UYG Options History — November 2012

In November 2012, UYG traded between $9.69 and $10.93. ATM implied volatility averaged 33.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.2% (HV 20d: 32.1%). Max pain ranged from $9.83 to $10.83. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2012-11-07: Highest Volume — 11,652 contracts
  • 2012-11-14: Largest IV spike — 22.4% change
  • 2012-11-14: Highest IV Rank — 31.1%
  • 2012-11-14: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.33$9.69$10.93$10.88$10.52
Max Pain$10.06$9.83$10.83$10.83$10.00
ATM IV33.3%28.0%43.1%33.4%28.1%
Expected Move9.4%8.0%10.7%9.6%8.1%
HV 20d32.1%24.3%34.9%26.1%33.3%
HV 60d27.5%23.2%29.6%23.2%29.5%
IV Rank14.4%5.6%31.1%14.3%6.0%
IV Percentile29.1%4.8%70.2%25.8%5.2%
Term Structure1.0%-1.3%2.9%-0.0%2.9%
VWIV33.0%27.2%39.0%33.2%27.2%
Skew 25d6.2%5.4%7.6%5.9%5.4%
Skew 10d12.3%9.3%15.2%12.9%12.2%
Call IV 25d30.0%25.4%33.9%31.0%25.8%
Put IV 25d36.2%31.0%41.3%36.9%31.2%
Bid-Ask Spread %38.9317.1777.9438.2538.69
Gamma HHI0.080.050.430.060.05
Net GEX453.3K-1.2M1.1M869.5K990.3K
Net DEX-7.3M-21.0M10.3M-18.3M-13.2M
Net VEX-147.3K-183.6K-125.7K-183.6K-130.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.384.440.380.85
Total Volume3,591.71488811,6522,5801,368
Total OI158,475.714147,384168,900156,330159,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$10.88$10.8333.4%9.6%26.1%14.3%33.2%5.9%-0.0%869.5K-18.3M-183.6K0.3838.25N/AN/A1,87270875,24081,090
2012-11-02$10.75$10.8335.0%10.0%25.9%17.2%34.7%5.4%-0.8%864.5K-17.2M-181.7K0.9629.75N/AN/A54051676,62081,018
2012-11-05$10.70$9.8338.8%10.4%24.3%23.4%38.2%7.3%-1.0%806.2K-15.2M-179.0K0.4027.79N/AN/A87635476,84881,120
2012-11-06$10.93$9.8336.8%9.8%25.5%20.1%35.6%7.1%-0.8%1.1M-21.0M-176.9K0.5926.97N/AN/A1,8421,08677,43681,186
2012-11-07$10.28$9.8338.0%10.7%33.4%22.1%39.0%7.6%-1.3%477.1K-6.3M-169.3K0.7433.99N/AN/A6,6844,96878,30081,366
2012-11-08$10.12$10.0037.2%10.7%33.4%20.7%37.1%7.6%-1.2%147.0K-1.9M-161.0K1.0366.76N/AN/A84086477,48484,306
2012-11-09$10.15$10.0035.8%10.5%33.4%18.5%35.7%6.7%0.1%132.6K-1.9M-158.9K0.8424.23N/AN/A2,1781,83077,47884,510
2012-11-12$10.16$10.0034.8%9.8%33.1%16.8%33.4%5.9%1.8%69.7K-1.6M-152.0K0.6524.59N/AN/A2,2981,50078,53484,996
2012-11-13$10.04$10.0035.2%10.0%32.3%17.8%33.3%6.4%1.8%-206.5K1.2M-145.2K0.8057.86N/AN/A1,07485878,82885,248
2012-11-14$9.69$10.0043.1%10.7%33.1%31.1%35.7%6.8%0.7%-422.2K9.2M-134.0K1.1920.15N/AN/A2,6403,13879,28485,548
2012-11-15$9.71$10.0036.4%10.5%32.7%19.8%35.6%5.9%1.3%-637.9K10.3M-129.9K2.8572.02N/AN/A1,7404,95679,96285,626
2012-11-16$9.86$10.0033.9%9.7%31.9%15.4%33.7%5.8%1.5%-1.2M6.0M-135.1K0.8218.98N/AN/A3,8763,19280,76688,134
2012-11-19$10.20$10.0030.2%8.7%34.9%9.2%30.2%5.5%1.9%571.4K-5.6M-134.0K0.5217.17N/AN/A4,7822,50270,74676,638
2012-11-20$10.31$10.0029.1%8.3%34.4%7.4%29.0%5.4%2.6%732.0K-8.6M-136.3K0.7129.10N/AN/A2,2801,62673,40477,328
2012-11-21$10.33$10.0028.5%8.2%34.4%6.4%29.9%5.7%2.8%766.1K-8.8M-135.9K0.7619.56N/AN/A50438474,54477,490
2012-11-23$10.57$10.0028.0%8.0%34.2%5.6%28.6%5.6%2.5%930.5K-14.4M-131.7K0.4460.36N/AN/A2,03489474,65277,808
2012-11-26$10.50$10.0029.1%8.4%34.2%7.4%31.2%5.9%1.6%958.0K-13.3M-129.1K2.6777.94N/AN/A34291276,18878,036
2012-11-27$10.34$10.0030.2%8.7%34.6%9.2%29.3%6.3%1.1%849.3K-10.0M-133.5K0.6821.57N/AN/A1,5061,02676,30878,750
2012-11-28$10.42$10.0029.1%8.3%34.5%7.5%34.2%5.6%2.1%863.8K-10.6M-125.7K4.4439.67N/AN/A6002,66476,78879,554
2012-11-29$10.52$10.0028.4%8.1%34.6%6.5%27.8%5.5%2.1%938.2K-12.7M-129.3K0.5272.13N/AN/A1,03254076,89682,062
2012-11-30$10.52$10.0028.1%8.1%33.3%6.0%27.2%5.4%2.9%990.3K-13.2M-130.5K0.8538.69N/AN/A73863077,65282,218