UYG Options History — September 2011

In September 2011, UYG traded between $6.00 and $7.58. ATM implied volatility averaged 84.9%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded below realized volatility by 1.6% (HV 20d: 86.6%). Max pain ranged from $7.17 to $8.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2011-09-12: Highest Volume — 35,358 contracts
  • 2011-09-21: Largest IV spike — 32.8% change
  • 2011-09-09: Highest IV Rank — 68.9%
  • 2011-09-30: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.82$6.00$7.58$7.58$6.15
Max Pain$7.42$7.17$8.00$8.00$7.17
ATM IV84.9%65.1%105.2%65.1%100.7%
Expected Move23.9%18.7%28.9%18.7%28.9%
HV 20d86.6%72.1%130.2%127.9%83.6%
HV 60d87.2%81.7%91.8%81.7%91.8%
IV Rank51.2%33.8%68.9%33.8%65.0%
IV Percentile94.7%89.3%99.2%92.5%98.4%
Term Structure-2.9%-14.2%2.4%2.4%-1.0%
VWIV82.6%67.6%103.3%72.5%99.5%
Skew 25d27.4%14.3%38.0%14.3%35.9%
Skew 10d55.2%31.9%76.4%31.9%66.1%
Call IV 25d70.5%57.9%84.7%58.9%84.7%
Put IV 25d97.9%73.1%121.2%73.1%120.6%
Bid-Ask Spread %29.8217.2553.0053.0017.25
Gamma HHI0.070.040.440.050.04
Net GEX255.2K-243.9K2.1M698.8K-71.1K
Net DEX40.4M24.5M58.4M24.5M38.1M
Net VEX-301.2K-388.6K-240.2K-388.6K-260.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.143.973.972.03
Total Volume16,862.2865,02235,35825,5605,598
Total OI422,208289,014545,472468,450352,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$7.58$8.0065.1%18.7%127.9%33.8%72.5%14.3%2.4%698.8K24.5M-388.6K3.9753.00N/AN/A5,14220,418235,380233,070
2011-09-02$7.00$8.0077.0%22.1%130.2%44.3%74.8%23.3%1.1%196.4K49.9M-335.0K3.1951.17N/AN/A4,59614,664236,550238,728
2011-09-06$6.80$7.5090.7%24.2%107.1%56.3%82.4%30.6%-6.9%3.1K58.4M-308.6K0.5326.29N/AN/A22,25411,796236,838245,958
2011-09-07$7.41$7.3375.0%20.9%99.4%42.6%71.7%25.7%-2.4%751.0K33.9M-352.8K0.3921.55N/AN/A10,0983,924249,474252,546
2011-09-08$7.13$7.3381.8%22.4%88.2%48.4%80.9%24.0%-5.1%454.3K43.8M-337.8K1.3920.34N/AN/A4,0145,562252,264253,020
2011-09-09$6.70$7.33105.2%26.7%82.4%68.9%103.3%28.1%-9.2%71.3K57.8M-307.6K2.0223.26N/AN/A7,72215,588253,470255,612
2011-09-12$6.83$7.3396.8%25.1%82.7%61.5%87.1%30.8%-5.0%97.1K57.0M-310.9K1.2128.65N/AN/A15,96619,392256,218265,056
2011-09-13$6.91$7.3384.9%23.7%79.5%51.2%84.2%26.5%-3.6%202.5K54.2M-314.1K3.8025.12N/AN/A3,84614,610262,002272,358
2011-09-14$7.09$7.3372.2%22.1%79.5%40.1%77.1%22.4%-2.0%454.0K48.7M-315.3K0.7327.20N/AN/A10,0627,374262,266273,678
2011-09-15$7.42$7.5070.1%20.1%81.3%38.2%67.6%23.6%1.1%1.4M35.7M-318.5K0.8037.66N/AN/A10,5308,406265,494272,226
2011-09-16$7.44$7.6766.1%18.9%72.1%34.7%69.8%23.0%0.7%2.1M34.5M-308.5K1.5727.96N/AN/A8,42413,260269,598275,874
2011-09-19$7.08$7.5076.5%21.9%73.2%43.8%80.0%22.9%-0.1%-80.5K28.0M-294.6K1.9624.61N/AN/A5,26810,320137,772151,242
2011-09-20$7.05$7.3374.6%21.4%72.7%42.2%73.5%22.9%-2.5%-95.2K28.3M-299.3K0.5129.95N/AN/A3,7981,938141,486157,500
2011-09-21$6.37$7.3399.1%28.4%78.6%63.6%89.3%25.4%-14.2%-202.6K38.5M-250.9K1.8627.49N/AN/A4,3148,016143,718158,868
2011-09-22$6.00$7.3399.3%28.5%78.4%63.7%100.6%38.0%2.0%-243.9K43.7M-240.2K0.3832.78N/AN/A22,0928,364146,010165,000
2011-09-23$6.13$7.3397.9%28.1%79.0%62.5%95.9%31.5%-8.6%-169.7K40.0M-258.8K0.3028.73N/AN/A6,4441,932162,204166,884
2011-09-26$6.56$7.3386.7%24.8%82.9%52.7%83.8%37.1%-1.2%-87.3K34.1M-279.3K0.4522.85N/AN/A5,8082,592165,900167,574
2011-09-27$6.64$7.3382.8%23.8%77.7%49.4%76.3%26.3%-3.9%-54.7K30.2M-289.3K0.5144.66N/AN/A12,6666,396168,126168,948
2011-09-28$6.27$7.3393.2%26.7%79.7%58.4%86.6%33.3%-3.4%-100.2K37.8M-268.1K0.2325.35N/AN/A4,8001,092173,976171,870
2011-09-29$6.58$7.1788.1%25.3%81.8%54.0%76.9%30.1%0.5%-1.1K31.7M-286.3K0.1430.35N/AN/A4,398624177,570171,612
2011-09-30$6.15$7.17100.7%28.9%83.6%65.0%99.5%35.9%-1.0%-71.1K38.1M-260.3K2.0317.25N/AN/A1,8483,750180,558171,870