UYG Options History — May 2013

In May 2013, UYG traded between $14.39 and $16.65. ATM implied volatility averaged 25.2%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.6% (HV 20d: 27.8%). Max pain ranged from $12.50 to $15.17. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.76.

Notable Days

  • 2013-05-15: Highest Volume — 6,624 contracts
  • 2013-05-09: Largest IV spike — 13.9% change
  • 2013-05-31: Highest IV Rank — 26.4%
  • 2013-05-31: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$14.39$16.65$14.39$16.03
Max Pain$13.97$12.50$15.17$14.00$15.00
ATM IV25.2%20.7%30.1%27.4%30.1%
Expected Move7.5%6.6%8.6%7.8%8.6%
HV 20d27.8%21.0%34.3%33.9%26.1%
HV 60d27.7%25.9%29.0%28.1%27.2%
IV Rank13.7%1.7%26.4%19.2%26.4%
IV Percentile21.1%1.2%59.1%30.2%59.1%
Term Structure2.1%0.4%3.3%0.4%1.1%
VWIV27.5%25.1%31.2%28.7%31.2%
Skew 25d4.5%3.2%6.2%6.2%5.1%
Skew 10d9.3%5.4%17.6%11.7%8.1%
Call IV 25d24.5%21.5%28.7%24.7%28.7%
Put IV 25d29.0%25.8%33.8%30.9%33.8%
Bid-Ask Spread %25.0116.5744.3344.3326.60
Gamma HHI0.080.060.160.070.06
Net GEX99.0K-569.1K505.7K355.8K-95.6K
Net DEX-24.0M-33.9M-15.9M-16.0M-18.0M
Net VEX-99.7K-116.8K-88.7K-102.9K-116.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.2624.710.922.83
Total Volume3,281.7275766,6245762,184
Total OI75,105.54567,68681,25869,90080,466

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$14.39$14.0027.4%7.8%33.9%19.2%28.7%6.2%0.4%355.8K-16.0M-102.9K0.9244.33N/AN/A30027627,24642,654
2013-05-02$14.65$14.0024.9%7.1%33.9%12.7%29.5%5.2%2.6%429.6K-18.5M-100.4K1.9142.44N/AN/A47490626,96442,792
2013-05-03$14.93$14.0023.1%6.6%34.1%8.2%26.1%4.2%3.0%492.1K-22.3M-95.0K3.1821.14N/AN/A8762,78427,17442,966
2013-05-06$15.22$12.5022.9%7.3%34.1%7.6%28.8%4.8%1.9%505.7K-24.9M-90.0K2.3826.77N/AN/A1,0142,41827,15043,722
2013-05-07$15.41$12.5022.3%7.2%34.3%6.0%25.1%4.8%2.8%448.0K-27.0M-92.1K2.1123.70N/AN/A1,0082,12427,90044,988
2013-05-08$15.60$12.6720.7%7.1%33.7%1.7%26.3%5.1%2.7%305.0K-29.1M-92.3K2.4022.47N/AN/A1,1762,82028,47646,662
2013-05-09$15.40$12.8323.5%7.5%34.3%9.2%26.9%4.8%2.4%357.8K-26.2M-94.8K24.7123.49N/AN/A2045,04028,60846,626
2013-05-10$15.52$13.1722.6%7.2%34.0%6.7%27.2%5.1%2.5%254.0K-26.7M-97.5K0.7925.58N/AN/A96075628,68046,800
2013-05-13$15.60$13.1724.3%7.3%28.2%11.3%26.7%4.3%2.5%287.3K-28.6M-91.9K2.0226.55N/AN/A9301,87828,92047,256
2013-05-14$16.09$13.1721.5%7.3%28.1%4.0%26.6%5.0%2.1%207.1K-32.9M-88.7K2.2123.42N/AN/A2,0344,49428,82448,510
2013-05-15$16.35$13.5023.8%7.4%23.5%9.9%27.3%4.8%2.7%94.4K-33.9M-89.5K2.3420.02N/AN/A1,9864,63828,88450,400
2013-05-16$16.16$14.0026.2%7.5%22.7%16.0%26.4%4.3%2.8%-569.1K-28.6M-91.3K1.0324.64N/AN/A1,3921,42827,60052,032
2013-05-17$16.56$14.0025.4%7.3%22.5%14.0%26.2%3.7%3.3%-27.8K-32.4M-90.2K0.5622.71N/AN/A1,66893027,93653,322
2013-05-20$16.59$14.1725.0%7.2%22.5%13.0%26.1%3.5%2.5%41.3K-24.1M-91.2K2.3925.94N/AN/A1,0922,61023,11844,568
2013-05-21$16.65$14.5025.6%7.3%21.0%14.6%26.2%3.3%1.8%-76.0K-23.6M-95.6K2.0523.48N/AN/A1,0382,12423,50246,944
2013-05-22$16.26$14.8327.0%7.7%23.8%18.1%27.1%3.2%1.5%-122.1K-19.6M-102.9K1.1021.49N/AN/A2,2802,51423,88047,640
2013-05-23$16.03$15.0027.5%7.9%24.7%19.6%27.6%4.0%2.0%-182.4K-15.9M-111.7K0.2624.86N/AN/A3,06679224,78649,578
2013-05-24$16.05$15.0027.2%7.8%24.2%18.8%27.6%4.6%2.1%-147.0K-17.2M-116.5K2.0122.07N/AN/A1,1342,27426,50250,088
2013-05-28$16.29$15.0027.6%7.9%24.4%19.8%28.0%3.8%1.2%-142.1K-20.1M-114.0K1.4016.57N/AN/A1,2541,75226,73651,552
2013-05-29$16.23$15.1728.7%8.2%24.6%22.7%29.4%4.3%1.2%-152.8K-19.8M-115.2K0.8022.17N/AN/A88871427,26452,602
2013-05-30$16.53$15.1728.0%8.0%22.9%20.8%29.1%5.0%1.3%-85.5K-23.2M-113.0K1.2519.86N/AN/A8761,09227,48052,524
2013-05-31$16.03$15.0030.1%8.6%26.1%26.4%31.2%5.1%1.1%-95.6K-18.0M-116.8K2.8326.60N/AN/A5701,61428,09252,374