UYG Options History — April 2012

In April 2012, UYG traded between $9.49 and $10.64. ATM implied volatility averaged 38.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 1.9% (HV 20d: 36.6%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2012-04-10: Highest Volume — 19,776 contracts
  • 2012-04-10: Largest IV spike — 15.1% change
  • 2012-04-10: Highest IV Rank — 18.8%
  • 2012-04-10: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.04$9.49$10.64$10.64$10.17
Max Pain$10.22$10.00$10.50$10.00$10.00
ATM IV38.5%32.2%47.9%32.2%34.5%
Expected Move11.0%9.2%13.3%9.2%9.9%
HV 20d36.6%32.4%39.8%37.2%37.3%
HV 60d32.7%29.3%34.4%29.4%34.0%
IV Rank10.7%5.1%18.8%5.1%7.1%
IV Percentile32.4%8.3%56.0%10.3%16.3%
Term Structure2.0%-0.2%3.8%3.5%3.2%
VWIV39.3%31.2%45.2%34.1%36.1%
Skew 25d7.8%5.3%9.8%5.7%7.3%
Skew 10d16.1%9.9%20.1%11.1%14.9%
Call IV 25d35.3%29.7%42.1%30.1%31.7%
Put IV 25d43.2%35.8%51.7%35.8%39.0%
Bid-Ask Spread %22.3418.1630.8818.1618.69
Gamma HHI0.070.060.170.070.06
Net GEX-79.4K-788.6K450.9K410.6K272.2K
Net DEX-2.4M-21.1M16.9M-21.1M-7.3M
Net VEX-207.5K-222.7K-188.8K-214.7K-188.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.207.380.581.82
Total Volume9,4293,26419,7766,9783,264
Total OI188,036.7147,966216,882176,178172,056

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$10.64$10.0032.2%9.2%37.2%5.1%34.1%5.7%3.5%410.6K-21.1M-214.7K0.5818.16N/AN/A4,4162,56267,728108,450
2012-04-03$10.57$10.0033.5%9.6%32.4%6.2%35.5%5.5%3.2%304.5K-18.2M-209.3K1.3421.34N/AN/A2,0702,76668,520110,058
2012-04-04$10.26$10.0036.7%10.5%34.7%9.1%38.1%5.3%2.8%-5.4K-8.7M-218.9K1.6520.03N/AN/A3,3785,57469,390111,240
2012-04-05$10.21$10.0036.6%10.5%34.5%9.0%39.3%5.3%3.5%-106.3K-6.5M-222.0K7.3820.09N/AN/A1,2008,85070,728114,774
2012-04-09$9.92$10.5041.6%12.1%36.3%13.3%43.7%8.2%0.5%-500.6K3.6M-214.4K1.2819.51N/AN/A6,9968,93470,548117,372
2012-04-10$9.49$10.3347.9%13.3%39.8%18.8%45.2%9.6%-0.2%-788.6K16.9M-212.8K0.8419.44N/AN/A10,7769,00072,438119,148
2012-04-11$9.78$10.3342.0%12.4%33.2%13.7%42.9%9.8%-0.1%-559.0K7.7M-222.6K0.5730.88N/AN/A6,3603,59476,812124,044
2012-04-12$10.13$10.3341.6%11.9%35.7%13.3%43.4%9.0%0.3%73.7K-7.4M-222.7K0.8021.58N/AN/A7,2125,76680,268123,372
2012-04-13$9.73$10.3345.1%12.9%36.7%16.4%44.9%9.3%-0.2%-571.0K9.0M-219.1K0.5925.80N/AN/A4,4942,64680,772125,850
2012-04-16$9.86$10.3344.1%12.6%37.1%15.5%41.7%9.3%0.5%-284.6K3.3M-213.2K0.9824.38N/AN/A3,9963,90684,030126,612
2012-04-17$10.13$10.3340.1%11.5%38.2%12.0%41.0%8.2%1.9%450.9K-9.9M-209.6K1.1629.93N/AN/A5,1125,92885,842126,924
2012-04-18$9.98$10.3340.4%11.6%38.4%12.3%42.7%8.8%1.7%-164.0K-1.5M-206.1K1.8526.22N/AN/A1,8063,34886,244129,228
2012-04-19$9.91$10.3340.6%11.6%38.4%12.4%40.8%9.4%1.7%-371.7K2.8M-201.2K1.6021.30N/AN/A3,7686,02487,168129,714
2012-04-20$9.85$10.3337.5%10.8%37.4%9.8%38.6%8.2%2.2%355.8K3.7M-194.3K0.6522.32N/AN/A7,2664,74688,116128,706
2012-04-23$9.69$10.1740.5%11.6%37.1%12.3%43.3%7.9%1.9%-384.7K6.2M-192.6K1.6225.57N/AN/A4,4707,23652,32095,646
2012-04-24$9.89$10.1737.3%10.7%36.2%9.6%36.9%8.7%2.7%-283.2K2.2M-197.7K0.5824.50N/AN/A6,9364,03854,996100,830
2012-04-25$10.11$10.1734.0%9.7%37.0%6.7%33.3%7.6%3.8%-10.2K-4.2M-200.3K0.3418.73N/AN/A4,4641,52459,730103,914
2012-04-26$10.28$10.1732.3%9.3%37.6%5.2%31.2%7.0%3.5%212.6K-9.0M-197.6K0.2018.34N/AN/A7,8481,57861,908104,694
2012-04-27$10.30$10.1732.4%9.3%37.1%5.3%33.1%6.9%3.7%361.1K-10.3M-192.4K1.1219.93N/AN/A2,2262,50266,450104,094
2012-04-30$10.17$10.0034.5%9.9%37.3%7.1%36.1%7.3%3.2%272.2K-7.3M-188.8K1.8218.69N/AN/A1,1582,10667,632104,424