UYG Options History — November 2011

In November 2011, UYG traded between $6.01 and $7.94. ATM implied volatility averaged 74.3%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 11.1% (HV 20d: 85.4%). Max pain ranged from $7.50 to $8.17. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2011-11-30: Highest Volume — 24,018 contracts
  • 2011-11-09: Largest IV spike — 46.4% change
  • 2011-11-09: Highest IV Rank — 51.1%
  • 2011-11-17: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.01$6.01$7.94$7.13$7.08
Max Pain$7.94$7.50$8.17$7.50$7.67
ATM IV74.3%57.9%84.8%81.6%65.5%
Expected Move21.4%18.1%24.0%23.4%18.8%
HV 20d85.4%71.1%93.5%92.4%78.3%
HV 60d86.2%83.4%95.7%95.7%86.3%
IV Rank41.9%27.6%51.1%48.3%34.2%
IV Percentile81.6%70.2%89.7%88.1%70.2%
Term Structure0.1%-4.0%3.8%-4.0%3.1%
VWIV74.6%58.7%90.3%83.4%63.9%
Skew 25d19.2%13.6%25.6%22.9%15.7%
Skew 10d42.5%25.7%69.9%48.5%29.7%
Call IV 25d66.1%55.7%77.7%73.2%58.5%
Put IV 25d85.2%73.1%96.1%96.1%74.2%
Bid-Ask Spread %30.2116.3662.6930.6462.69
Gamma HHI0.070.050.240.050.05
Net GEX-58.7K-963.2K697.6K-12.7K156.2K
Net DEX28.7M-259.2K44.2M26.9M28.8M
Net VEX-234.6K-310.7K-160.7K-283.3K-184.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.161.900.560.60
Total Volume9,658.2861,81824,01821,37224,018
Total OI362,120.286308,250402,012360,282326,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$7.13$7.5081.6%23.4%92.4%48.3%83.4%22.9%-4.0%-12.7K26.9M-283.3K0.5630.64N/AN/A13,6807,692171,024189,258
2011-11-02$7.50$7.5073.8%21.1%93.5%41.4%70.4%20.0%-1.4%248.7K15.2M-300.5K0.6330.47N/AN/A5,9463,762178,590192,834
2011-11-03$7.77$7.5067.2%19.3%92.3%35.7%68.8%19.0%1.6%396.7K6.7M-310.7K0.9740.65N/AN/A5,1484,980179,778194,196
2011-11-04$7.59$8.1768.3%20.1%88.9%36.6%70.8%22.5%-0.9%289.7K13.4M-307.6K1.2516.36N/AN/A2,4423,048181,134195,636
2011-11-07$7.66$8.1766.9%19.6%83.7%35.4%87.3%20.3%-1.0%356.6K11.7M-295.3K1.2217.47N/AN/A1,2541,530182,250196,722
2011-11-08$7.94$8.1757.9%18.1%84.3%27.6%58.7%17.4%0.6%697.6K-259.2K-296.4K1.9031.65N/AN/A4,0207,626182,496197,232
2011-11-09$7.13$8.1784.8%23.4%92.6%51.1%90.3%25.6%-3.3%-106.1K28.5M-268.9K0.8523.39N/AN/A5,2684,482181,824202,458
2011-11-10$7.21$8.1776.3%21.9%91.6%43.7%75.0%23.6%-0.8%-84.8K27.0M-270.1K0.4259.01N/AN/A4,8902,058182,922203,574
2011-11-11$7.53$8.1769.8%20.0%92.5%38.0%68.3%21.2%-0.4%200.5K17.3M-271.6K0.4260.36N/AN/A4,2241,776183,882204,438
2011-11-14$7.24$8.1774.7%21.4%90.6%42.3%69.2%22.0%0.4%-124.0K27.8M-247.5K0.3923.57N/AN/A4,5661,788185,628205,554
2011-11-15$7.32$8.1771.1%20.4%85.5%39.1%69.1%19.4%0.4%-97.1K24.6M-246.7K0.1620.72N/AN/A7,6861,206185,964205,080
2011-11-16$7.01$8.1775.1%21.5%86.3%42.6%74.5%19.8%0.0%-342.1K35.1M-224.2K0.5017.87N/AN/A9,5584,752191,706205,176
2011-11-17$6.72$8.1783.9%24.0%86.8%50.3%78.9%23.2%-3.1%-751.7K44.1M-212.3K0.8216.74N/AN/A8,3886,888190,416206,952
2011-11-18$6.79$8.0074.0%21.2%84.8%41.6%71.1%19.7%3.8%-963.2K43.1M-203.1K0.7819.66N/AN/A6,9305,376193,716208,296
2011-11-21$6.47$8.0076.8%22.0%84.3%44.1%76.5%18.0%1.9%-140.9K40.1M-180.2K0.6731.84N/AN/A3,9482,658151,056157,194
2011-11-22$6.36$8.0073.9%21.2%82.3%41.6%75.4%15.4%2.8%-172.7K41.3M-171.1K0.3716.55N/AN/A4,1761,554152,496157,620
2011-11-23$6.01$7.8383.9%24.0%82.8%50.2%86.8%14.2%-1.9%-209.8K44.0M-161.8K1.3517.73N/AN/A5,0826,870154,530158,478
2011-11-25$6.06$7.8383.0%23.8%71.1%49.5%79.2%14.8%0.4%-233.1K44.2M-161.1K0.5917.03N/AN/A2,9761,758155,856163,236
2011-11-28$6.40$7.6777.4%22.2%75.5%44.6%75.2%13.8%-0.5%-158.9K40.7M-169.7K0.3762.67N/AN/A5,1241,878158,202164,118
2011-11-29$6.34$7.6775.0%21.5%72.7%42.5%74.7%13.6%3.5%-181.5K42.3M-160.7K0.4117.37N/AN/A1,290528160,950165,330
2011-11-30$7.08$7.6765.5%18.8%78.3%34.2%63.9%15.7%3.1%156.2K28.8M-184.8K0.6062.69N/AN/A15,0368,982161,484165,240