UYG Options History — November 2013

In November 2013, UYG traded between $17.17 and $18.92. ATM implied volatility averaged 23.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.4% (HV 20d: 24.6%). Max pain ranged from $16.17 to $17.33. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.07.

Notable Days

  • 2013-11-18: Highest Volume — 5,688 contracts
  • 2013-11-08: Largest IV drop — 19.2% change
  • 2013-11-07: Highest IV Rank — 22.7%
  • 2013-11-07: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.11$17.17$18.92$17.61$18.77
Max Pain$16.68$16.17$17.33$17.33$17.17
ATM IV23.2%20.4%25.3%22.5%24.4%
Expected Move6.9%6.5%7.4%6.5%7.0%
HV 20d24.6%21.9%31.1%31.1%21.9%
HV 60d26.5%25.0%27.6%27.0%25.3%
IV Rank14.4%1.8%22.7%10.8%20.6%
IV Percentile13.0%1.2%29.0%4.0%26.2%
Term Structure1.6%0.8%2.4%2.3%2.0%
VWIV25.8%21.6%29.3%21.6%27.3%
Skew 25d4.2%3.4%4.9%4.1%4.0%
Skew 10d8.7%6.7%11.0%9.0%8.3%
Call IV 25d22.8%21.2%24.4%21.2%23.3%
Put IV 25d27.0%25.3%28.7%25.3%27.4%
Bid-Ask Spread %22.5315.4054.2854.2819.72
Gamma HHI0.080.050.300.060.07
Net GEX76.4K-200.4K865.8K16.4K-200.4K
Net DEX-23.9M-30.2M-13.9M-19.1M-26.9M
Net VEX-88.1K-100.5K-78.3K-100.5K-87.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.070.429.445.735.49
Total Volume1,946.76065,6886062,220
Total OI76,667.771,23279,69875,82279,698

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$17.61$17.3322.5%6.5%31.1%10.8%21.6%4.1%2.3%16.4K-19.1M-100.5K5.7354.28N/AN/A9051627,52248,300
2013-11-04$17.61$16.1722.8%7.2%29.7%12.0%27.7%4.9%1.4%24.3K-19.7M-94.3K1.7134.77N/AN/A35460627,52247,994
2013-11-05$17.45$16.1722.9%7.2%27.9%12.6%25.4%4.5%1.2%-65.5K-17.5M-95.1K0.4726.76N/AN/A51624027,68448,240
2013-11-06$17.57$16.3322.6%7.1%27.9%11.3%27.3%4.7%1.4%8.5K-19.7M-91.2K1.0020.46N/AN/A76876827,94248,420
2013-11-07$17.17$16.3325.3%7.4%23.0%22.7%29.3%4.3%0.8%-169.4K-13.9M-96.4K6.7822.86N/AN/A2761,87228,28447,772
2013-11-08$17.82$16.3320.4%7.0%25.9%1.8%25.1%4.5%1.0%176.1K-22.9M-89.8K1.3622.62N/AN/A66690628,25448,408
2013-11-11$17.86$16.3321.8%7.1%25.8%7.9%25.9%4.2%1.0%286.8K-23.8M-86.4K2.2824.60N/AN/A42697228,48248,534
2013-11-12$17.57$16.5024.7%7.3%26.0%20.3%27.9%4.7%1.2%-3.9K-19.0M-89.2K2.1117.26N/AN/A39082228,51249,206
2013-11-13$17.86$16.5020.4%7.2%22.8%1.9%25.3%4.3%1.1%298.0K-23.3M-86.6K0.4218.16N/AN/A69629428,74049,590
2013-11-14$18.14$16.5023.5%6.7%22.3%15.3%25.0%4.2%1.4%624.0K-27.5M-82.3K1.7017.95N/AN/A5941,00828,06248,996
2013-11-15$18.30$16.5023.5%6.8%22.4%16.7%25.6%4.0%2.3%865.8K-29.7M-80.0K1.6423.11N/AN/A1,2662,08228,01449,158
2013-11-18$18.25$16.5023.7%6.8%22.4%17.2%25.3%4.0%1.5%127.2K-26.0M-78.3K8.3920.87N/AN/A6065,08225,86645,366
2013-11-19$18.23$16.8324.8%7.1%22.3%22.3%26.0%4.2%1.4%-25.6K-24.4M-85.5K3.1318.28N/AN/A5341,67426,26247,886
2013-11-20$18.11$16.8323.5%6.7%21.9%16.4%24.0%4.1%2.1%-100.0K-22.1M-93.0K2.6819.62N/AN/A3961,06226,57449,374
2013-11-21$18.61$17.0023.4%6.7%23.8%15.8%25.9%3.6%1.5%-96.7K-27.4M-87.2K2.7418.42N/AN/A25870826,64050,334
2013-11-22$18.76$17.0023.0%6.6%23.8%14.3%24.6%3.4%1.7%-79.6K-28.3M-84.0K0.5119.32N/AN/A48024626,07650,826
2013-11-25$18.79$17.0023.2%6.7%23.8%15.1%25.3%4.0%1.8%-56.8K-28.8M-82.9K0.7719.40N/AN/A1,6561,27826,36451,066
2013-11-26$18.79$17.1723.8%6.8%23.8%18.0%26.0%4.1%1.5%-99.8K-28.2M-87.7K3.0016.69N/AN/A4141,24226,83251,870
2013-11-27$18.92$17.1723.3%6.7%23.3%15.3%24.9%4.4%2.4%-2.3K-30.2M-84.4K9.4415.40N/AN/A4744,47627,06051,624
2013-11-29$18.77$17.1724.4%7.0%21.9%20.6%27.3%4.0%2.0%-200.4K-26.9M-87.2K5.4919.72N/AN/A3421,87826,98852,710