36.3%40.2%
HV 60d33.4%30.6%36.1%30.7%36.0%
IV Rank42.7%7.3%90.3%7.3%90.3%
IV Percentile47.7%4.4%96.0%4.4%96.0%
Term Structure0.5%-3.6%2.8%2.8%-3.6%
VWIV40.7%31.7%57.0%31.7%57.0%
Skew 25d8.7%7.4%11.4%8.4%11.4%
Skew 10d18.8%15.0%22.4%19.3%22.4%
Call IV 25d36.3%26.0%48.8%26.0%48.8%
Put IV 25d45.0%34.4%60.2%34.4%60.2%
Bid-Ask Spread %18.9314.9124.4217.9517.97
Gamma HHI0.060.040.110.080.05
Net GEX349.1K-615.5K2.0M1.2M-314.7K
Net DEX2.2M-39.7M28.3M-28.4M21.4M
Net VEX-403.6K-427.1K-358.9K-414.4K-414.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.272.490.831.35
Total Volume15,465.34,53630,89420,58619,626
Total OI280,122.9232,044318,630267,912289,296

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$10.94$10.0029.1%8.3%36.3%7.3%31.7%8.4%2.8%1.2M-28.4M-414.4K0.8317.95N/AN/A11,2569,330124,356143,556
2011-07-05$10.80$10.1732.1%9.7%33.8%15.2%33.5%8.3%1.4%1.3M-22.9M-411.9K0.8022.48N/AN/A9,2767,452129,816147,522
2011-07-06$10.75$10.1734.4%10.6%33.9%21.4%36.8%8.3%1.4%1.3M-19.1M-413.3K0.9523.73N/AN/A5,6105,322134,574151,032
2011-07-07$11.06$10.1731.1%9.5%33.7%12.5%33.8%7.9%1.5%2.0M-39.7M-416.4K0.5518.18N/AN/A11,6526,432136,170152,316
2011-07-08$10.81$10.3329.3%9.6%34.9%7.7%33.7%7.6%2.0%1.7M-23.2M-415.0K0.4923.01N/AN/A4,0081,962140,544154,878
2011-07-11$10.23$10.3345.2%11.9%40.0%49.8%42.0%9.5%0.1%334.1K10.3M-392.7K1.3416.23N/AN/A13,18817,706142,206155,310
2011-07-12$10.19$10.3347.2%12.3%39.6%55.2%40.8%9.3%-0.2%90.5K13.4M-401.7K0.3314.91N/AN/A8,2622,742145,194164,460
2011-07-13$10.22$10.3344.6%12.1%39.3%48.3%42.8%8.8%0.1%141.9K12.0M-395.7K0.8215.19N/AN/A2,4962,040147,126164,742
2011-07-14$10.04$10.3343.8%12.6%36.9%56.6%43.8%9.6%-0.4%-389.6K21.7M-386.1K0.8020.18N/AN/A7,6566,156147,840165,444
2011-07-15$10.03$10.3341.1%11.8%36.8%47.8%39.7%9.3%1.1%-141.0K24.5M-373.9K2.4919.19N/AN/A8,32220,712150,492168,138
2011-07-18$9.75$10.5041.6%11.9%37.7%50.3%43.1%9.6%1.0%-615.5K28.3M-358.9K1.0718.33N/AN/A12,16813,00897,056134,988
2011-07-19$10.02$10.3339.6%11.4%39.0%43.8%39.1%8.3%1.2%-401.7K19.6M-378.5K0.3220.54N/AN/A9,2102,910103,314138,036
2011-07-20$10.20$10.3339.1%11.2%38.5%42.0%37.0%8.4%0.7%-198.7K10.6M-389.9K0.2724.42N/AN/A9,1082,484107,868138,822
2011-07-21$10.62$10.3337.0%10.6%40.8%35.2%36.5%7.8%1.4%224.8K-6.5M-412.3K0.2917.75N/AN/A20,1725,868112,560139,578
2011-07-22$10.60$10.3336.1%10.3%40.0%32.1%38.1%7.4%1.9%551.1K-9.7M-425.3K0.9414.97N/AN/A4,3084,038124,920142,002
2011-07-25$10.42$10.3340.1%11.5%40.3%45.2%42.0%7.9%1.1%348.7K-3.4M-427.1K1.1417.28N/AN/A2,9823,408126,822144,288
2011-07-26$10.42$10.3340.7%11.7%39.9%47.2%43.9%7.5%0.0%344.6K-2.3M-424.6K1.3518.45N/AN/A4,9086,606127,728145,668
2011-07-27$9.92$10.3348.1%13.8%43.8%71.7%48.1%9.2%-1.6%-178.3K17.5M-408.8K1.5619.36N/AN/A5,6348,808129,180150,012
2011-07-28$9.92$10.3349.3%14.1%40.2%75.4%50.7%10.2%-2.5%-301.4K19.6M-410.4K0.8618.58N/AN/A6,7145,766129,498155,106
2011-07-29$9.85$10.3353.8%15.4%40.2%90.3%57.0%11.4%-3.6%-314.7K21.4M-414.2K1.3517.97N/AN/A8,36411,262131,070158,226