UYG Options History — February 2012

In February 2012, UYG traded between $8.73 and $9.37. ATM implied volatility averaged 38.3%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.6% (HV 20d: 26.7%). Max pain ranged from $8.00 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

  • 2012-02-03: Highest Volume — 23,586 contracts
  • 2012-02-09: Largest IV spike — 17.3% change
  • 2012-02-15: Highest IV Rank — 16.8%
  • 2012-02-15: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.18$8.73$9.37$8.73$9.28
Max Pain$8.28$8.00$8.33$8.33$8.33
ATM IV38.3%33.6%45.5%38.0%35.5%
Expected Move11.3%9.6%13.0%10.9%10.2%
HV 20d26.7%23.4%29.1%24.0%28.1%
HV 60d48.0%37.6%55.7%55.2%37.6%
IV Rank10.5%6.4%16.8%10.2%8.0%
IV Percentile30.3%13.9%52.4%31.7%20.6%
Term Structure2.1%1.0%4.7%4.0%2.7%
VWIV41.3%34.6%52.5%39.4%34.6%
Skew 25d8.4%6.0%11.6%6.3%7.5%
Skew 10d17.7%11.1%25.0%12.8%14.9%
Call IV 25d35.8%31.5%40.6%35.3%32.8%
Put IV 25d44.3%38.6%52.2%41.5%40.3%
Bid-Ask Spread %25.2716.7055.0620.9124.59
Gamma HHI0.080.050.370.070.07
Net GEX628.4K234.1K1.3M455.9K471.3K
Net DEX-20.9M-31.2M-11.0M-13.5M-18.0M
Net VEX-158.1K-164.7K-148.9K-163.7K-153.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.292.881.010.44
Total Volume8,222.42,63423,58610,07411,466
Total OI181,471.5153,768210,528169,212173,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$8.73$8.3338.0%10.9%24.0%10.2%39.4%6.3%4.0%455.9K-13.5M-163.7K1.0120.91N/AN/A5,0105,06475,56493,648
2012-02-02$8.84$8.3337.0%10.6%23.4%9.3%39.0%6.0%4.0%518.1K-16.1M-163.9K2.8819.50N/AN/A1,3863,99077,05296,366
2012-02-03$9.26$8.0035.1%11.6%26.7%7.6%42.4%8.4%1.3%621.3K-26.6M-161.8K0.3455.06N/AN/A17,5446,04277,40699,090
2012-02-06$9.19$8.1737.3%11.8%26.5%9.6%46.8%8.5%1.1%773.7K-26.0M-162.2K0.9926.35N/AN/A3,3603,32482,704100,650
2012-02-07$9.17$8.1736.2%11.8%26.8%8.6%41.5%7.8%1.4%724.7K-25.3M-161.9K0.5522.46N/AN/A1,8961,03882,698102,336
2012-02-08$9.28$8.1735.0%11.7%25.0%7.6%41.6%8.1%1.4%834.0K-28.0M-158.4K1.0317.63N/AN/A1,2961,33883,664102,216
2012-02-09$9.25$8.1741.1%11.8%25.0%12.9%39.8%8.3%1.3%806.2K-27.0M-157.5K1.3716.70N/AN/A3,8105,23284,060102,990
2012-02-10$9.09$8.1743.6%12.5%26.4%15.1%43.1%8.7%1.0%703.8K-21.7M-164.3K0.6917.82N/AN/A10,0446,97286,664104,142
2012-02-13$9.23$8.3342.2%12.1%25.8%13.9%41.2%9.0%1.7%867.0K-26.0M-164.4K0.2946.04N/AN/A4,5181,29090,324107,430
2012-02-14$9.08$8.3344.2%12.7%26.5%15.6%52.5%11.1%1.3%685.3K-20.5M-164.7K2.6517.27N/AN/A2,9407,80091,836108,348
2012-02-15$8.99$8.3345.5%13.0%26.0%16.8%48.7%11.6%1.2%718.0K-17.5M-163.1K2.2022.66N/AN/A2,2264,89093,036113,580
2012-02-16$9.22$8.3343.2%12.4%26.8%14.7%45.2%11.5%2.8%893.9K-26.3M-163.9K1.9318.02N/AN/A1,2842,47293,564116,160
2012-02-17$9.33$8.3338.8%11.1%26.9%10.9%42.3%9.6%4.7%1.3M-31.2M-158.8K0.6417.33N/AN/A5,7003,65493,888116,640
2012-02-21$9.29$8.3337.6%10.8%27.0%9.9%41.8%9.4%2.3%344.3K-15.7M-149.3K1.4918.12N/AN/A2,9344,37467,83085,938
2012-02-22$9.09$8.3337.0%10.6%28.6%9.3%41.2%7.8%2.3%234.1K-11.0M-151.2K0.3717.95N/AN/A4,0621,48869,79888,938
2012-02-23$9.26$8.3333.6%9.6%29.1%6.4%35.8%7.1%2.8%316.5K-15.0M-149.9K0.9121.69N/AN/A5,4484,93871,29890,270
2012-02-24$9.22$8.3334.6%9.9%28.7%7.3%35.7%7.5%2.2%379.7K-15.3M-149.9K1.7247.14N/AN/A2,1483,68474,32291,974
2012-02-27$9.34$8.3335.4%10.1%28.8%7.9%35.6%7.2%1.2%414.0K-18.1M-148.9K0.5823.60N/AN/A3,7802,19074,46693,510
2012-02-28$9.37$8.3334.8%10.0%27.7%7.4%37.0%6.7%1.7%520.6K-19.4M-152.1K1.3934.65N/AN/A1,5962,22077,23294,230
2012-02-29$9.28$8.3335.5%10.2%28.1%8.0%34.6%7.5%2.7%471.3K-18.0M-153.0K0.4424.59N/AN/A7,9803,48678,18095,388