UYG Options History — October 2012

In October 2012, UYG traded between $10.43 and $11.21. ATM implied volatility averaged 30.3%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.6% (HV 20d: 25.7%). Max pain ranged from $10.50 to $10.83. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2012-10-18: Highest Volume — 9,516 contracts
  • 2012-10-23: Largest IV spike — 8.2% change
  • 2012-10-26: Highest IV Rank — 16.7%
  • 2012-10-26: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.77$10.43$11.21$10.43$10.62
Max Pain$10.67$10.50$10.83$10.50$10.83
ATM IV30.3%26.4%34.8%29.4%34.2%
Expected Move8.8%7.7%10.0%8.4%9.8%
HV 20d25.7%22.0%29.9%29.6%24.8%
HV 60d24.8%22.8%26.3%26.1%22.8%
IV Rank8.9%2.4%16.7%4.9%15.8%
IV Percentile13.4%1.2%33.7%7.1%30.6%
Term Structure1.6%0.3%3.0%2.2%0.5%
VWIV32.0%28.1%37.1%28.9%36.6%
Skew 25d5.7%4.5%6.9%4.5%6.2%
Skew 10d11.6%8.6%15.0%8.6%13.8%
Call IV 25d28.8%25.3%32.4%28.3%32.4%
Put IV 25d34.5%30.3%38.7%32.9%38.7%
Bid-Ask Spread %44.2727.7768.2767.0856.83
Gamma HHI0.070.050.120.050.06
Net GEX936.5K520.4K1.5M520.4K655.6K
Net DEX-19.5M-35.7M-10.2M-10.2M-12.8M
Net VEX-200.6K-213.0K-183.0K-199.4K-183.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.133.660.250.51
Total Volume3,559.7146009,5161,9322,106
Total OI164,762.571146,190182,220159,108155,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$10.43$10.5029.4%8.4%29.6%4.9%28.9%4.5%2.2%520.4K-10.2M-199.4K0.2567.08N/AN/A1,54239075,91883,190
2012-10-02$10.49$10.5028.1%8.1%29.6%3.5%29.2%4.5%3.0%549.5K-11.4M-200.4K0.8327.77N/AN/A90675076,35683,322
2012-10-03$10.66$10.5027.8%8.0%29.9%4.0%29.8%4.5%2.8%696.0K-15.1M-200.2K0.9759.56N/AN/A3,6543,55276,75883,952
2012-10-04$10.93$10.5027.0%7.7%27.7%3.2%29.7%5.0%2.4%954.4K-23.3M-210.2K1.3929.04N/AN/A1,8842,61680,05284,918
2012-10-05$10.95$10.5026.4%8.6%27.1%2.4%31.2%6.9%1.8%1.0M-24.0M-212.6K1.4461.19N/AN/A1,2961,86680,51485,746
2012-10-08$10.90$10.5027.8%8.8%26.4%4.3%32.9%5.3%1.4%1.1M-23.3M-211.1K0.4737.73N/AN/A40819281,54686,100
2012-10-09$10.73$10.6729.8%9.4%26.7%8.4%31.7%6.2%1.7%903.1K-19.3M-209.1K0.7232.89N/AN/A3,5522,55681,56486,220
2012-10-10$10.75$10.5030.9%9.2%26.5%10.2%29.4%6.2%1.3%975.7K-19.9M-209.6K2.4855.95N/AN/A5161,27884,15087,468
2012-10-11$10.86$10.6730.9%8.9%22.0%10.3%31.0%5.5%2.0%1.2M-24.1M-213.0K0.6247.75N/AN/A1,6861,04484,43887,492
2012-10-12$10.59$10.6731.7%9.1%22.5%11.6%34.1%6.5%1.7%824.2K-15.4M-208.8K1.6039.50N/AN/A7621,21884,40287,774
2012-10-15$10.80$10.6730.1%8.6%23.0%8.9%31.5%5.4%1.6%1.1M-20.6M-197.9K0.6245.80N/AN/A1,60899684,09688,464
2012-10-16$10.92$10.6728.6%8.2%23.1%6.5%29.0%5.9%1.5%1.4M-25.7M-198.2K0.1349.69N/AN/A2,50833085,10488,650
2012-10-17$11.16$10.6728.0%8.0%24.3%5.5%28.1%5.4%2.4%1.5M-33.1M-198.0K0.4331.76N/AN/A3,9361,69886,73088,662
2012-10-18$11.21$10.6729.1%8.4%23.9%7.3%31.7%5.2%2.3%1.5M-35.7M-202.9K0.9440.03N/AN/A4,8964,62088,05089,508
2012-10-19$10.92$10.8329.7%8.5%25.9%8.3%31.8%5.5%1.6%1.5M-25.2M-196.7K0.8568.27N/AN/A2,2801,93290,90691,314
2012-10-22$10.91$10.8330.5%8.7%25.9%9.6%35.4%5.4%1.8%908.3K-19.7M-194.6K3.6638.61N/AN/A1,4645,35272,64273,548
2012-10-23$10.61$10.8333.0%9.5%25.7%13.8%37.1%6.5%0.3%650.9K-12.1M-189.5K1.5538.14N/AN/A1,4642,26273,67477,694
2012-10-24$10.60$10.8333.6%9.6%25.2%14.7%35.5%6.3%0.8%629.4K-13.1M-192.6K2.4237.29N/AN/A7621,84274,25079,374
2012-10-25$10.64$10.8334.5%9.9%24.4%16.2%33.6%6.8%0.9%658.3K-13.8M-193.8K0.6631.75N/AN/A84655874,42480,070
2012-10-26$10.53$10.8334.8%10.0%24.7%16.7%33.8%6.5%0.3%574.5K-11.1M-191.7K0.2232.96N/AN/A1,33229474,92280,586
2012-10-31$10.62$10.8334.2%9.8%24.8%15.8%36.6%6.2%0.5%655.6K-12.8M-183.0K0.5156.83N/AN/A1,39870874,82680,640