UYG Options History — August 2013

In August 2013, UYG traded between $15.41 and $17.63. ATM implied volatility averaged 27.3%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.3% (HV 20d: 22.0%). Max pain ranged from $16.33 to $16.67. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.52.

Notable Days

2013-08-15: Highest Volume — 7,356 contracts
2013-08-15: Largest IV spike — 23.9% change
2013-08-30: Highest IV Rank — 62.9%
2013-08-30: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.53	$15.41	$17.63	$17.62	$15.41
Max Pain	$16.46	$16.33	$16.67	$16.67	$16.33
ATM IV	27.3%	21.5%	34.6%	26.2%	34.6%
Expected Move	8.2%	6.5%	9.9%	7.5%	9.9%
HV 20d	22.0%	19.6%	27.7%	22.6%	24.8%
HV 60d	30.5%	29.7%	31.4%	30.8%	30.2%
IV Rank	31.6%	6.6%	62.9%	26.9%	62.9%
IV Percentile	42.8%	2.8%	92.1%	30.6%	92.1%
Term Structure	2.2%	0.6%	3.5%	1.5%	0.6%
VWIV	29.3%	24.0%	37.3%	26.0%	37.3%
Skew 25d	5.8%	3.2%	7.2%	4.2%	7.2%
Skew 10d	13.1%	9.3%	16.1%	10.4%	16.1%
Call IV 25d	26.2%	22.2%	30.8%	24.7%	30.8%
Put IV 25d	32.0%	25.4%	38.0%	28.8%	38.0%
Bid-Ask Spread %	33.90	17.45	66.95	42.74	18.88
Gamma HHI	0.07	0.04	0.18	0.07	0.04
Net GEX	-167.7K	-816.7K	373.4K	226.0K	-334.4K
Net DEX	-11.6M	-27.0M	2.9M	-27.0M	2.9M
Net VEX	-135.8K	-146.7K	-124.0K	-124.0K	-144.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.52	0.27	6.78	2.92	3.35
Total Volume	2,962.909	456	7,356	3,012	2,400
Total OI	86,305.091	78,348	92,268	81,696	89,100

Daily Data (22 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
2013-08-01	$17.62	$16.67	26.2%	7.5%	22.6%	26.9%	26.0%	4.2%	1.5%	226.0K	-27.0M	-124.0K	2.92	42.74	N/A	N/A	768	2,244	30,372	51,324
2013-08-02	$17.63	$16.67	22.8%	6.5%	20.7%	11.9%	24.0%	3.2%	3.5%	266.0K	-26.3M	-133.3K	0.61	59.27	N/A	N/A	3,054	1,860	30,732	53,238
2013-08-05	$17.56	$16.50	22.7%	7.4%	20.7%	11.6%	25.9%	4.9%	3.4%	373.4K	-26.7M	-136.0K	0.27	43.24	N/A	N/A	642	174	32,898	54,678
2013-08-06	$17.29	$16.50	23.7%	7.6%	21.2%	16.1%	27.1%	5.3%	2.8%	222.9K	-22.2M	-134.7K	2.52	26.78	N/A	N/A	534	1,344	32,970	54,684
2013-08-07	$17.05	$16.50	25.3%	8.0%	21.5%	22.8%	27.6%	6.0%	3.0%	43.7K	-18.0M	-133.6K	1.97	29.71	N/A	N/A	906	1,782	33,144	55,362
2013-08-08	$17.12	$16.50	23.7%	7.8%	20.3%	15.9%	26.5%	5.8%	3.5%	-2.5K	-18.9M	-139.2K	1.25	44.87	N/A	N/A	642	804	33,396	56,520
2013-08-09	$17.05	$16.67	23.4%	7.9%	20.0%	14.6%	29.0%	6.1%	3.1%	-60.8K	-17.2M	-139.9K	0.55	23.87	N/A	N/A	390	216	33,786	57,120
2013-08-12	$16.90	$16.67	25.1%	8.0%	20.0%	22.0%	28.5%	6.4%	2.9%	-203.5K	-14.4M	-134.5K	2.57	65.88	N/A	N/A	528	1,356	33,870	57,126
2013-08-13	$16.98	$16.67	21.5%	7.7%	19.8%	6.6%	27.9%	5.7%	3.4%	-155.3K	-15.6M	-134.9K	2.57	66.95	N/A	N/A	1,242	3,192	34,080	57,810
2013-08-14	$16.87	$16.33	23.6%	7.9%	19.6%	15.7%	26.6%	6.0%	2.7%	-165.2K	-15.2M	-134.5K	0.53	60.53	N/A	N/A	624	330	35,004	57,198
2013-08-15	$16.36	$16.50	29.3%	8.4%	19.8%	40.1%	30.2%	6.5%	2.4%	-816.7K	-5.0M	-132.3K	4.73	27.42	N/A	N/A	1,284	6,072	34,560	55,014
2013-08-16	$16.25	$16.50	28.8%	8.3%	19.8%	38.0%	29.6%	6.1%	2.2%	-688.6K	-2.3M	-136.3K	1.10	18.03	N/A	N/A	1,014	1,116	35,424	56,844
2013-08-19	$15.85	$16.50	30.6%	8.8%	20.1%	45.7%	28.8%	5.6%	1.4%	-298.6K	-3.3M	-136.1K	6.28	17.45	N/A	N/A	906	5,694	28,890	49,458
2013-08-20	$16.17	$16.33	29.1%	8.3%	22.2%	39.4%	31.8%	5.4%	1.9%	-239.8K	-8.6M	-132.9K	1.60	38.33	N/A	N/A	618	990	29,484	49,938
2013-08-21	$16.01	$16.33	29.6%	8.5%	21.7%	41.6%	28.6%	5.8%	1.3%	-257.5K	-6.5M	-138.5K	0.70	21.27	N/A	N/A	1,194	834	29,820	50,298
2013-08-22	$16.34	$16.33	28.2%	8.1%	23.1%	35.4%	28.5%	5.8%	1.9%	-191.2K	-11.2M	-137.9K	0.46	34.65	N/A	N/A	312	144	30,912	50,640
2013-08-23	$16.39	$16.33	27.2%	7.8%	23.2%	31.0%	30.0%	5.2%	2.2%	-196.7K	-12.0M	-134.1K	5.55	22.88	N/A	N/A	186	1,032	31,002	50,640
2013-08-26	$16.20	$16.33	27.5%	7.9%	23.1%	32.5%	28.8%	5.4%	2.3%	-251.7K	-9.3M	-134.2K	6.78	19.54	N/A	N/A	762	5,166	31,152	51,372
2013-08-27	$15.48	$16.33	32.6%	9.3%	27.6%	54.3%	33.4%	6.5%	0.7%	-309.7K	720.0K	-132.9K	3.56	17.96	N/A	N/A	1,302	4,638	31,674	53,052
2013-08-28	$15.51	$16.33	32.7%	9.4%	27.7%	54.8%	32.6%	6.5%	1.3%	-315.7K	669.0K	-136.9K	3.28	25.41	N/A	N/A	1,338	4,386	32,280	53,586
2013-08-29	$15.60	$16.33	32.8%	9.4%	24.8%	55.2%	35.2%	7.0%	1.0%	-333.4K	87.1K	-146.7K	2.18	20.07	N/A	N/A	366	798	32,826	55,434
2013-08-30	$15.41	$16.33	34.6%	9.9%	24.8%	62.9%	37.3%	7.2%	0.6%	-334.4K	2.9M	-144.4K	3.35	18.88	N/A	N/A	552	1,848	33,096	56,004