UYG Options History — December 2013

In December 2013, UYG traded between $18.15 and $19.63. ATM implied volatility averaged 25.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.5% (HV 20d: 22.0%). Max pain ranged from $16.33 to $18.17. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.91.

Notable Days

  • 2013-12-18: Highest Volume — 7,314 contracts
  • 2013-12-11: Largest IV spike — 22.0% change
  • 2013-12-11: Highest IV Rank — 46.4%
  • 2013-12-12: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.81$18.15$19.63$18.68$19.63
Max Pain$17.12$16.33$18.17$17.17$18.17
ATM IV25.5%22.2%29.9%26.1%23.7%
Expected Move7.4%6.4%8.3%7.5%6.8%
HV 20d22.0%19.2%24.4%22.1%22.6%
HV 60d25.5%24.8%26.0%25.3%25.2%
IV Rank25.8%10.3%46.4%28.7%17.5%
IV Percentile37.8%4.8%77.4%44.4%22.2%
Term Structure1.8%0.5%4.7%1.4%1.0%
VWIV28.0%23.9%35.2%26.4%24.1%
Skew 25d5.2%3.8%7.0%4.3%4.1%
Skew 10d10.3%7.2%13.4%7.9%8.2%
Call IV 25d24.1%20.8%27.1%24.6%22.3%
Put IV 25d29.3%24.9%33.2%28.9%26.5%
Bid-Ask Spread %40.9313.6273.5515.9118.51
Gamma HHI0.100.060.250.070.11
Net GEX-288.5K-628.6K93.3K-139.2K-117.2K
Net DEX-26.5M-37.7M-19.1M-26.5M-26.8M
Net VEX-89.6K-105.2K-79.7K-84.3K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.1310.240.665.69
Total Volume2,6726787,3141,6501,968
Total OI79,444.28660,00691,86678,94262,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$18.68$17.1726.1%7.5%22.1%28.7%26.4%4.3%1.4%-139.2K-26.5M-84.3K0.6615.91N/AN/A99665427,10251,840
2013-12-03$18.37$17.1727.5%7.9%23.2%35.1%28.4%4.9%0.6%-216.4K-22.3M-88.4K0.7421.11N/AN/A2,1841,62027,38452,236
2013-12-04$18.42$17.1726.1%7.5%22.8%28.6%27.1%4.8%1.4%-254.4K-23.6M-90.7K2.3018.67N/AN/A8281,90228,24252,758
2013-12-05$18.20$17.1728.2%8.1%23.3%38.5%31.3%5.1%0.5%-388.7K-19.1M-95.5K1.5713.62N/AN/A26441428,59654,408
2013-12-06$18.65$16.3322.9%7.4%22.7%13.5%26.8%5.5%2.6%-362.4K-26.4M-86.7K0.6752.47N/AN/A50433628,68654,600
2013-12-09$18.76$16.3324.1%7.4%19.2%19.1%35.2%5.2%2.7%-321.0K-29.0M-81.9K2.7337.29N/AN/A22260628,93254,606
2013-12-10$18.62$16.3324.5%7.4%19.6%21.2%25.9%5.2%2.8%-413.5K-27.0M-85.7K0.2433.43N/AN/A4,8361,16429,09455,212
2013-12-11$18.17$16.5029.9%8.3%20.8%46.4%31.2%6.8%1.0%-427.5K-21.1M-98.3K1.7133.13N/AN/A1,5182,59231,26655,812
2013-12-12$18.15$16.6728.9%8.3%20.1%41.6%30.4%5.9%1.2%-576.8K-20.5M-105.2K0.2836.94N/AN/A1,32037232,26857,468
2013-12-13$18.20$16.6728.4%8.1%19.4%39.5%30.5%7.0%1.8%-599.6K-22.3M-103.8K0.1335.26N/AN/A1,06813832,87457,822
2013-12-16$18.41$16.6728.3%8.1%19.5%39.0%30.0%7.0%2.0%-592.3K-26.0M-100.2K4.9036.92N/AN/A9184,49433,21657,858
2013-12-17$18.29$16.8328.5%8.2%19.7%39.7%29.6%6.7%1.2%-628.6K-23.6M-100.1K0.5935.70N/AN/A63637833,17458,692
2013-12-18$19.05$16.8323.4%6.7%24.4%15.9%26.4%4.8%4.7%-182.3K-36.8M-91.8K0.7372.61N/AN/A4,2303,08432,81458,794
2013-12-19$18.94$17.0025.6%7.3%24.4%26.1%31.4%5.3%1.8%-382.5K-34.8M-90.0K2.0262.09N/AN/A5101,03232,47858,884
2013-12-20$19.16$17.0024.9%7.1%22.8%23.0%25.6%4.9%2.2%29.1K-37.7M-83.9K2.0959.87N/AN/A1,0802,25632,20259,088
2013-12-23$19.39$17.1723.7%6.8%23.0%17.4%24.5%4.6%1.7%93.3K-29.7M-79.7K4.7656.24N/AN/A6483,08424,87035,136
2013-12-24$19.45$18.1723.6%6.8%23.0%16.7%27.8%4.8%1.9%-156.0K-24.9M-85.8K10.2461.63N/AN/A1021,04423,71237,860
2013-12-26$19.51$18.0022.2%6.4%23.0%10.3%24.5%4.3%2.1%-137.7K-25.9M-84.4K8.0717.51N/AN/A3422,76023,78437,788
2013-12-27$19.50$18.1722.2%6.4%22.9%10.3%23.9%3.8%2.0%-184.8K-25.5M-83.5K4.2573.55N/AN/A5042,14223,59238,460
2013-12-30$19.48$18.0022.7%6.5%22.7%12.7%26.3%4.3%1.4%-100.3K-26.0M-81.1K6.8367.01N/AN/A1741,18823,98838,070
2013-12-31$19.63$18.1723.7%6.8%22.6%17.5%24.1%4.1%1.0%-117.2K-26.8M-80.5K5.6918.51N/AN/A2941,67423,79038,874