UYG Options History — March 2013

In March 2013, UYG traded between $13.08 and $14.24. ATM implied volatility averaged 24.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.2% (HV 20d: 27.0%). Max pain ranged from $11.83 to $13.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2013-03-19: Highest Volume — 5,940 contracts
  • 2013-03-14: Largest IV spike — 23.4% change
  • 2013-03-21: Highest IV Rank — 21.7%
  • 2013-03-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.87$13.08$14.24$13.08$14.06
Max Pain$13.27$11.83$13.67$11.83$13.50
ATM IV24.9%20.0%28.3%28.2%25.1%
Expected Move7.5%6.7%8.3%8.1%7.2%
HV 20d27.0%17.5%31.1%31.1%17.5%
HV 60d25.5%24.2%26.3%26.0%24.2%
IV Rank12.0%0.0%21.7%18.7%13.2%
IV Percentile12.2%0.0%27.8%22.2%12.3%
Term Structure2.0%0.3%3.7%2.3%2.0%
VWIV27.2%23.6%32.0%30.1%24.1%
Skew 25d6.1%4.9%7.8%6.0%5.7%
Skew 10d13.6%10.0%19.8%19.8%12.8%
Call IV 25d23.6%20.9%25.9%25.3%22.6%
Put IV 25d29.7%25.8%32.7%31.3%28.4%
Bid-Ask Spread %38.9316.6088.3488.3456.07
Gamma HHI0.100.050.190.190.07
Net GEX874.6K235.7K2.3M2.3M414.2K
Net DEX-35.1M-61.5M-11.6M-33.6M-14.8M
Net VEX-89.4K-103.9K-75.1K-103.9K-94.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0512.200.100.45
Total Volume2,040.33785,9403,3961,956
Total OI80,636.447,346104,59296,00059,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$13.08$11.8328.2%8.1%31.1%18.7%30.1%6.0%2.3%2.3M-33.6M-103.9K0.1088.34N/AN/A3,08431249,81846,182
2013-03-04$13.29$12.8326.3%8.3%30.4%13.5%28.0%7.8%0.3%2.3M-40.9M-102.4K0.0646.38N/AN/A6484250,91046,404
2013-03-05$13.51$12.8324.4%7.7%29.6%8.6%29.3%6.1%1.6%2.0M-48.2M-89.4K1.8328.14N/AN/A7981,45851,32446,422
2013-03-06$13.66$13.0025.0%7.6%28.9%10.3%31.3%6.6%1.8%1.7M-50.8M-88.0K0.6026.71N/AN/A1,22473251,29447,514
2013-03-07$13.81$13.0025.4%7.7%29.0%11.1%29.3%6.6%1.7%1.5M-53.5M-89.0K0.4516.60N/AN/A2,6101,17651,81648,108
2013-03-08$13.90$13.1720.1%7.3%28.7%0.0%26.1%5.6%2.6%1.2M-57.0M-81.4K0.4019.28N/AN/A1,18247453,29848,864
2013-03-11$14.08$13.3320.3%7.0%28.9%0.5%23.9%6.3%3.1%692.2K-60.6M-75.1K0.6446.58N/AN/A2,1361,36253,53249,260
2013-03-12$13.92$13.3320.8%7.1%29.4%1.9%25.2%5.4%2.9%911.9K-58.3M-78.4K1.1034.10N/AN/A81088853,95249,470
2013-03-13$14.01$13.3320.0%7.1%29.1%0.0%26.3%5.7%2.8%780.7K-59.6M-81.1K0.3130.40N/AN/A2889054,25250,340
2013-03-14$14.19$13.3324.7%7.1%29.2%12.2%26.3%5.5%2.8%659.1K-60.4M-82.0K1.3431.80N/AN/A7501,00853,11249,962
2013-03-15$14.24$13.3323.5%6.7%29.2%9.2%23.6%4.9%3.7%623.7K-61.5M-76.3K0.4242.27N/AN/A1,33256453,40050,760
2013-03-18$14.00$13.3324.9%7.1%29.9%12.9%25.3%5.7%1.8%290.8K-13.4M-78.3K0.7334.71N/AN/A2,5201,84220,28027,066
2013-03-19$13.87$13.5028.2%8.1%29.8%21.5%27.5%6.1%1.4%281.7K-12.6M-90.4K12.2028.13N/AN/A4505,49022,14028,536
2013-03-20$14.04$13.5026.0%7.5%27.9%15.6%25.1%6.0%1.9%274.7K-13.1M-97.9K0.4352.85N/AN/A52222222,47033,426
2013-03-21$13.77$13.6728.3%8.1%28.4%21.7%27.0%6.8%1.1%235.7K-11.6M-94.5K0.1338.52N/AN/A7149622,80033,504
2013-03-22$13.92$13.6727.3%7.8%27.6%19.1%30.7%7.2%1.4%278.5K-12.3M-101.4K1.1830.01N/AN/A54664223,44833,558
2013-03-25$13.89$13.6727.1%7.8%19.3%18.4%32.0%6.3%1.5%295.8K-12.7M-95.9K2.8727.88N/AN/A3661,05023,80234,104
2013-03-26$14.07$13.6725.6%7.3%19.4%14.6%26.8%5.9%1.7%358.4K-13.9M-93.3K0.0552.62N/AN/A5523023,82034,806
2013-03-27$13.99$13.5026.2%7.5%17.7%16.2%26.7%5.7%1.3%358.1K-13.8M-95.3K0.2747.22N/AN/A66018024,33634,836
2013-03-28$14.06$13.5025.1%7.2%17.5%13.2%24.1%5.7%2.0%414.2K-14.8M-94.3K0.4556.07N/AN/A1,35060624,84634,956