UYG Options History — April 2013

In April 2013, UYG traded between $13.46 and $14.71. ATM implied volatility averaged 26.9%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.7% (HV 20d: 27.6%). Max pain ranged from $13.50 to $14.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2013-04-10: Highest Volume — 4,560 contracts
  • 2013-04-15: Largest IV spike — 21.7% change
  • 2013-04-15: Highest IV Rank — 33.3%
  • 2013-04-15: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.12$13.46$14.71$13.93$14.71
Max Pain$13.94$13.50$14.00$13.50$14.00
ATM IV26.9%23.9%32.8%25.7%24.9%
Expected Move7.8%7.1%9.4%7.4%7.1%
HV 20d27.6%17.6%35.0%18.1%34.9%
HV 60d25.5%22.0%28.5%22.0%28.1%
IV Rank18.1%10.2%33.3%14.8%12.8%
IV Percentile24.2%6.7%59.5%15.1%12.7%
Term Structure0.9%-1.2%2.3%1.5%1.5%
VWIV27.8%23.9%34.9%25.7%30.3%
Skew 25d5.9%4.3%8.0%6.2%5.2%
Skew 10d12.8%10.3%15.5%12.4%12.6%
Call IV 25d24.7%21.9%30.0%23.9%22.7%
Put IV 25d30.5%27.9%36.8%30.1%27.9%
Bid-Ask Spread %35.3219.7958.2528.9849.04
Gamma HHI0.080.060.130.080.07
Net GEX363.8K-146.9K708.8K403.1K439.8K
Net DEX-14.7M-22.2M-3.8M-14.0M-19.8M
Net VEX-96.8K-103.0K-90.8K-94.3K-98.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.305.610.882.49
Total Volume2,2866844,5601,2841,782
Total OI66,89159,12474,23861,32669,036

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$13.93$13.5025.7%7.4%18.1%14.8%25.7%6.2%1.5%403.1K-14.0M-94.3K0.8828.98N/AN/A68460025,77035,556
2013-04-02$14.05$13.6725.1%7.2%17.6%13.4%24.9%5.3%2.2%432.4K-14.8M-95.2K1.6731.71N/AN/A42070225,81236,078
2013-04-03$13.62$13.6728.6%8.2%20.5%22.5%28.1%6.2%0.2%261.6K-10.8M-94.0K1.6025.16N/AN/A7981,27826,09436,366
2013-04-04$13.87$13.8327.6%7.9%21.1%19.9%26.2%5.8%1.3%291.0K-12.1M-98.9K0.5026.37N/AN/A51625826,22637,218
2013-04-05$13.79$14.0028.3%8.4%20.9%21.7%30.2%7.1%-0.3%286.5K-11.4M-100.4K1.9920.52N/AN/A8521,69826,60437,404
2013-04-08$14.07$14.0027.3%7.9%21.9%19.1%28.1%6.5%0.3%441.5K-16.0M-90.8K1.2019.79N/AN/A52262427,30638,598
2013-04-09$14.13$14.0025.8%7.6%21.5%15.1%27.6%5.1%0.6%532.6K-16.4M-95.8K1.1724.46N/AN/A1,3921,62627,54638,664
2013-04-10$14.45$14.0023.9%7.4%22.4%10.2%27.8%5.9%1.0%708.8K-21.0M-94.5K5.6127.78N/AN/A6903,87028,69839,696
2013-04-11$14.55$14.0026.2%7.5%22.5%16.3%25.6%5.3%1.2%691.6K-22.2M-96.5K0.8624.59N/AN/A1,15899629,09440,308
2013-04-12$14.42$14.0026.9%7.7%22.4%18.1%28.2%5.0%1.2%583.5K-19.5M-98.0K0.7831.06N/AN/A38430029,31641,148
2013-04-15$13.75$14.0032.8%9.4%28.1%33.3%31.7%4.3%-1.2%156.2K-9.5M-103.0K0.5231.65N/AN/A1,62685229,57441,388
2013-04-16$14.19$14.0027.1%7.8%29.8%18.6%28.3%6.0%1.0%634.8K-15.9M-99.6K0.5033.67N/AN/A2,2141,11630,36641,778
2013-04-17$13.69$14.0031.0%8.9%32.3%28.6%34.9%6.9%0.5%6.9K-7.3M-101.7K0.5132.75N/AN/A2,0461,03830,52242,660
2013-04-18$13.46$14.0032.5%9.3%32.5%32.6%30.9%8.0%-0.2%-146.9K-3.8M-99.6K0.3041.42N/AN/A2,11863630,84042,780
2013-04-19$13.82$14.0026.8%7.7%33.3%17.6%26.5%6.5%2.3%285.9K-9.5M-95.4K0.6741.09N/AN/A1,02669031,25442,984
2013-04-22$13.83$14.0026.5%7.6%33.1%17.0%27.6%5.9%1.5%156.9K-10.8M-93.3K0.9451.99N/AN/A1,6321,53023,67035,454
2013-04-23$14.27$14.0026.0%7.5%34.8%15.7%28.0%6.9%0.7%304.4K-15.6M-94.3K1.4658.25N/AN/A1,2121,76425,26036,738
2013-04-24$14.44$14.0024.7%7.1%34.8%12.3%24.8%5.2%1.1%334.6K-17.4M-94.4K0.6557.09N/AN/A2,1421,39825,70437,158
2013-04-25$14.59$14.0024.9%7.1%34.8%12.8%24.6%5.5%1.3%402.4K-19.0M-93.2K2.5941.94N/AN/A1,1282,92226,10038,538
2013-04-26$14.45$14.0024.6%7.1%35.0%12.1%23.9%4.3%1.8%396.0K-17.5M-99.1K4.4444.75N/AN/A2461,09226,74840,818
2013-04-29$14.60$14.0025.3%7.2%34.9%13.8%27.3%5.7%1.0%401.2K-18.4M-99.9K2.3133.06N/AN/A21649826,92841,802
2013-04-30$14.71$14.0024.9%7.1%34.9%12.8%30.3%5.2%1.5%439.8K-19.8M-98.2K2.4949.04N/AN/A5101,27227,09041,946