UYG Options History — February 2014

In February 2014, UYG traded between $17.40 and $19.47. ATM implied volatility averaged 27.4%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 7.4% (HV 20d: 34.7%). Max pain ranged from $16.67 to $19.67. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.57.

Notable Days

  • 2014-02-12: Highest Volume — 3,540 contracts
  • 2014-02-13: Largest IV spike — 14.2% change
  • 2014-02-03: Highest IV Rank — 92.6%
  • 2014-02-03: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.79$17.40$19.47$17.40$19.47
Max Pain$17.61$16.67$19.67$19.67$17.33
ATM IV27.4%22.9%39.6%39.6%24.6%
Expected Move8.0%7.0%11.4%11.4%7.1%
HV 20d34.7%28.2%38.0%34.4%28.2%
HV 60d26.9%26.6%27.6%27.4%26.9%
IV Rank39.7%20.3%92.6%92.6%27.8%
IV Percentile50.3%11.1%98.8%98.8%30.2%
Term Structure1.3%-2.6%2.9%-2.6%1.8%
VWIV29.1%23.7%38.2%38.2%23.7%
Skew 25d5.5%3.7%8.9%8.9%4.1%
Skew 10d12.5%7.7%16.5%13.1%11.0%
Call IV 25d25.8%22.9%35.6%35.6%23.0%
Put IV 25d31.3%27.0%44.5%44.5%27.0%
Bid-Ask Spread %66.2051.7476.6551.7476.15
Gamma HHI0.070.050.130.060.07
Net GEX-101.9K-338.4K341.6K-299.5K209.4K
Net DEX-6.1M-14.0M7.2M7.2M-14.0M
Net VEX-88.8K-97.4K-81.1K-85.5K-81.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.274.012.294.01
Total Volume1,442.5262403,5403,3542,046
Total OI44,309.05338,27449,22441,26839,432

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$17.40$19.6739.6%11.4%34.4%92.6%38.2%8.9%-2.6%-299.5K7.2M-85.5K2.2951.74N/AN/A1,0202,33418,01823,250
2014-02-04$17.70$19.6734.1%9.8%35.3%68.9%35.3%7.3%-1.2%-323.7K5.2M-89.4K0.4852.91N/AN/A2,1841,03818,61223,910
2014-02-05$17.69$19.6734.5%9.9%35.2%70.4%33.1%6.6%-0.7%-326.9K6.0M-91.5K0.6758.20N/AN/A56437819,06224,594
2014-02-06$18.17$19.6730.1%8.6%36.8%51.7%30.0%6.8%0.9%-338.4K1.4M-93.3K0.9260.01N/AN/A22821019,44624,942
2014-02-07$18.60$16.6726.4%8.2%38.0%35.3%30.9%6.0%1.1%-318.2K-2.8M-94.0K2.0061.60N/AN/A6361,27219,47625,038
2014-02-10$18.65$16.6726.9%8.1%38.0%37.8%33.1%5.6%1.4%-336.2K-3.6M-94.6K2.1958.88N/AN/A28261819,73425,614
2014-02-11$19.00$16.6723.2%7.5%37.5%21.8%26.2%4.7%2.6%-261.3K-8.2M-89.7K1.8961.39N/AN/A5581,05619,93225,842
2014-02-12$19.01$17.0022.9%7.6%36.9%20.3%26.1%5.1%2.7%-321.4K-7.7M-92.4K3.1359.34N/AN/A8582,68220,22026,760
2014-02-13$19.16$17.0026.1%7.5%36.1%34.4%29.3%4.8%2.4%-255.5K-9.4M-97.4K0.3166.73N/AN/A36611420,72428,188
2014-02-14$19.25$17.0025.4%7.3%35.9%31.2%26.8%4.7%2.8%-215.5K-11.0M-93.9K0.2767.94N/AN/A58815620,82628,218
2014-02-18$19.35$17.0025.3%7.3%36.0%30.8%31.8%5.0%2.9%-226.2K-11.9M-90.9K0.8776.64N/AN/A42637220,85628,368
2014-02-19$18.89$17.0028.0%8.0%36.8%42.4%29.5%6.5%0.8%-102.6K-6.0M-89.2K2.4472.40N/AN/A38493620,92228,260
2014-02-20$18.94$17.1726.3%7.5%36.8%35.2%29.3%5.2%1.9%150.6K-7.0M-87.3K1.1969.00N/AN/A58269020,52627,264
2014-02-21$18.98$17.1725.9%7.4%35.6%33.3%27.9%4.6%1.6%341.6K-7.8M-84.9K3.1771.72N/AN/A5161,63820,53827,444
2014-02-24$19.27$17.3324.8%7.1%31.7%28.5%25.1%3.7%1.1%151.5K-12.5M-81.1K0.7175.68N/AN/A90063617,43620,838
2014-02-25$19.09$17.3325.9%7.4%31.2%33.3%27.0%4.8%1.3%179.4K-10.7M-84.6K0.4967.56N/AN/A35417417,96420,994
2014-02-26$19.09$17.3325.4%7.3%30.2%31.3%25.8%5.0%1.5%166.9K-10.9M-83.0K1.7076.65N/AN/A13823418,11421,168
2014-02-27$19.25$17.3324.3%7.0%29.1%26.5%24.4%4.4%2.1%190.6K-11.8M-83.6K1.1173.33N/AN/A11412618,02421,318
2014-02-28$19.47$17.3324.6%7.1%28.2%27.8%23.7%4.1%1.8%209.4K-14.0M-81.6K4.0176.15N/AN/A4081,63818,04821,384