UYG Options History — October 2013

In October 2013, UYG traded between $15.80 and $18.10. ATM implied volatility averaged 28.7%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.1% (HV 20d: 28.8%). Max pain ranged from $15.83 to $17.33. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.90.

Notable Days

2013-10-03: Highest Volume — 3,336 contracts
2013-10-07: Largest IV spike — 18.7% change
2013-10-08: Highest IV Rank — 92.1%
2013-10-08: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.25	$15.80	$18.10	$16.65	$17.52
Max Pain	$16.72	$15.83	$17.33	$16.67	$17.33
ATM IV	28.7%	22.8%	41.3%	29.8%	24.0%
Expected Move	8.2%	6.5%	11.0%	8.5%	6.9%
HV 20d	28.8%	21.6%	33.3%	21.8%	31.4%
HV 60d	26.0%	23.3%	27.5%	23.5%	27.0%
IV Rank	37.7%	12.1%	92.1%	42.2%	17.1%
IV Percentile	48.9%	6.0%	99.6%	70.6%	15.5%
Term Structure	0.6%	-2.0%	2.3%	1.4%	1.5%
VWIV	30.0%	22.7%	40.3%	28.9%	24.9%
Skew 25d	6.5%	4.1%	9.9%	7.1%	4.1%
Skew 10d	12.7%	7.7%	18.3%	15.4%	7.7%
Call IV 25d	26.1%	21.0%	34.9%	27.0%	22.4%
Put IV 25d	32.6%	25.1%	44.8%	34.1%	26.5%
Bid-Ask Spread %	36.51	14.85	83.20	23.83	49.86
Gamma HHI	0.06	0.04	0.22	0.04	0.05
Net GEX	89.7K	-268.6K	872.6K	-48.6K	27.6K
Net DEX	-18.2M	-31.0M	-1.4M	-11.3M	-18.7M
Net VEX	-104.5K	-121.1K	-87.5K	-118.4K	-96.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.90	0.24	10.91	1.13	1.01
Total Volume	1,566.261	510	3,336	690	1,578
Total OI	74,766.522	69,828	80,664	70,992	75,132

