UYG Options History — December 2012

In December 2012, UYG traded between $10.41 and $11.59. ATM implied volatility averaged 30.3%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.2% (HV 20d: 24.1%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2012-12-18: Highest Volume — 8,802 contracts
  • 2012-12-13: Largest IV spike — 21.3% change
  • 2012-12-28: Highest IV Rank — 45.1%
  • 2012-12-28: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.00$10.41$11.59$10.47$11.30
Max Pain$10.35$10.00$10.50$10.00$10.50
ATM IV30.3%24.9%39.9%29.2%35.9%
Expected Move8.9%8.0%11.4%8.4%10.3%
HV 20d24.1%18.9%33.2%33.1%24.7%
HV 60d27.6%26.2%29.5%29.5%28.0%
IV Rank14.7%0.4%45.1%8.1%33.2%
IV Percentile21.4%0.4%71.8%12.3%55.2%
Term Structure1.9%-1.4%3.1%1.2%-0.0%
VWIV32.6%28.5%37.9%31.0%35.9%
Skew 25d7.0%5.0%9.4%5.8%8.7%
Skew 10d14.4%9.6%21.1%10.5%21.1%
Call IV 25d28.4%25.8%36.2%27.1%33.0%
Put IV 25d35.4%31.4%45.6%33.0%41.7%
Bid-Ask Spread %42.4415.0378.0246.5215.03
Gamma HHI0.080.050.250.050.08
Net GEX1.3M832.4K2.3M971.1K1.0M
Net DEX-22.3M-47.3M-9.8M-12.1M-17.9M
Net VEX-123.7K-131.4K-114.8K-121.8K-122.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.026.251.440.64
Total Volume3,931.27868,8024,7642,556
Total OI158,898128,364178,020160,872131,868

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$10.47$10.0029.2%8.4%33.1%8.1%31.0%5.8%1.2%971.1K-12.1M-121.8K1.4446.52N/AN/A1,9502,81478,09082,782
2012-12-04$10.41$10.0030.6%8.8%33.2%10.5%32.4%5.6%1.3%832.4K-9.8M-127.9K6.2578.02N/AN/A5763,60077,93484,672
2012-12-05$10.61$10.0028.3%8.1%33.0%6.5%31.9%5.0%2.5%981.4K-14.9M-125.0K1.9663.64N/AN/A1,1042,16078,24086,340
2012-12-06$10.68$10.0028.4%8.2%24.6%6.7%31.2%5.0%2.8%1.0M-16.8M-127.0K2.5044.99N/AN/A37293078,64287,552
2012-12-07$10.80$10.3325.5%8.5%23.8%1.4%30.5%7.7%3.0%1.2M-20.2M-122.6K0.5431.08N/AN/A1,09258878,68487,420
2012-12-10$10.77$10.3326.5%8.5%23.9%3.2%32.6%6.7%2.5%1.2M-19.6M-119.0K0.3375.48N/AN/A1,92062478,60687,648
2012-12-11$10.85$10.3326.1%8.4%23.9%2.4%36.5%6.3%2.6%1.3M-22.0M-122.7K4.2925.49N/AN/A6842,93479,03287,912
2012-12-12$10.93$10.3324.9%8.2%23.2%0.4%28.5%6.7%2.8%1.3M-23.0M-114.8K0.8868.03N/AN/A1,8721,65679,20688,446
2012-12-13$10.81$10.5030.2%8.7%18.9%11.9%33.1%6.5%2.0%1.3M-19.5M-123.8K1.3122.73N/AN/A57074479,20689,478
2012-12-14$10.74$10.5030.8%8.8%19.3%13.3%30.2%6.5%1.8%1.3M-17.9M-117.2K0.0227.13N/AN/A7741279,32089,574
2012-12-17$11.13$10.5029.6%8.5%22.0%12.0%32.0%7.2%2.2%1.5M-27.2M-123.1K1.0922.30N/AN/A3,3663,67279,57289,586
2012-12-18$11.42$10.5028.1%8.0%20.6%9.1%29.1%6.9%3.1%1.7M-36.5M-120.9K0.4226.70N/AN/A6,1802,62280,46689,826
2012-12-19$11.30$10.5030.9%8.9%21.2%17.8%31.8%7.5%1.2%1.9M-36.2M-123.4K0.6821.04N/AN/A4,2902,89883,75489,988
2012-12-20$11.59$10.5030.3%8.7%22.4%16.0%30.7%7.8%2.1%2.3M-47.3M-130.4K0.2725.72N/AN/A6,8461,85486,25090,588
2012-12-21$11.36$10.3332.1%9.2%23.3%21.9%34.5%7.1%2.5%2.2M-39.5M-131.4K0.3769.13N/AN/A6,1322,27487,08490,936
2012-12-24$11.33$10.3331.6%9.0%23.1%20.2%32.1%7.6%1.9%1.1M-19.1M-127.1K1.1922.45N/AN/A1,1941,41662,15466,210
2012-12-26$11.24$10.5032.9%9.4%22.4%24.2%36.0%8.6%1.5%1.0M-16.7M-120.3K2.6858.43N/AN/A5221,39861,64467,170
2012-12-27$11.19$10.5034.6%9.9%22.6%29.4%34.5%8.1%1.9%940.4K-15.5M-124.4K0.2456.71N/AN/A2,77267861,90868,310
2012-12-28$11.03$10.5039.9%11.4%23.4%45.1%37.9%9.4%-1.4%855.6K-13.7M-128.5K0.3848.23N/AN/A70827063,11468,748
2012-12-31$11.30$10.5035.9%10.3%24.7%33.2%35.9%8.7%-0.0%1.0M-17.9M-122.5K0.6415.03N/AN/A1,56099663,24068,628