UYG Options History — August 2012

In August 2012, UYG traded between $9.09 and $9.88. ATM implied volatility averaged 29.9%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.6% (HV 20d: 25.3%). Max pain ranged from $9.17 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2012-08-09: Highest Volume — 31,002 contracts
  • 2012-08-16: Largest IV spike — 23.3% change
  • 2012-08-30: Highest IV Rank — 7.7%
  • 2012-08-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.64$9.09$9.88$9.21$9.83
Max Pain$9.76$9.17$10.00$9.33$9.83
ATM IV29.9%25.8%37.3%37.3%31.1%
Expected Move9.0%7.9%10.7%10.7%8.9%
HV 20d25.3%10.9%33.5%31.0%10.9%
HV 60d37.0%30.2%40.8%40.0%30.2%
IV Rank2.8%0.0%7.7%5.3%5.5%
IV Percentile3.7%0.0%24.2%24.2%6.3%
Term Structure5.1%0.8%8.9%0.8%3.7%
VWIV31.2%26.6%38.2%38.0%31.8%
Skew 25d7.1%5.2%8.2%6.9%7.0%
Skew 10d14.7%10.0%16.9%13.1%16.3%
Call IV 25d28.6%25.4%34.1%34.1%28.0%
Put IV 25d35.6%31.8%40.9%40.9%34.9%
Bid-Ask Spread %27.6817.4573.0040.7873.00
Gamma HHI0.110.060.350.120.06
Net GEX950.0K350.5K2.7M401.6K531.6K
Net DEX-5.9M-19.0M7.0M3.2M-7.7M
Net VEX-181.9K-199.5K-145.9K-149.3K-198.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.147.731.071.09
Total Volume6,603.65299031,0022,6643,006
Total OI174,948.522145,374204,150145,374174,708

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$9.21$9.3337.3%10.7%31.0%5.3%38.0%6.9%0.8%401.6K3.2M-149.3K1.0740.78N/AN/A1,2901,37461,17684,198
2012-08-02$9.09$9.3334.2%9.8%30.2%2.5%33.5%6.7%2.9%350.5K7.0M-145.9K0.1519.50N/AN/A13,7042,02262,07084,306
2012-08-03$9.47$9.3331.1%8.9%33.5%0.0%30.7%5.2%3.4%810.1K-4.7M-156.9K0.5224.22N/AN/A6,8583,60067,38085,236
2012-08-06$9.49$9.1731.2%9.8%33.4%0.1%32.1%8.0%4.9%1.1M-6.4M-154.4K7.7328.15N/AN/A2,43018,77472,24087,240
2012-08-07$9.57$9.8330.8%9.8%32.7%0.0%33.6%7.7%5.5%990.4K-4.7M-164.7K1.0327.75N/AN/A1,7401,78872,63697,998
2012-08-08$9.58$9.8328.9%9.6%32.6%0.0%31.2%7.9%6.0%1.1M-4.3M-164.3K1.2325.84N/AN/A2,2502,76673,45299,294
2012-08-09$9.55$9.8328.3%9.5%32.1%0.0%32.6%8.2%5.5%1.1M-3.7M-161.4K0.1925.96N/AN/A26,0464,95674,814100,908
2012-08-10$9.56$9.8326.0%9.3%27.8%0.0%30.0%7.3%6.9%1.4M-6.0M-199.5K0.1422.87N/AN/A87012096,966105,378
2012-08-13$9.56$9.8328.0%9.2%27.8%2.1%38.2%7.7%7.0%1.5M-5.0M-188.0K0.6621.08N/AN/A77451097,056105,390
2012-08-14$9.57$9.8327.7%9.3%27.5%1.8%29.9%7.6%6.5%1.6M-5.7M-190.3K1.0024.93N/AN/A2,0402,03497,458105,600
2012-08-15$9.62$10.0025.8%9.0%27.4%0.0%31.1%7.0%7.6%1.8M-7.3M-188.8K0.2522.36N/AN/A5,4181,33297,920106,230
2012-08-16$9.73$10.0031.9%9.1%26.7%6.4%30.8%7.6%7.8%2.2M-15.9M-195.5K0.5025.54N/AN/A1,62081096,744101,826
2012-08-17$9.80$10.0028.4%8.1%24.5%2.7%29.7%6.7%8.9%2.7M-19.0M-190.6K0.7122.03N/AN/A2,8201,99897,470102,192
2012-08-20$9.83$9.8327.7%7.9%23.3%2.0%27.5%6.4%5.7%489.3K-6.9M-191.3K0.3621.51N/AN/A2,06474473,72287,630
2012-08-21$9.88$9.8328.8%8.3%22.7%3.2%28.6%7.3%4.8%579.6K-8.7M-192.4K0.6624.18N/AN/A3,4682,29274,96488,134
2012-08-22$9.83$9.8329.5%8.5%23.0%3.9%28.9%6.7%4.4%465.3K-7.2M-199.3K1.3320.25N/AN/A1,9202,56275,52290,186
2012-08-23$9.67$9.8330.3%8.7%22.8%4.7%30.1%6.8%4.1%378.5K-3.4M-190.7K1.8425.52N/AN/A8461,55476,57291,836
2012-08-24$9.76$9.8328.8%8.3%19.1%3.1%29.3%6.5%5.0%448.6K-5.2M-194.5K2.2717.45N/AN/A38487076,55492,688
2012-08-27$9.77$9.8329.7%8.5%19.1%4.1%26.6%6.8%4.1%462.3K-5.5M-189.7K2.4920.28N/AN/A8642,15476,59692,928
2012-08-28$9.76$9.8329.7%8.5%18.7%4.1%31.1%6.6%3.8%432.8K-5.6M-193.5K0.4520.35N/AN/A97243877,14294,896
2012-08-29$9.81$9.8330.3%8.7%18.0%4.8%30.0%7.0%3.9%496.8K-6.5M-191.7K2.7821.34N/AN/A2,5387,05677,85095,232
2012-08-30$9.72$9.8333.1%9.5%17.7%7.7%31.8%7.5%3.2%508.7K-5.4M-192.1K0.6061.76N/AN/A5,1243,08478,93694,542
2012-08-31$9.83$9.8331.1%8.9%10.9%5.5%31.8%7.0%3.7%531.6K-7.7M-198.0K1.0973.00N/AN/A1,4401,56678,85895,850