UYG Options History — July 2012 In July 2012, UYG traded between $8.78 and $9.54. ATM implied volatility averaged 36.8%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 0.0% (HV 20d: 36.8%). Max pain ranged from $8.50 to $9.33. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.20.
Notable Days 2012-07-19 : Highest Volume — 17,196 contracts2012-07-30 : Largest IV spike — 7.6% change2012-07-09 : Highest IV Rank — 8.6%2012-07-10 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $9.20 $8.78 $9.54 $9.42 $9.31 Max Pain $8.97 $8.50 $9.33 $9.00 $9.33 ATM IV 36.8% 33.1% 40.6% 36.1% 36.0% Expected Move 10.6% 9.5% 11.9% 10.4% 10.3% HV 20d 36.8% 31.1% 42.2% 42.2% 31.1% HV 60d 40.0% 38.7% 41.9% 41.9% 40.0% IV Rank 5.3% 1.5% 8.6% 6.3% 4.1% IV Percentile 18.5% 2.0% 31.3% 16.3% 17.5% Term Structure 2.3% 0.6% 4.0% 3.0% 1.8% VWIV 36.9% 31.8% 51.7% 37.4% 34.7% Skew 25d 8.7% 7.8% 9.8% 9.3% 7.8% Skew 10d 18.7% 16.4% 21.8% 19.3% 16.6% Call IV 25d 33.1% 28.9% 37.0% 32.7% 33.1% Put IV 25d 41.8% 36.9% 46.8% 41.9% 40.9% Bid-Ask Spread % 35.45 19.05 68.54 28.65 34.02 Gamma HHI 0.12 0.07 0.57 0.08 0.13 Net GEX 294.0K -2.6M 1.0M 609.7K 399.9K Net DEX 1.8M -10.7M 13.7M -8.0M 984.1K Net VEX -156.2K -171.8K -138.2K -171.3K -152.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.09 6.78 0.66 0.12 Total Volume 7,085.714 1,398 17,196 6,234 3,048 Total OI 153,817.714 126,858 178,110 146,262 143,514
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-07-02 $9.42 $9.00 36.1% 10.4% 42.2% 6.3% 37.4% 9.3% 3.0% 609.7K -8.0M -171.3K 0.66 28.65 N/A N/A 3,750 2,484 60,828 85,434 2012-07-03 $9.54 $9.00 35.6% 10.2% 41.5% 5.7% 37.3% 8.0% 3.0% 704.4K -10.7M -171.4K 1.12 30.37 N/A N/A 3,672 4,104 61,632 86,370 2012-07-05 $9.32 $9.00 37.1% 10.6% 39.3% 7.0% 34.1% 8.2% 2.7% 479.3K -4.7M -171.8K 6.78 68.54 N/A N/A 1,164 7,896 61,836 88,956 2012-07-06 $9.20 $8.50 37.7% 11.6% 39.7% 7.6% 36.7% 8.9% 1.0% 296.8K 1.3M -169.0K 0.09 29.03 N/A N/A 8,700 744 61,974 92,472 2012-07-09 $9.13 $8.50 38.9% 11.6% 39.3% 8.6% 51.7% 9.3% 1.6% 318.2K 2.4M -163.6K 0.42 24.41 N/A N/A 3,408 1,422 64,416 92,382 2012-07-10 $8.99 $8.50 40.6% 11.9% 37.4% 8.4% 41.3% 9.8% 0.6% 132.2K 6.3M -161.9K 2.16 30.33 N/A N/A 3,690 7,956 63,972 92,670 2012-07-11 $9.08 $8.50 40.5% 11.7% 36.5% 8.3% 39.8% 9.4% 0.8% 315.5K 6.2M -158.3K 0.20 40.76 N/A N/A 1,164 234 67,116 96,138 2012-07-12 $8.96 $8.50 40.5% 11.6% 36.7% 8.2% 37.3% 8.8% 1.2% 220.9K 8.9M -159.1K 0.12 38.11 N/A N/A 7,128 846 67,788 96,120 2012-07-13 $9.38 $8.50 37.8% 10.8% 39.1% 5.8% 36.0% 8.5% 1.7% 793.3K -4.0M -165.1K 0.59 58.63 N/A N/A 2,364 1,398 70,992 96,642 2012-07-16 $9.36 $8.50 37.7% 10.8% 38.5% 5.7% 39.1% 8.7% 1.7% 895.3K -4.6M -155.6K 0.92 29.89 N/A N/A 3,378 3,114 72,156 97,506 2012-07-17 $9.48 $8.50 35.5% 10.2% 38.5% 3.7% 33.8% 8.8% 2.1% 1.0M -8.1M -152.5K 3.80 43.25 N/A N/A 2,826 10,746 71,748 99,210 2012-07-18 $9.40 $9.33 35.6% 10.2% 37.5% 3.8% 36.5% 8.1% 2.0% 1.0M -5.9M -154.9K 1.03 31.80 N/A N/A 1,542 1,590 72,150 100,992 2012-07-19 $9.24 $9.33 35.7% 10.2% 38.1% 3.9% 33.1% 8.2% 2.1% 688.8K 736.5K -150.4K 0.90 28.82 N/A N/A 9,030 8,166 72,408 99,774 2012-07-20 $9.01 $9.33 34.5% 9.9% 35.8% 2.8% 31.8% 8.5% 3.4% -2.6M 13.7M -138.2K 0.81 29.90 N/A N/A 3,096 2,514 75,366 102,744 2012-07-23 $8.86 $9.33 36.4% 10.4% 35.8% 4.5% 38.4% 9.0% 4.0% -11.3K 11.4M -139.2K 1.50 26.27 N/A N/A 4,026 6,036 50,358 76,500 2012-07-24 $8.78 $9.33 37.2% 10.7% 32.9% 5.3% 39.7% 9.7% 3.4% -17.6K 12.2M -141.9K 2.14 28.73 N/A N/A 1,266 2,706 52,692 78,744 2012-07-25 $8.83 $9.33 35.8% 10.3% 32.7% 4.0% 35.6% 8.7% 3.8% -34.5K 12.1M -138.7K 1.06 32.86 N/A N/A 2,736 2,892 53,424 81,078 2012-07-26 $9.07 $9.33 34.9% 10.0% 33.3% 3.2% 32.6% 8.8% 3.5% 119.5K 7.4M -149.2K 0.16 63.91 N/A N/A 4,620 756 54,420 82,974 2012-07-27 $9.41 $9.33 33.1% 9.5% 35.6% 1.5% 32.1% 8.0% 3.8% 353.2K -304.8K -158.1K 0.30 27.10 N/A N/A 7,644 2,286 57,414 83,118 2012-07-30 $9.39 $9.33 35.6% 10.2% 31.5% 3.8% 36.3% 8.5% 1.8% 459.7K -594.9K -156.7K 0.27 19.05 N/A N/A 2,100 558 60,258 83,886 2012-07-31 $9.31 $9.33 36.0% 10.3% 31.1% 4.1% 34.7% 7.8% 1.8% 399.9K 984.1K -152.7K 0.12 34.02 N/A N/A 2,712 336 59,556 83,958
« Jun 2012 | All History | Aug 2012 » Home UYG History July 2012