Daily Data (23 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
2013-10-01	$16.65	$16.67	29.8%	8.5%	21.8%	42.2%	28.9%	7.1%	1.4%	-48.6K	-11.3M	-118.4K	1.13	23.83	N/A	N/A	324	366	26,994	43,998
2013-10-02	$16.60	$16.67	31.0%	8.9%	21.6%	47.7%	38.0%	7.7%	0.9%	-61.9K	-10.9M	-114.0K	0.83	29.03	N/A	N/A	324	270	27,054	44,316
2013-10-03	$16.32	$16.67	32.6%	9.3%	22.6%	54.2%	33.4%	7.9%	0.8%	-104.8K	-7.6M	-121.1K	1.22	19.12	N/A	N/A	1,506	1,830	27,330	44,586
2013-10-04	$16.58	$15.83	32.1%	9.3%	23.2%	52.2%	37.8%	8.3%	0.0%	-84.5K	-10.9M	-115.9K	4.34	14.85	N/A	N/A	210	912	27,846	45,156
2013-10-07	$16.23	$16.33	38.1%	10.4%	23.3%	78.2%	33.9%	9.3%	-1.0%	-163.1K	-6.4M	-120.6K	3.38	17.18	N/A	N/A	426	1,440	27,888	45,840
2013-10-08	$15.80	$16.33	41.3%	11.0%	23.6%	92.1%	40.3%	9.9%	-2.0%	-255.1K	-1.4M	-117.7K	2.43	17.78	N/A	N/A	252	612	28,140	46,944
2013-10-09	$15.89	$16.33	39.2%	10.9%	23.6%	83.1%	39.8%	9.6%	-1.3%	-268.6K	-2.3M	-116.5K	0.84	24.09	N/A	N/A	1,440	1,212	28,236	47,364
2013-10-10	$16.76	$15.83	32.7%	9.4%	30.6%	54.9%	32.1%	7.9%	-0.7%	-78.1K	-13.8M	-115.0K	1.16	26.47	N/A	N/A	1,032	1,194	29,112	48,534
2013-10-11	$17.01	$15.83	29.9%	8.6%	30.9%	42.7%	33.9%	7.5%	0.1%	51.0K	-18.0M	-111.2K	0.24	26.57	N/A	N/A	1,122	264	29,604	48,510
2013-10-14	$17.15	$16.33	30.7%	8.8%	30.4%	46.4%	29.7%	7.1%	-0.4%	105.3K	-19.7M	-112.7K	0.62	29.56	N/A	N/A	894	552	29,952	48,570
2013-10-15	$16.91	$16.33	33.4%	9.6%	30.6%	57.9%	31.8%	8.4%	-1.3%	89.6K	-17.9M	-109.2K	0.54	29.97	N/A	N/A	336	180	30,714	49,032
2013-10-16	$17.57	$16.33	28.5%	8.2%	32.7%	36.9%	30.7%	7.2%	0.1%	294.7K	-27.3M	-101.0K	3.48	32.64	N/A	N/A	486	1,692	30,762	49,152
2013-10-17	$17.94	$16.83	25.3%	7.3%	33.3%	22.9%	27.0%	5.6%	0.9%	500.5K	-31.0M	-95.0K	3.27	35.44	N/A	N/A	618	2,022	30,228	49,944
2013-10-18	$18.04	$16.83	23.8%	6.8%	32.9%	16.3%	27.3%	5.2%	1.7%	872.6K	-29.8M	-99.6K	2.21	32.91	N/A	N/A	738	1,632	29,274	51,390
2013-10-21	$17.97	$17.00	23.5%	6.7%	31.6%	15.0%	23.6%	4.9%	2.3%	168.4K	-24.2M	-90.1K	1.12	38.29	N/A	N/A	1,020	1,146	25,830	43,998
2013-10-22	$18.05	$17.17	24.0%	6.9%	31.2%	17.2%	26.4%	4.2%	1.8%	186.3K	-25.1M	-93.6K	10.91	37.57	N/A	N/A	132	1,440	26,550	44,664
2013-10-23	$17.81	$17.33	24.2%	6.9%	31.8%	18.0%	26.3%	4.6%	1.4%	133.1K	-22.6M	-94.7K	6.42	43.23	N/A	N/A	144	924	26,640	45,408
2013-10-24	$17.93	$17.33	23.0%	6.6%	31.8%	12.9%	23.3%	4.5%	2.0%	138.0K	-23.4M	-94.5K	8.80	49.17	N/A	N/A	60	528	26,622	45,234
2013-10-25	$18.05	$17.33	22.8%	6.5%	31.6%	12.1%	22.7%	4.2%	1.7%	174.7K	-25.4M	-87.5K	0.93	52.97	N/A	N/A	264	246	26,616	45,660
2013-10-28	$18.01	$17.33	24.0%	6.9%	31.0%	17.4%	29.4%	4.5%	1.2%	176.7K	-24.6M	-88.9K	5.85	54.33	N/A	N/A	288	1,686	26,712	45,906
2013-10-29	$18.10	$17.33	23.4%	6.7%	30.6%	14.6%	25.3%	4.2%	1.8%	130.6K	-24.8M	-92.6K	4.44	71.73	N/A	N/A	192	852	26,718	46,992
2013-10-30	$17.89	$17.33	23.7%	6.8%	31.0%	15.9%	23.6%	5.3%	1.6%	77.6K	-22.3M	-98.1K	1.58	83.20	N/A	N/A	636	1,002	26,826	47,652
2013-10-31	$17.52	$17.33	24.0%	6.9%	31.4%	17.1%	24.9%	4.1%	1.5%	27.6K	-18.7M	-96.2K	1.01	49.86	N/A	N/A	786	792	27,360	47,772