UYG Options History — January 2014

In January 2014, UYG traded between $18.18 and $20.07. ATM implied volatility averaged 25.0%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.6% (HV 20d: 22.4%). Max pain ranged from $18.33 to $20.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2014-01-13: Highest Volume — 5,070 contracts
  • 2014-01-13: Largest IV spike — 36.2% change
  • 2014-01-24: Highest IV Rank — 56.1%
  • 2014-01-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.34$18.18$20.07$19.40$18.28
Max Pain$19.46$18.33$20.00$18.33$19.67
ATM IV25.0%18.2%31.1%25.1%29.4%
Expected Move7.3%6.3%8.9%7.2%8.4%
HV 20d22.4%16.8%30.7%22.1%30.7%
HV 60d22.7%20.8%25.5%24.8%25.5%
IV Rank26.9%0.0%56.1%23.9%48.6%
IV Percentile35.9%0.0%86.5%37.7%77.8%
Term Structure1.1%-0.6%2.4%0.8%-0.4%
VWIV26.4%22.1%34.5%27.6%30.3%
Skew 25d4.9%3.5%6.4%3.6%6.4%
Skew 10d10.0%7.5%13.3%7.5%13.3%
Call IV 25d23.8%19.9%29.1%23.7%28.2%
Put IV 25d28.7%24.5%35.2%27.3%34.5%
Bid-Ask Spread %28.8711.9457.4220.5347.49
Gamma HHI0.100.060.200.100.06
Net GEX-316.3K-876.0K27.4K-355.7K-315.0K
Net DEX-17.4M-29.9M94.8K-22.9M-367.4K
Net VEX-79.5K-87.9K-71.3K-84.4K-87.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.417.624.490.45
Total Volume1,786.8573785,0701,6801,128
Total OI54,92434,30870,52464,35640,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$19.40$18.3325.1%7.2%22.1%23.9%27.6%3.6%0.8%-355.7K-22.9M-84.4K4.4920.53N/AN/A3061,37423,92240,434
2014-01-03$19.60$18.5023.5%6.7%22.2%16.6%24.8%3.5%1.8%-410.7K-25.1M-83.5K1.5019.50N/AN/A49273823,91641,334
2014-01-06$19.63$19.3324.2%7.2%21.5%19.6%26.6%5.1%0.9%-432.9K-25.9M-76.5K1.4512.07N/AN/A7621,10423,79641,982
2014-01-07$19.71$19.3323.5%7.1%20.1%16.4%24.5%4.9%1.1%-433.1K-26.4M-76.9K0.5311.94N/AN/A78642023,88642,534
2014-01-08$19.80$19.3323.6%7.0%20.1%16.9%26.5%4.7%1.2%-311.5K-27.9M-78.8K1.7612.96N/AN/A39669624,30642,780
2014-01-09$19.92$19.3323.2%7.1%19.7%14.9%24.5%4.9%0.9%-269.9K-29.9M-74.2K0.9815.78N/AN/A28828224,27043,206
2014-01-10$19.91$19.3322.0%7.1%16.8%9.3%28.8%4.8%0.7%-261.7K-28.8M-75.7K1.6715.48N/AN/A7021,17023,87443,272
2014-01-13$19.33$19.3329.9%7.6%20.7%46.6%29.0%5.3%0.1%-604.3K-19.6M-79.3K7.6219.56N/AN/A5884,48224,14443,920
2014-01-14$19.64$19.3321.0%6.7%21.2%4.7%23.6%4.6%1.8%-876.0K-24.5M-74.5K4.9222.44N/AN/A7503,69023,99445,228
2014-01-15$20.07$19.6718.2%6.6%21.9%0.0%23.7%4.3%2.0%-193.4K-29.3M-71.3K1.5020.53N/AN/A9721,45823,32846,482
2014-01-16$19.79$20.0023.1%6.6%22.6%21.1%23.3%4.8%2.0%-303.9K-26.6M-75.4K3.1622.39N/AN/A5521,74623,65846,806
2014-01-17$19.75$19.8322.4%6.4%17.9%18.2%23.9%4.9%2.3%-491.1K-25.4M-76.2K0.5131.01N/AN/A71436624,01846,506
2014-01-21$19.84$19.6722.2%6.4%17.6%17.4%22.6%5.3%2.1%-17.1K-15.2M-73.4K0.5032.86N/AN/A77439016,11018,198
2014-01-22$19.90$19.6721.9%6.3%17.3%16.0%22.1%4.4%2.4%27.4K-16.3M-73.5K0.6334.74N/AN/A57636016,41618,480
2014-01-23$19.37$19.6725.1%7.2%19.8%30.0%26.7%5.5%1.5%-35.5K-11.6M-78.7K3.2436.85N/AN/A8642,79616,74018,828
2014-01-24$18.49$19.6731.1%8.9%25.6%56.1%32.0%6.1%-0.3%-221.6K-2.8M-86.1K0.6239.53N/AN/A93658216,71021,012
2014-01-27$18.18$19.6730.9%8.9%26.0%54.9%34.5%5.5%-0.6%-261.8K94.8K-83.3K1.3344.90N/AN/A9781,29616,99221,390
2014-01-28$18.62$19.6728.1%8.1%27.8%42.8%27.1%5.2%0.7%-276.4K-3.1M-86.9K0.4145.62N/AN/A56423417,15422,542
2014-01-29$18.24$19.6730.5%8.7%28.5%53.1%0.0%5.3%0.3%-302.4K66.5K-86.3K1.1757.42N/AN/A38445017,20222,734
2014-01-30$18.70$19.6727.0%7.8%30.0%38.3%25.6%5.0%1.2%-296.0K-4.2M-86.0K0.4742.75N/AN/A25812017,40623,118
2014-01-31$18.28$19.6729.4%8.4%30.7%48.6%30.3%6.4%-0.4%-315.0K-367.4K-87.9K0.4547.49N/AN/A78034817,59823,178