UYG Options History — October 2011

In October 2011, UYG traded between $5.60 and $8.38. ATM implied volatility averaged 79.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 12.6% (HV 20d: 91.5%). Max pain ranged from $6.50 to $7.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-10-27: Highest Volume — 42,858 contracts
  • 2011-10-04: Largest IV drop — 16.2% change
  • 2011-10-03: Highest IV Rank — 81.8%
  • 2011-10-03: Largest Expected Move — 34.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.98$5.60$8.38$5.60$7.81
Max Pain$6.82$6.50$7.50$7.17$7.50
ATM IV79.0%54.8%120.0%120.0%62.9%
Expected Move22.6%15.7%34.4%34.4%18.0%
HV 20d91.5%84.5%100.0%85.4%87.6%
HV 60d99.6%93.4%104.8%93.4%103.3%
IV Rank46.0%24.9%81.8%81.8%32.0%
IV Percentile86.1%76.2%99.2%99.2%76.6%
Term Structure-1.8%-12.0%1.7%-12.0%0.3%
VWIV82.6%55.5%125.1%125.1%63.8%
Skew 25d24.3%11.9%38.7%38.7%14.6%
Skew 10d49.8%28.8%66.5%66.5%32.7%
Call IV 25d67.5%48.6%101.7%101.7%57.1%
Put IV 25d91.8%60.5%140.4%140.4%71.7%
Bid-Ask Spread %31.9018.9140.9625.2231.20
Gamma HHI0.060.040.200.040.06
Net GEX251.1K-193.3K1.1M-149.3K360.6K
Net DEX22.0M-11.9M44.3M44.3M7.8M
Net VEX-276.5K-320.4K-223.4K-223.4K-298.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.493.571.831.39
Total Volume17,896.5715,56242,85830,3486,348
Total OI392,023.429316,266450,774355,554358,452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$5.60$7.17120.0%34.4%85.4%81.8%125.1%38.7%-12.0%-149.3K44.3M-223.4K1.8325.22N/AN/A10,71619,632181,206174,348
2011-10-04$6.04$7.17100.5%28.8%90.4%64.8%109.3%32.1%-1.6%-186.2K43.5M-246.8K1.9226.67N/AN/A12,11423,256184,512188,982
2011-10-05$6.17$7.0096.4%27.6%84.5%61.2%89.3%30.2%-2.9%-193.3K43.2M-259.3K1.3223.57N/AN/A7,0089,276190,692202,722
2011-10-06$6.54$7.0088.0%25.2%87.0%53.9%92.6%26.4%-0.8%-56.8K34.4M-285.7K1.1118.91N/AN/A9,22210,272192,546204,570
2011-10-07$6.12$6.5096.3%26.8%87.4%61.1%97.9%32.3%-4.2%-178.2K43.6M-258.8K1.3632.57N/AN/A4,7586,474196,812205,686
2011-10-10$6.70$6.5080.8%23.5%93.4%47.6%73.5%28.3%-1.9%53.3K31.9M-276.3K0.6330.03N/AN/A8,4605,370198,318204,462
2011-10-11$6.68$6.5082.5%23.7%93.3%49.1%93.2%28.5%-3.9%126.2K30.6M-275.1K0.6639.84N/AN/A3,3602,202204,240206,436
2011-10-12$6.98$6.5077.7%21.4%94.2%44.8%77.3%26.4%-2.3%346.6K19.5M-293.7K0.5931.10N/AN/A15,6249,258204,966207,006
2011-10-13$6.74$6.5079.8%22.9%93.3%46.8%80.5%26.5%-2.0%214.6K28.2M-277.5K2.6132.66N/AN/A3,97210,356210,606212,136
2011-10-14$6.91$6.5074.8%21.4%93.9%42.3%83.7%24.7%-1.5%367.4K22.0M-282.8K0.7334.43N/AN/A4,6923,438212,286218,256
2011-10-17$6.50$6.5080.1%23.0%94.8%47.0%90.9%23.4%-1.4%4.2K37.4M-247.5K3.5723.09N/AN/A2,6769,552215,064219,294
2011-10-18$7.08$6.5073.9%21.2%100.0%41.6%81.1%20.8%-1.6%679.0K14.4M-271.1K2.1338.53N/AN/A6,09012,990215,112222,540
2011-10-19$6.86$6.5078.4%22.5%93.4%45.5%85.2%22.8%-1.8%442.6K23.3M-266.2K1.2332.37N/AN/A6,8048,376216,840227,094
2011-10-20$7.06$6.6777.3%22.1%90.8%44.5%80.1%23.0%-1.3%715.3K16.1M-267.6K1.3735.06N/AN/A5,7847,938217,974230,208
2011-10-21$7.42$6.6773.1%21.0%91.8%40.9%74.0%23.5%-0.3%1.1M-3.5M-277.0K0.4934.01N/AN/A19,5789,648218,574232,200
2011-10-24$7.75$6.8363.9%18.3%90.2%32.8%73.1%20.8%1.2%237.1K11.3M-287.5K2.4938.99N/AN/A7,22418,012153,762162,504
2011-10-25$7.31$7.0072.3%20.7%93.2%40.1%79.3%22.2%-2.0%107.9K19.2M-291.1K2.7532.26N/AN/A2,3406,444158,004169,374
2011-10-26$7.54$7.1767.0%19.2%90.6%35.6%69.3%20.3%-0.2%158.4K16.8M-285.3K1.4440.96N/AN/A3,2104,626158,490172,494
2011-10-27$8.38$7.1757.9%16.6%95.8%27.6%59.1%12.0%0.7%460.2K-9.5M-320.4K0.5633.89N/AN/A27,55215,306159,936174,444
2011-10-28$8.36$7.3354.8%15.7%91.4%24.9%55.5%11.9%1.7%688.1K-11.9M-315.9K1.8834.59N/AN/A5,51410,356169,512179,832
2011-10-31$7.81$7.5062.9%18.0%87.6%32.0%63.8%14.6%0.3%360.6K7.8M-298.0K1.3931.20N/AN/A2,6523,696170,940187,512