UYG Options History — February 2013

In February 2013, UYG traded between $12.55 and $13.47. ATM implied volatility averaged 25.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 21.1%). Max pain ranged from $11.00 to $11.83. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.62.

Notable Days

  • 2013-02-19: Highest Volume — 5,862 contracts
  • 2013-02-25: Largest IV spike — 36.3% change
  • 2013-02-25: Highest IV Rank — 37.2%
  • 2013-02-25: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$12.55$13.47$12.99$13.01
Max Pain$11.27$11.00$11.83$11.00$11.83
ATM IV25.8%21.2%35.0%21.2%28.7%
Expected Move7.6%6.2%10.0%7.1%8.2%
HV 20d21.1%16.3%31.2%16.3%31.0%
HV 60d24.3%22.0%27.7%27.5%26.1%
IV Rank12.2%0.0%37.2%0.0%20.0%
IV Percentile13.0%0.0%62.3%0.0%26.6%
Term Structure2.6%-2.3%4.8%4.0%1.0%
VWIV28.2%23.6%34.4%26.7%34.0%
Skew 25d5.3%4.4%7.1%5.6%5.2%
Skew 10d12.0%9.3%15.0%11.3%10.5%
Call IV 25d24.3%20.2%32.2%22.1%26.4%
Put IV 25d29.7%25.1%39.3%27.7%31.6%
Bid-Ask Spread %49.6131.8278.8163.7075.78
Gamma HHI0.190.170.250.190.19
Net GEX2.0M1.7M2.5M1.9M2.2M
Net DEX-34.5M-43.5M-21.5M-33.6M-32.0M
Net VEX-104.5K-118.2K-89.6K-109.5K-105.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.116.530.501.44
Total Volume2,377.2633545,8621,230894
Total OI91,291.57984,26495,58690,15695,586

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$12.99$11.0021.2%7.1%16.3%0.0%26.7%5.6%4.0%1.9M-33.6M-109.5K0.5063.70N/AN/A82240846,05644,100
2013-02-04$12.71$11.0025.6%8.0%17.3%11.8%33.4%5.3%1.7%1.7M-27.9M-110.0K2.8649.79N/AN/A5761,65046,33244,196
2013-02-05$12.99$11.0022.5%7.6%18.4%3.5%28.2%5.3%2.9%1.9M-33.0M-118.2K2.8155.26N/AN/A6841,92046,59644,856
2013-02-06$13.06$11.0022.7%7.7%18.1%3.8%29.9%4.9%3.4%1.8M-35.0M-110.3K0.3355.07N/AN/A1,08636047,03443,392
2013-02-07$12.95$11.0026.5%7.6%18.7%14.2%29.7%5.1%3.0%1.9M-33.3M-109.6K2.7452.50N/AN/A4621,26647,56243,734
2013-02-08$13.05$11.0025.6%7.3%17.6%11.9%27.6%5.3%4.0%2.0M-35.1M-108.6K0.3746.87N/AN/A1,75264847,56244,136
2013-02-11$13.12$11.0024.9%7.1%17.4%9.7%28.9%5.1%4.4%2.3M-38.1M-106.9K1.6637.62N/AN/A40867848,96043,920
2013-02-12$13.32$11.0024.3%7.0%17.6%8.3%25.2%4.7%3.9%2.2M-42.8M-99.1K1.0540.46N/AN/A1,5241,60248,99644,172
2013-02-13$13.27$11.0024.3%7.0%17.8%8.3%26.3%5.1%3.5%2.3M-41.8M-98.5K0.3540.72N/AN/A1,96268449,52443,788
2013-02-14$13.34$11.0023.3%6.7%17.8%5.5%23.7%4.4%4.8%2.3M-43.5M-102.5K2.0942.60N/AN/A5161,08049,28443,032
2013-02-15$13.27$11.1722.9%6.6%18.1%4.5%23.9%5.0%4.7%2.5M-42.3M-97.2K0.5047.82N/AN/A88844449,32643,158
2013-02-19$13.47$11.1721.6%6.2%18.5%1.1%23.6%4.9%2.9%1.8M-41.8M-89.6K2.3942.75N/AN/A1,7284,13445,06639,198
2013-02-20$13.09$11.3326.3%7.5%21.0%13.7%27.0%4.9%1.5%2.0M-34.0M-100.7K6.5334.89N/AN/A3722,43046,47640,998
2013-02-21$12.91$11.6728.9%8.3%21.8%20.5%28.5%5.5%1.1%1.9M-28.4M-105.5K0.8936.06N/AN/A1,00890046,62043,104
2013-02-22$13.20$11.6725.7%7.4%22.9%12.1%25.2%5.9%2.6%2.0M-35.3M-102.1K0.1131.82N/AN/A3183646,95042,744
2013-02-25$12.55$11.6735.0%10.0%29.5%37.2%34.4%7.1%-2.3%1.7M-21.5M-99.6K2.9234.20N/AN/A1,2663,70246,98042,756
2013-02-26$12.69$11.8331.4%9.0%29.7%27.3%32.8%6.3%0.5%2.0M-22.9M-105.3K0.7675.87N/AN/A2,5081,90247,64045,702
2013-02-27$13.06$11.8328.0%8.0%31.2%18.3%27.6%5.5%1.5%2.2M-33.0M-106.0K0.4578.81N/AN/A1,76478649,14645,858
2013-02-28$13.01$11.8328.7%8.2%31.0%20.0%34.0%5.2%1.0%2.2M-32.0M-105.6K1.4475.78N/AN/A36652849,60845,978