UYG Options History — January 2012

In January 2012, UYG traded between $7.65 and $8.60. ATM implied volatility averaged 42.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.3% (HV 20d: 39.5%). Max pain ranged from $7.50 to $8.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2012-01-19: Highest Volume — 21,012 contracts
  • 2012-01-12: Largest IV spike — 21.5% change
  • 2012-01-03: Highest IV Rank — 21.5%
  • 2012-01-03: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.22$7.65$8.60$7.72$8.46
Max Pain$7.85$7.50$8.33$7.67$8.33
ATM IV42.8%37.1%50.9%50.9%39.9%
Expected Move12.7%10.6%14.6%14.6%11.4%
HV 20d39.5%25.9%55.4%55.4%25.9%
HV 60d66.5%55.3%75.0%75.0%55.3%
IV Rank14.4%9.4%21.5%21.5%11.9%
IV Percentile45.1%30.2%59.9%59.9%39.3%
Term Structure2.4%0.1%5.4%3.6%2.2%
VWIV45.2%35.9%52.5%52.5%40.0%
Skew 25d9.9%6.8%12.4%11.2%6.8%
Skew 10d20.4%14.0%26.8%22.9%14.0%
Call IV 25d39.7%33.0%45.9%45.9%36.8%
Put IV 25d49.6%41.6%57.6%57.1%43.6%
Bid-Ask Spread %25.8813.2437.7222.3531.76
Gamma HHI0.090.060.230.090.06
Net GEX605.6K216.7K1.0M407.1K256.3K
Net DEX-6.2M-22.8M8.9M7.7M-5.9M
Net VEX-159.1K-166.0K-145.5K-165.7K-163.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.432.400.590.76
Total Volume9,145.52,57421,01215,4082,922
Total OI224,354.4140,064283,386242,412167,994

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$7.72$7.6750.9%14.6%55.4%21.5%52.5%11.2%3.6%407.1K7.7M-165.7K0.5922.35N/AN/A9,6605,748113,712128,700
2012-01-04$7.65$7.6748.0%13.8%54.3%19.0%52.5%10.1%5.4%472.1K8.9M-166.0K2.4020.52N/AN/A7561,818118,920131,250
2012-01-05$7.83$7.8346.4%13.3%54.8%17.6%50.3%8.6%5.3%548.7K4.0M-164.9K1.4121.20N/AN/A3,3904,764117,912131,538
2012-01-06$7.75$7.5043.5%14.4%54.6%15.0%50.3%12.4%1.6%531.8K6.5M-162.5K0.7127.21N/AN/A2,3641,686119,376133,578
2012-01-09$7.82$7.5043.1%14.2%47.5%14.7%50.5%11.7%1.1%624.2K4.3M-155.9K1.6733.37N/AN/A1,8003,006119,904134,352
2012-01-10$8.09$7.5040.6%13.6%46.8%12.4%47.4%11.1%1.6%768.7K-5.0M-154.5K0.5636.74N/AN/A6,9363,894120,600135,072
2012-01-11$8.21$7.5039.8%13.6%43.1%11.7%45.4%11.0%1.7%875.7K-10.3M-157.2K0.6837.72N/AN/A3,0782,082123,756135,948
2012-01-12$8.27$7.6748.3%13.9%40.9%19.2%49.2%11.7%0.1%920.6K-12.7M-158.7K1.6928.81N/AN/A4,1226,972125,334135,864
2012-01-13$8.16$7.6749.2%14.1%41.4%19.9%50.3%11.9%1.3%892.4K-8.9M-161.3K0.7237.48N/AN/A3,3422,400127,374139,260
2012-01-17$8.08$7.6749.6%14.2%41.9%20.3%46.8%12.4%1.5%1.0M-5.6M-145.5K1.1834.87N/AN/A7,2368,544129,102140,622
2012-01-18$8.29$7.8345.0%12.9%42.3%16.3%45.2%11.6%2.3%967.8K-14.0M-151.4K1.0225.43N/AN/A7,6687,830133,776144,786
2012-01-19$8.43$7.8342.0%12.0%37.9%13.7%42.9%10.3%2.2%1.0M-22.8M-153.3K1.4232.10N/AN/A8,68812,324136,512146,874
2012-01-20$8.51$8.0038.0%10.9%30.9%10.2%39.2%9.4%3.2%738.9K-22.4M-155.5K0.4324.18N/AN/A8,1603,540129,840151,434
2012-01-23$8.56$8.0037.2%10.7%30.9%9.5%37.2%8.6%3.5%364.3K-8.9M-155.8K1.1518.96N/AN/A4,0924,69265,07074,994
2012-01-24$8.56$8.1737.4%10.7%29.4%9.7%35.9%8.2%3.0%356.1K-8.6M-158.0K0.6718.64N/AN/A4,2902,88067,14677,892
2012-01-25$8.60$8.1737.1%10.6%29.3%9.4%42.2%8.2%2.0%416.2K-10.4M-160.7K2.1614.16N/AN/A2,5265,46668,88079,278
2012-01-26$8.49$8.1739.3%11.3%29.6%11.3%41.2%7.6%1.8%344.6K-7.2M-163.1K1.3113.24N/AN/A4,2605,59870,66283,796
2012-01-27$8.54$8.1739.3%11.3%26.3%11.3%43.7%7.7%2.1%368.9K-8.2M-165.0K1.7021.75N/AN/A3,6786,24672,98486,946
2012-01-30$8.39$8.1741.3%11.8%26.7%13.0%41.0%7.0%2.6%216.7K-4.2M-162.8K1.2017.19N/AN/A2,0282,42474,64091,410
2012-01-31$8.46$8.3339.9%11.4%25.9%11.9%40.0%6.8%2.2%256.3K-5.9M-163.4K0.7631.76N/AN/A1,6621,26074,93493,060