UYG Options History — June 2013

In June 2013, UYG traded between $14.53 and $16.23. ATM implied volatility averaged 33.2%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 1.3% (HV 20d: 34.5%). Max pain ranged from $15.00 to $16.17. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.07.

Notable Days

2013-06-20: Highest Volume — 8,124 contracts
2013-06-20: Largest IV spike — 21.1% change
2013-06-20: Highest IV Rank — 80.9%
2013-06-20: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.60	$14.53	$16.23	$16.08	$15.57
Max Pain	$15.66	$15.00	$16.17	$15.00	$15.50
ATM IV	33.2%	28.1%	39.6%	31.6%	33.0%
Expected Move	9.6%	8.7%	11.4%	9.1%	9.4%
HV 20d	34.5%	25.6%	42.8%	25.6%	41.7%
HV 60d	31.0%	27.1%	34.4%	27.1%	34.1%
IV Rank	45.2%	23.4%	80.9%	30.2%	56.0%
IV Percentile	74.2%	42.9%	95.2%	69.0%	77.8%
Term Structure	0.4%	-4.0%	2.7%	0.3%	0.9%
VWIV	34.4%	30.3%	41.0%	30.3%	34.2%
Skew 25d	6.6%	4.4%	9.3%	4.8%	5.8%
Skew 10d	13.5%	9.5%	18.5%	12.6%	12.8%
Call IV 25d	30.7%	28.4%	35.5%	29.7%	30.5%
Put IV 25d	37.3%	33.8%	44.5%	34.5%	36.3%
Bid-Ask Spread %	36.11	21.60	57.29	24.23	40.58
Gamma HHI	0.06	0.05	0.09	0.06	0.05
Net GEX	-136.1K	-423.6K	39.3K	-56.1K	-25.6K
Net DEX	-12.2M	-21.7M	-710.4K	-18.3M	-11.2M
Net VEX	-121.6K	-131.8K	-114.3K	-115.5K	-131.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.21	2.69	0.21	0.69
Total Volume	2,896.8	888	8,124	4,668	900
Total OI	82,341	61,974	95,016	80,346	68,700

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-06-03	$16.08	$15.00	31.6%	9.1%	25.6%	30.2%	30.3%	4.8%	0.3%	-56.1K	-18.3M	-115.5K	0.21	24.23	N/A	N/A	3,870	798	28,368	51,978
2013-06-04	$15.80	$15.00	32.5%	9.3%	26.0%	32.6%	32.4%	5.2%	-0.5%	-66.6K	-15.5M	-116.6K	1.09	21.76	N/A	N/A	1,458	1,584	28,830	52,146
2013-06-05	$15.31	$15.00	34.8%	10.0%	28.1%	38.6%	35.7%	5.0%	-0.6%	-90.4K	-9.3M	-121.9K	1.21	25.03	N/A	N/A	1,878	2,280	29,814	53,430
2013-06-06	$15.75	$15.00	32.4%	9.3%	29.6%	32.4%	32.4%	5.9%	1.3%	-101.9K	-14.3M	-124.1K	0.42	21.60	N/A	N/A	1,410	594	30,612	55,020
2013-06-07	$16.18	$16.00	28.1%	8.7%	30.5%	23.4%	32.2%	5.3%	1.3%	14.1K	-20.7M	-120.2K	2.18	26.82	N/A	N/A	918	1,998	31,050	55,464
2013-06-10	$16.23	$16.17	29.9%	8.9%	30.4%	28.6%	34.9%	5.8%	1.1%	-43.7K	-21.7M	-115.8K	0.88	26.12	N/A	N/A	774	684	31,206	56,652
2013-06-11	$15.70	$16.17	32.4%	9.5%	32.9%	36.0%	32.8%	5.9%	0.4%	-239.9K	-12.9M	-122.0K	0.63	29.05	N/A	N/A	606	384	31,158	57,306
2013-06-12	$15.40	$16.00	35.5%	10.2%	31.5%	44.9%	34.0%	7.3%	-0.3%	-270.0K	-8.3M	-125.2K	0.68	29.13	N/A	N/A	834	570	31,482	57,420
2013-06-13	$15.98	$16.00	32.2%	9.2%	33.9%	35.2%	32.7%	7.1%	0.9%	-145.7K	-17.6M	-118.3K	0.71	33.41	N/A	N/A	858	612	31,920	57,570
2013-06-14	$15.64	$15.83	32.8%	9.4%	34.5%	41.4%	32.6%	8.5%	0.6%	-199.6K	-12.7M	-121.0K	0.29	37.52	N/A	N/A	690	198	32,538	57,738
2013-06-17	$15.91	$15.83	33.0%	9.5%	33.8%	42.0%	36.7%	6.9%	0.2%	-187.6K	-16.8M	-116.3K	2.69	38.22	N/A	N/A	366	984	32,676	57,894
2013-06-18	$16.12	$15.83	32.1%	9.2%	34.2%	39.3%	37.9%	6.5%	0.9%	-130.7K	-20.2M	-115.2K	2.22	39.07	N/A	N/A	720	1,596	32,778	58,518
2013-06-19	$15.67	$15.83	32.7%	9.4%	35.4%	46.6%	32.7%	4.4%	-0.3%	-377.1K	-11.6M	-115.7K	0.84	51.41	N/A	N/A	2,352	1,974	32,442	59,256
2013-06-20	$14.96	$15.83	39.6%	11.4%	38.0%	80.9%	41.0%	8.8%	-4.0%	-423.6K	-710.4K	-114.3K	0.86	47.08	N/A	N/A	4,356	3,768	31,824	58,164
2013-06-21	$15.03	$15.83	35.3%	10.1%	37.9%	62.9%	37.2%	8.5%	-0.1%	-154.6K	-2.6M	-123.3K	0.61	44.96	N/A	N/A	4,326	2,658	34,464	60,552
2013-06-24	$14.53	$15.83	39.6%	11.4%	39.4%	80.9%	38.9%	9.3%	-0.5%	-137.8K	-1.3M	-128.1K	0.87	48.09	N/A	N/A	1,710	1,482	23,616	38,358
2013-06-25	$15.04	$15.50	34.0%	9.7%	41.3%	57.6%	34.8%	8.3%	2.0%	-85.0K	-6.1M	-128.4K	1.13	31.35	N/A	N/A	858	972	24,816	39,066
2013-06-26	$15.34	$15.50	32.4%	9.3%	42.1%	51.0%	34.3%	7.2%	1.9%	-38.8K	-9.0M	-129.3K	1.11	57.29	N/A	N/A	1,458	1,614	25,428	39,678
2013-06-27	$15.76	$15.50	30.4%	8.7%	42.8%	42.9%	31.1%	6.4%	2.7%	39.3K	-13.7M	-128.0K	2.00	49.46	N/A	N/A	948	1,896	26,322	40,566
2013-06-28	$15.57	$15.50	33.0%	9.4%	41.7%	56.0%	34.2%	5.8%	0.9%	-25.6K	-11.2M	-131.8K	0.69	40.58	N/A	N/A	534	366	26,670	42,030