UYG Options History — December 2011

In December 2011, UYG traded between $6.64 and $7.57. ATM implied volatility averaged 60.3%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 8.6% (HV 20d: 69.0%). Max pain ranged from $7.50 to $8.67. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-12-20: Highest Volume — 18,360 contracts
  • 2011-12-09: Largest IV drop — 23.4% change
  • 2011-12-08: Highest IV Rank — 47.3%
  • 2011-12-08: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.19$6.64$7.57$6.99$7.39
Max Pain$8.20$7.50$8.67$7.50$7.67
ATM IV60.3%46.4%80.5%66.2%51.1%
Expected Move17.0%13.3%21.4%19.0%14.7%
HV 20d69.0%54.0%76.2%76.1%54.0%
HV 60d81.9%75.5%85.1%84.5%75.5%
IV Rank29.7%17.5%47.3%34.8%21.7%
IV Percentile66.5%56.7%85.7%71.0%60.7%
Term Structure3.1%-3.2%6.5%1.0%5.4%
VWIV59.0%44.0%70.2%65.0%49.1%
Skew 25d13.1%9.4%17.9%14.9%10.4%
Skew 10d27.2%19.9%36.7%27.7%24.3%
Call IV 25d53.5%42.2%66.6%60.1%46.3%
Put IV 25d66.6%51.7%81.1%75.0%56.7%
Bid-Ask Spread %26.3211.2966.1749.3511.29
Gamma HHI0.070.050.210.060.08
Net GEX195.9K-183.5K569.9K179.7K245.1K
Net DEX24.0M13.0M40.7M29.5M15.4M
Net VEX-170.0K-206.5K-135.5K-189.3K-166.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.195.110.401.56
Total Volume8,941.4293,57618,3603,5764,590
Total OI294,810.571197,970363,060332,502241,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$6.99$7.5066.2%19.0%76.1%34.8%65.0%14.9%1.0%179.7K29.5M-189.3K0.4049.35N/AN/A2,5561,020165,192167,310
2011-12-02$7.14$7.5066.8%19.1%75.3%35.3%69.7%13.5%-0.3%277.5K25.0M-198.5K0.9818.90N/AN/A5,2685,178165,456167,718
2011-12-05$7.40$8.6770.3%19.2%76.2%38.4%66.7%17.3%-1.1%373.5K19.2M-200.1K0.7733.78N/AN/A5,8324,518167,316171,648
2011-12-06$7.40$8.6769.1%19.0%76.1%37.4%68.1%17.9%0.8%401.6K19.8M-197.7K1.3121.87N/AN/A4,9626,504168,462173,556
2011-12-07$7.56$8.6774.0%19.5%75.3%41.7%65.3%17.7%-0.3%542.2K13.0M-206.5K0.1919.65N/AN/A6,3721,242171,342174,420
2011-12-08$7.05$8.5080.5%21.4%69.4%47.3%68.4%14.5%-3.2%277.8K26.8M-190.4K0.7523.96N/AN/A2,9822,226174,276174,648
2011-12-09$7.35$8.3361.6%18.9%70.9%30.8%64.7%13.0%2.5%569.9K19.8M-187.4K1.0127.73N/AN/A4,1884,230175,356175,440
2011-12-12$7.03$8.3370.8%19.4%70.8%38.8%70.2%14.4%-0.2%268.2K31.1M-168.4K2.5628.62N/AN/A2,6706,846176,826176,520
2011-12-13$6.83$8.3370.0%18.9%70.3%38.2%62.9%14.4%2.0%10.5K38.1M-157.3K1.1824.56N/AN/A6,2227,344176,598179,238
2011-12-14$6.81$8.3365.3%18.9%70.1%34.1%66.6%14.9%3.0%-25.7K39.5M-152.9K5.1118.77N/AN/A2,39412,234178,044179,922
2011-12-15$6.84$8.3361.3%17.6%68.5%30.6%59.5%14.3%4.8%-74.7K40.7M-153.5K2.1527.63N/AN/A2,4665,292178,086183,642
2011-12-16$6.92$8.3356.4%16.2%67.0%26.3%57.1%13.0%6.5%366.6K38.5M-147.7K2.4222.66N/AN/A2,2265,376178,512184,548
2011-12-19$6.64$8.3359.2%17.0%68.7%28.7%59.7%12.0%5.4%-183.5K27.7M-135.5K1.1330.13N/AN/A4,5485,15489,436108,534
2011-12-20$7.13$8.3353.4%15.3%70.6%23.6%56.5%11.5%6.0%-128.7K23.3M-147.7K1.2527.54N/AN/A8,15410,20691,572112,722
2011-12-21$7.21$8.3350.0%14.3%70.2%20.7%49.6%10.0%5.0%-7.5K20.7M-153.1K0.8426.29N/AN/A3,8043,19898,232116,940
2011-12-22$7.47$8.1747.4%13.6%66.7%18.4%48.1%10.5%5.5%96.7K16.2M-161.9K0.8618.02N/AN/A6,7805,820100,608119,574
2011-12-23$7.57$8.0046.4%13.3%66.7%17.5%44.0%9.4%6.4%214.0K13.6M-166.2K0.3820.01N/AN/A7,2662,766105,084121,656
2011-12-27$7.50$8.0047.3%13.6%64.9%18.3%49.0%9.8%5.8%258.6K13.6M-165.2K0.5066.17N/AN/A2,4721,248109,332123,042
2011-12-28$7.27$8.0051.0%14.6%66.0%21.6%50.0%11.0%4.3%169.7K17.7M-160.5K0.8721.84N/AN/A2,0521,776110,448123,138
2011-12-29$7.48$7.8348.3%13.9%54.1%19.2%49.1%9.9%5.8%282.2K13.8M-163.8K0.7913.98N/AN/A4,3503,438111,288124,308
2011-12-30$7.39$7.6751.1%14.7%54.0%21.7%49.1%10.4%5.4%245.1K15.4M-166.1K1.5611.29N/AN/A1,7942,796113,796127,236