UYG Options History — January 2013

In January 2013, UYG traded between $11.91 and $12.80. ATM implied volatility averaged 25.2%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.0% (HV 20d: 27.2%). Max pain ranged from $10.50 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2013-01-22: Highest Volume — 6,366 contracts
  • 2013-01-10: Largest IV spike — 9.5% change
  • 2013-01-14: Highest IV Rank — 11.3%
  • 2013-01-08: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.39$11.91$12.80$11.91$12.68
Max Pain$11.56$10.50$12.00$10.50$12.00
ATM IV25.2%22.9%28.0%27.2%23.5%
Expected Move7.4%6.6%8.3%7.8%6.8%
HV 20d27.2%14.5%31.1%29.9%14.5%
HV 60d28.6%27.1%29.8%29.8%27.1%
IV Rank4.0%0.0%11.3%7.2%1.9%
IV Percentile2.6%0.0%9.1%4.0%1.2%
Term Structure1.8%-0.8%3.9%3.5%2.6%
VWIV26.8%22.7%37.6%27.9%25.6%
Skew 25d5.0%3.4%7.7%7.7%3.8%
Skew 10d10.4%7.8%17.6%17.6%11.1%
Call IV 25d23.5%20.5%26.5%23.3%22.4%
Put IV 25d28.5%24.8%31.8%30.9%26.2%
Bid-Ask Spread %56.2124.9688.8756.4688.87
Gamma HHI0.140.100.300.100.18
Net GEX1.8M1.6M2.9M1.6M1.8M
Net DEX-32.5M-40.2M-24.7M-30.4M-26.9M
Net VEX-117.9K-126.7K-108.0K-122.6K-118.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.075.760.823.03
Total Volume3,184.5714446,3664,5782,850
Total OI119,223.42980,712143,364133,55488,374

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$11.91$10.5027.2%7.8%29.9%7.2%27.9%7.7%3.5%1.6M-30.4M-122.6K0.8256.46N/AN/A2,5142,06463,97269,582
2013-01-03$11.92$10.5024.7%7.1%29.7%0.0%26.3%4.8%3.9%1.7M-31.3M-117.9K1.7972.07N/AN/A1,8783,35464,44670,362
2013-01-04$12.20$11.1724.1%8.1%30.0%0.0%29.3%5.7%-0.8%1.7M-36.5M-120.8K1.0640.59N/AN/A2,9343,10264,82472,282
2013-01-07$12.13$11.1725.8%8.2%30.3%4.7%29.7%5.2%0.7%1.8M-35.0M-125.4K1.6736.69N/AN/A1,2062,01665,56873,110
2013-01-08$12.08$11.3326.0%8.3%30.4%5.5%37.6%5.4%1.1%1.7M-33.8M-119.9K0.5548.44N/AN/A3,0241,67465,35274,316
2013-01-09$12.09$11.3325.5%8.2%30.3%3.9%30.8%5.3%1.3%1.8M-32.7M-126.7K1.3046.90N/AN/A1,1821,53665,23275,066
2013-01-10$12.35$11.5027.9%8.0%30.8%11.0%27.2%6.0%1.5%1.8M-38.9M-122.1K0.7124.96N/AN/A1,9141,35665,47875,456
2013-01-11$12.29$11.6726.5%7.6%31.1%7.0%28.5%5.1%2.1%1.8M-36.4M-126.5K1.4345.63N/AN/A57081665,56275,762
2013-01-14$12.25$11.6728.0%8.0%30.7%11.3%27.4%5.5%1.2%1.9M-35.9M-117.4K0.4550.58N/AN/A1,08648665,75476,476
2013-01-15$12.34$11.6726.7%7.6%30.3%7.4%28.0%4.6%2.3%1.9M-38.5M-117.6K0.2832.00N/AN/A1,55443866,24076,488
2013-01-16$12.35$11.6726.4%7.6%28.4%6.5%26.6%5.1%2.8%1.9M-37.7M-120.6K0.8154.32N/AN/A3,2642,64665,34076,488
2013-01-17$12.35$11.6726.2%7.5%27.4%6.1%25.5%4.4%2.3%2.1M-39.2M-115.7K1.0756.01N/AN/A1,8962,02866,56476,452
2013-01-18$12.37$11.6724.1%6.9%26.9%0.0%24.9%4.9%2.3%2.9M-40.2M-108.0K0.5864.04N/AN/A1,71098467,32076,044
2013-01-22$12.59$11.6724.9%7.1%26.3%2.1%23.6%4.4%2.0%1.7M-24.7M-108.9K5.7638.13N/AN/A9425,42442,74437,968
2013-01-23$12.58$11.8323.2%6.6%24.8%0.0%23.8%4.3%2.1%1.6M-24.7M-117.4K1.9165.49N/AN/A8641,65043,58439,576
2013-01-24$12.68$11.8323.9%6.8%24.6%2.0%23.6%4.5%1.3%1.6M-27.0M-118.8K1.9664.99N/AN/A1,4882,92244,17839,642
2013-01-25$12.78$11.8323.4%6.7%24.1%0.6%24.5%4.5%1.5%1.7M-29.1M-112.3K1.1760.65N/AN/A46854644,78441,394
2013-01-28$12.69$12.0024.3%7.0%24.3%3.1%25.7%5.0%1.3%1.7M-27.0M-115.5K3.5286.23N/AN/A15052844,80241,802
2013-01-29$12.80$12.0022.9%6.6%23.0%0.0%23.4%3.4%2.4%1.8M-29.1M-110.1K0.5371.71N/AN/A89447444,83842,270
2013-01-30$12.68$12.0023.8%6.8%22.7%2.7%22.7%4.6%1.3%1.8M-27.2M-113.2K0.0775.67N/AN/A4143045,58842,612
2013-01-31$12.68$12.0023.5%6.8%14.5%1.9%25.6%3.8%2.6%1.8M-26.9M-118.5K3.0388.87N/AN/A7082,14245,73842,636