UYG Options History — September 2012

In September 2012, UYG traded between $9.86 and $11.22. ATM implied volatility averaged 29.9%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.6% (HV 20d: 23.3%). Max pain ranged from $9.83 to $10.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.51.

Notable Days

  • 2012-09-14: Highest Volume — 17,028 contracts
  • 2012-09-06: Largest IV drop — 17.6% change
  • 2012-09-14: Highest IV Rank — 8.6%
  • 2012-09-14: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.55$9.86$11.22$9.87$10.36
Max Pain$10.20$9.83$10.50$9.83$10.50
ATM IV29.9%24.7%32.9%32.5%29.3%
Expected Move8.8%7.6%9.4%9.3%8.4%
HV 20d23.3%10.8%29.9%10.9%29.7%
HV 60d28.4%26.3%30.1%29.9%26.3%
IV Rank5.3%0.0%8.6%7.1%4.8%
IV Percentile7.1%0.0%12.7%9.5%6.3%
Term Structure2.8%1.2%5.2%3.0%2.3%
VWIV31.5%28.1%34.5%32.7%31.0%
Skew 25d6.1%4.0%8.8%7.6%4.3%
Skew 10d12.3%7.1%19.6%17.2%8.0%
Call IV 25d28.2%24.0%30.6%28.9%28.0%
Put IV 25d34.4%30.5%36.8%36.5%32.3%
Bid-Ask Spread %28.9717.4162.2523.3525.43
Gamma HHI0.060.050.080.060.05
Net GEX839.8K402.8K1.1M605.3K439.1K
Net DEX-23.7M-47.3M-6.7M-8.8M-7.7M
Net VEX-199.6K-208.0K-188.9K-195.2K-206.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.375.265.264.16
Total Volume7,112.2112,29217,0288,9043,006
Total OI184,029.474148,974212,934175,800159,984

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$9.87$9.8332.5%9.3%10.9%7.1%32.7%7.6%3.0%605.3K-8.8M-195.2K5.2623.35N/AN/A1,4227,48279,56696,234
2012-09-05$9.86$9.8332.2%9.2%10.8%6.7%31.0%7.6%3.4%620.4K-8.4M-194.0K0.7917.86N/AN/A4,0323,20480,19098,790
2012-09-06$10.27$9.8326.5%7.6%17.7%0.7%28.1%6.4%4.6%835.8K-18.9M-197.6K1.1117.81N/AN/A5,2385,83878,654100,764
2012-09-07$10.47$10.0024.7%8.8%18.3%0.0%33.9%8.2%4.5%1.0M-25.2M-192.5K0.6826.38N/AN/A4,8303,27681,060101,256
2012-09-10$10.30$10.0028.3%9.2%19.6%3.8%32.5%8.1%3.1%941.1K-21.3M-192.7K1.5627.77N/AN/A1,8182,83281,438102,240
2012-09-11$10.47$10.0028.4%9.1%20.0%3.8%34.5%8.3%2.7%1.0M-24.9M-188.9K2.4136.17N/AN/A2,2985,53282,326104,274
2012-09-12$10.58$10.0029.3%9.2%20.1%4.8%33.8%8.8%2.0%1.0M-29.1M-198.7K1.7337.70N/AN/A3,4866,04882,896107,076
2012-09-13$11.03$10.1730.7%8.8%23.9%6.2%31.0%8.6%2.9%1.1M-38.3M-195.4K0.5362.25N/AN/A7,4343,93683,952109,164
2012-09-14$11.22$10.1732.9%9.4%24.2%8.6%31.4%6.2%1.2%1.1M-47.3M-205.2K0.7828.25N/AN/A9,5767,45286,670111,120
2012-09-17$11.00$10.1732.6%9.3%26.0%8.3%32.2%5.1%2.3%1.1M-41.7M-206.9K1.3960.51N/AN/A2,1723,01892,364115,296
2012-09-18$10.89$10.3330.8%8.8%26.6%6.3%31.9%4.4%3.1%1.0M-37.4M-208.0K1.2225.25N/AN/A1,8422,25693,048117,048
2012-09-19$10.86$10.3330.4%8.7%26.7%5.9%31.2%4.3%2.5%944.2K-36.5M-207.1K0.9524.83N/AN/A2,4182,29892,358118,542
2012-09-20$10.74$10.3330.0%8.6%27.1%5.5%31.4%4.9%3.3%1.0M-30.8M-202.3K0.5527.96N/AN/A1,48281093,042119,892
2012-09-21$10.70$10.3328.6%8.2%26.2%4.1%29.3%4.8%5.2%1.0M-29.3M-201.6K0.3719.38N/AN/A6,3782,37692,808118,506
2012-09-24$10.69$10.5029.6%8.5%26.2%5.1%29.5%5.0%2.1%696.3K-15.9M-197.3K1.5817.41N/AN/A1,6862,67072,89476,080
2012-09-25$10.38$10.5031.4%9.0%28.9%7.0%32.8%4.0%1.3%555.6K-11.4M-200.0K1.5222.26N/AN/A2,3403,55874,19678,660
2012-09-26$10.24$10.5031.5%9.0%29.4%7.1%31.8%4.5%2.0%402.8K-6.7M-198.4K1.2021.47N/AN/A3,4684,14675,17480,622
2012-09-27$10.43$10.5028.6%8.2%29.9%4.0%29.2%5.1%2.3%507.4K-10.1M-202.9K0.8928.44N/AN/A1,8421,63275,25883,118
2012-09-28$10.36$10.5029.3%8.4%29.7%4.8%31.0%4.3%2.3%439.1K-7.7M-206.9K4.1625.43N/AN/A5822,42475,72684,258