UYG Options History — July 2013

In July 2013, UYG traded between $15.70 and $17.79. ATM implied volatility averaged 27.6%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.8% (HV 20d: 31.4%). Max pain ranged from $15.17 to $16.67. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.47.

Notable Days

  • 2013-07-08: Highest Volume — 4,710 contracts
  • 2013-07-05: Largest IV drop — 12.7% change
  • 2013-07-01: Highest IV Rank — 46.9%
  • 2013-07-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.92$15.70$17.79$15.74$17.10
Max Pain$16.10$15.17$16.67$15.50$16.67
ATM IV27.6%24.4%30.9%30.9%27.6%
Expected Move8.1%7.0%8.8%8.8%7.9%
HV 20d31.4%20.7%41.9%41.9%21.0%
HV 60d31.9%30.3%34.3%34.1%30.3%
IV Rank32.9%19.0%46.9%46.9%32.8%
IV Percentile40.4%12.7%65.9%65.9%42.5%
Term Structure1.5%0.2%2.7%2.4%1.2%
VWIV29.5%25.7%38.7%30.7%27.1%
Skew 25d5.2%3.5%6.6%5.8%5.0%
Skew 10d11.3%7.6%14.8%12.2%10.4%
Call IV 25d26.1%23.0%28.5%28.5%26.0%
Put IV 25d31.3%26.8%34.6%34.3%31.0%
Bid-Ask Spread %39.3822.4664.4941.1641.11
Gamma HHI0.060.040.080.050.06
Net GEX110.1K-118.6K294.4K4.0K68.8K
Net DEX-23.5M-32.7M-11.2M-13.2M-20.8M
Net VEX-119.8K-134.7K-102.7K-130.3K-125.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.439.611.074.02
Total Volume2,405.7277624,7101,9143,012
Total OI76,36269,45081,98469,45079,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$15.74$15.5030.9%8.8%41.9%46.9%30.7%5.8%2.4%4.0K-13.2M-130.3K1.0741.16N/AN/A92499027,11442,336
2013-07-02$15.79$15.5030.7%8.8%41.5%46.4%31.4%6.6%1.9%-2.9K-13.3M-131.9K3.1937.02N/AN/A7382,35227,40242,936
2013-07-03$15.70$15.6730.7%8.8%39.9%46.2%28.3%6.4%2.5%-118.6K-11.2M-134.7K0.4343.14N/AN/A53422827,77444,994
2013-07-05$16.18$15.1726.8%8.8%40.1%29.4%30.5%6.4%1.1%13.2K-17.5M-129.1K1.7322.46N/AN/A33057028,08045,204
2013-07-08$16.37$15.1726.9%8.7%39.2%30.0%38.7%5.5%0.2%123.1K-20.4M-124.9K9.6128.63N/AN/A4444,26628,09245,588
2013-07-09$16.63$15.1725.9%8.4%39.5%25.7%35.3%5.9%1.1%213.2K-23.4M-115.6K3.2225.89N/AN/A30698428,16445,960
2013-07-10$16.45$15.1729.2%8.8%37.7%39.9%34.7%6.4%1.0%152.1K-20.8M-119.8K7.7039.99N/AN/A4203,23428,17046,650
2013-07-11$16.79$15.8330.2%8.6%37.3%43.9%32.6%5.6%0.3%180.0K-24.8M-114.9K1.9244.23N/AN/A9301,78828,45248,216
2013-07-12$16.99$16.0028.2%8.1%35.4%35.5%28.9%5.3%1.6%139.9K-26.8M-118.5K0.9939.33N/AN/A1,1881,17628,84249,596
2013-07-15$17.14$16.0029.1%8.3%34.3%39.3%30.6%5.5%0.6%163.5K-29.1M-113.7K2.3540.49N/AN/A1,1102,61029,29850,232
2013-07-16$16.98$16.5029.3%8.4%34.2%40.3%29.2%5.5%0.9%38.6K-26.6M-119.3K1.3040.53N/AN/A62481029,52052,002
2013-07-17$17.14$16.5028.1%8.1%34.1%35.1%28.6%4.8%1.1%10.7K-28.0M-116.0K1.0244.01N/AN/A87088829,40052,584
2013-07-18$17.58$16.5027.1%7.8%32.9%30.7%26.5%4.8%1.5%94.9K-32.7M-104.6K0.4341.63N/AN/A2,25096629,22051,138
2013-07-19$17.57$16.5026.0%7.5%26.7%26.0%27.0%3.5%2.2%17.8K-32.0M-114.3K1.8130.16N/AN/A1,1162,01630,01251,516
2013-07-22$17.79$16.5024.4%7.0%26.7%19.0%28.6%3.8%2.5%294.4K-29.0M-102.7K3.4952.24N/AN/A1,0323,60027,15044,238
2013-07-23$17.70$16.5025.4%7.3%22.3%23.4%26.8%4.2%1.9%286.1K-28.4M-111.0K2.5051.92N/AN/A9662,41228,10444,736
2013-07-24$17.38$16.6726.9%7.7%22.4%29.8%26.9%4.7%1.6%167.7K-24.3M-125.4K2.3227.55N/AN/A6301,46428,81246,338
2013-07-25$17.47$16.6725.6%7.3%21.9%24.2%25.9%4.7%2.4%207.1K-25.7M-114.7K2.3264.49N/AN/A5881,36228,95047,292
2013-07-26$17.42$16.6724.8%7.1%20.7%20.6%25.7%4.5%2.7%172.8K-24.6M-122.7K1.4141.64N/AN/A47466629,37048,606
2013-07-29$17.19$16.6726.6%7.6%20.8%28.5%27.9%5.0%1.2%113.6K-21.9M-123.5K1.0739.17N/AN/A51655229,61649,134
2013-07-30$17.19$16.6726.8%7.7%20.7%29.4%26.8%4.6%1.1%81.6K-21.6M-124.1K0.4729.49N/AN/A67231829,69449,542
2013-07-31$17.10$16.6727.6%7.9%21.0%32.8%27.1%5.0%1.2%68.8K-20.8M-125.0K4.0241.11N/AN/A6002,41230,16849,722