UYG Options History — September 2013

In September 2013, UYG traded between $15.61 and $17.47. ATM implied volatility averaged 28.6%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.7% (HV 20d: 25.9%). Max pain ranged from $16.00 to $16.83. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2013-09-16: Highest Volume — 5,868 contracts
  • 2013-09-12: Largest IV spike — 15.1% change
  • 2013-09-30: Highest IV Rank — 54.3%
  • 2013-09-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.58$15.61$17.47$15.61$16.37
Max Pain$16.41$16.00$16.83$16.33$16.83
ATM IV28.6%25.2%32.6%32.5%32.6%
Expected Move8.3%7.5%9.3%9.3%9.3%
HV 20d25.9%21.0%29.2%25.8%21.5%
HV 60d26.3%23.4%29.9%29.8%23.4%
IV Rank37.1%22.5%54.3%54.1%54.3%
IV Percentile56.3%23.4%85.7%83.7%85.7%
Term Structure1.8%-0.2%3.2%1.5%-0.2%
VWIV30.3%26.4%34.9%31.8%34.9%
Skew 25d6.2%5.1%7.5%6.7%7.2%
Skew 10d13.5%8.8%17.0%14.6%16.9%
Call IV 25d26.7%24.5%29.9%29.9%29.4%
Put IV 25d32.9%29.6%36.7%36.7%36.6%
Bid-Ask Spread %33.9916.8256.3016.8218.57
Gamma HHI0.060.040.150.040.04
Net GEX-72.3K-387.4K546.9K-387.4K-82.1K
Net DEX-15.2M-35.0M356.2K356.2K-8.9M
Net VEX-126.3K-139.4K-114.5K-139.2K-114.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.027.570.272.22
Total Volume2,182.25105,8681,3141,332
Total OI87,782.166,726100,11090,63070,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$15.61$16.3332.5%9.3%25.8%54.1%31.8%6.7%1.5%-387.4K356.2K-139.2K0.2716.82N/AN/A1,03228233,37857,252
2013-09-04$15.83$16.1730.4%8.7%26.4%45.0%30.2%6.2%2.1%-328.7K-3.6M-139.4K0.4218.54N/AN/A48020434,18857,420
2013-09-05$15.89$16.1730.0%8.6%26.3%43.1%27.3%5.5%1.9%-325.3K-4.5M-138.7K0.1024.74N/AN/A2,67025834,41057,360
2013-09-06$15.91$16.0028.4%8.7%26.2%36.5%31.4%6.8%1.8%-234.1K-5.6M-130.7K2.4230.47N/AN/A4861,17635,47857,564
2013-09-09$16.27$16.0028.2%8.5%27.8%35.7%33.7%7.5%2.3%-203.5K-10.5M-137.4K7.5731.70N/AN/A2521,90835,68858,626
2013-09-10$16.64$16.0026.4%8.3%29.0%27.8%28.2%6.4%2.5%-112.5K-18.3M-134.1K0.9638.12N/AN/A2,2142,13635,88659,418
2013-09-11$16.71$16.0025.2%8.1%29.0%22.5%33.8%6.8%2.1%-118.7K-19.7M-131.3K0.4736.12N/AN/A2,6581,26036,69060,192
2013-09-12$16.51$16.0029.0%8.3%29.2%39.0%28.8%6.4%2.3%-340.1K-15.1M-133.0K0.5141.13N/AN/A82842036,12660,660
2013-09-13$16.61$16.1728.7%8.2%27.2%37.5%28.8%6.3%2.6%-289.2K-16.9M-129.8K0.6353.44N/AN/A31219836,34260,750
2013-09-16$16.92$16.1727.9%8.0%27.7%34.0%30.9%6.3%1.8%-129.4K-24.8M-122.1K1.6556.30N/AN/A2,2143,65436,43860,774
2013-09-17$17.09$16.5027.6%7.9%25.9%32.7%29.3%6.3%1.5%95.3K-27.3M-126.2K0.6156.23N/AN/A70242637,89662,214
2013-09-18$17.47$16.5027.9%8.0%26.0%34.2%29.0%5.6%1.5%546.9K-35.0M-118.0K1.3642.76N/AN/A1,7162,34037,63262,220
2013-09-19$17.31$16.8327.0%7.7%26.0%30.0%29.7%5.1%2.5%475.2K-30.7M-117.0K0.6837.11N/AN/A1,9441,32636,04861,824
2013-09-20$17.11$16.8326.3%7.5%25.8%27.2%27.5%5.1%3.2%87.3K-24.7M-122.7K1.2540.88N/AN/A9961,24236,33062,400
2013-09-23$16.72$16.8328.8%8.3%27.3%38.1%29.5%6.3%2.1%13.3K-12.6M-119.6K4.4355.38N/AN/A6302,79025,93840,788
2013-09-24$16.55$16.6728.7%8.2%27.2%37.6%33.0%5.1%1.6%-31.1K-11.1M-117.0K2.3523.07N/AN/A39091826,34642,150
2013-09-25$16.67$16.6728.2%8.1%21.0%35.6%31.9%5.6%1.8%-25.0K-11.8M-122.0K1.8817.47N/AN/A25247426,55642,792
2013-09-26$16.72$16.6728.4%8.1%21.0%36.4%26.4%6.1%1.1%-19.4K-12.6M-115.8K0.9421.49N/AN/A40838426,56843,080
2013-09-27$16.59$16.8329.5%8.5%21.4%41.1%30.5%6.4%0.5%-37.3K-11.3M-116.3K0.0219.50N/AN/A7201226,70043,410
2013-09-30$16.37$16.8332.6%9.3%21.5%54.3%34.9%7.2%-0.2%-82.1K-8.9M-114.5K2.2218.57N/AN/A41491826,70043,410