UYG Options History — March 2014

In March 2014, UYG traded between $19.13 and $20.58. ATM implied volatility averaged 25.9%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.2% (HV 20d: 22.8%). Max pain ranged from $17.33 to $20.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2014-03-14: Highest Volume — 9,006 contracts
  • 2014-03-13: Largest IV spike — 20.1% change
  • 2014-03-14: Highest IV Rank — 52.3%
  • 2014-03-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.12$19.13$20.58$19.13$20.36
Max Pain$19.42$17.33$20.00$17.33$20.00
ATM IV25.9%23.4%30.3%28.4%23.4%
Expected Move7.5%6.7%8.7%8.1%6.7%
HV 20d22.8%20.2%27.6%27.6%24.3%
HV 60d27.2%26.4%27.9%26.9%27.5%
IV Rank33.5%22.7%52.3%44.1%22.7%
IV Percentile44.0%15.5%81.3%69.4%15.5%
Term Structure1.1%-0.4%2.2%-0.4%1.9%
VWIV26.9%22.9%30.7%28.7%22.9%
Skew 25d5.7%4.0%7.5%5.8%4.4%
Skew 10d11.9%7.5%15.9%14.0%10.4%
Call IV 25d24.1%21.7%27.4%26.2%21.7%
Put IV 25d29.7%26.1%34.8%32.0%26.1%
Bid-Ask Spread %40.1317.9783.0681.9149.11
Gamma HHI0.070.050.150.070.06
Net GEX119.9K-102.7K371.6K148.7K40.6K
Net DEX-14.4M-23.3M-4.2M-10.5M-9.1M
Net VEX-99.4K-113.2K-78.4K-85.0K-103.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.1310.960.633.07
Total Volume2,069.1433669,0069961,440
Total OI45,014.57135,89255,39240,87837,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$19.13$17.3328.4%8.1%27.6%44.1%28.7%5.8%-0.4%148.7K-10.5M-85.0K0.6381.91N/AN/A61238418,27022,608
2014-03-04$19.86$17.3324.7%7.1%22.8%28.2%24.4%5.1%1.3%292.4K-18.2M-79.8K0.3483.06N/AN/A1,15239018,64822,866
2014-03-05$20.08$17.3325.0%7.2%22.5%29.4%26.4%4.3%1.2%344.8K-20.0M-79.0K0.8078.18N/AN/A96677419,00823,028
2014-03-06$20.31$17.3323.9%6.9%22.4%25.0%25.6%4.0%1.8%371.6K-22.5M-78.4K3.2978.73N/AN/A7442,44819,47623,226
2014-03-07$20.45$20.0023.7%7.3%21.2%24.0%30.1%5.9%1.2%280.8K-21.8M-86.5K4.6323.69N/AN/A6663,08419,74025,488
2014-03-10$20.42$19.8323.6%7.4%20.2%23.5%29.3%5.3%0.8%272.1K-21.0M-90.9K10.9619.55N/AN/A1381,51220,05826,754
2014-03-11$20.22$19.8324.9%7.6%20.9%28.9%29.2%5.6%0.8%218.6K-17.6M-95.7K0.8020.98N/AN/A48038419,92627,768
2014-03-12$20.19$19.8323.8%7.6%20.3%24.4%27.1%5.2%0.7%230.4K-16.8M-96.1K1.1021.28N/AN/A61867819,82427,924
2014-03-13$19.77$19.8328.6%8.2%22.1%45.1%29.1%6.5%0.8%89.7K-11.6M-100.2K2.2917.97N/AN/A43299020,14228,458
2014-03-14$19.61$19.8330.3%8.7%22.2%52.3%30.4%7.5%0.1%-11.7K-8.4M-102.7K0.2518.44N/AN/A7,2181,78819,95029,184
2014-03-17$19.97$19.8327.9%8.0%23.1%41.8%26.9%6.7%0.6%128.9K-14.7M-111.9K0.2921.44N/AN/A1,42842022,20630,582
2014-03-18$20.18$19.8326.7%7.6%23.2%36.7%26.6%6.4%0.8%226.0K-17.6M-113.2K1.4033.26N/AN/A1,1401,59622,52430,894
2014-03-19$20.05$19.8327.5%7.9%21.4%40.2%26.4%6.3%0.6%-102.7K-15.5M-112.0K1.8050.82N/AN/A1,0261,84223,16632,226
2014-03-20$20.58$19.8326.7%7.6%22.9%36.7%26.7%5.7%0.9%137.4K-23.3M-108.4K1.3428.01N/AN/A8401,12822,60232,226
2014-03-21$20.58$20.0025.2%7.2%22.9%30.4%25.0%5.5%2.2%141.1K-21.1M-105.8K0.5831.24N/AN/A1,8061,05621,36632,742
2014-03-24$20.49$20.0025.9%7.4%22.7%33.2%30.7%5.6%1.3%-51.6K-8.8M-106.7K2.2330.88N/AN/A21046814,67621,216
2014-03-25$20.49$20.0025.0%7.2%22.2%29.5%23.0%5.6%2.1%-58.0K-8.7M-105.5K0.1738.03N/AN/A94216214,70621,594
2014-03-26$20.01$20.0027.4%7.8%24.2%39.7%26.3%6.0%1.0%-58.2K-5.4M-108.9K0.1337.35N/AN/A6007815,33621,672
2014-03-27$19.80$20.0026.4%7.6%24.5%35.6%26.3%5.7%1.3%-75.1K-4.2M-109.3K0.4235.92N/AN/A25810815,91821,732
2014-03-28$19.93$20.0025.4%7.3%24.3%31.2%24.1%6.1%2.0%-47.3K-5.4M-107.8K0.2342.94N/AN/A1,17627016,00821,744
2014-03-31$20.36$20.0023.4%6.7%24.3%22.7%22.9%4.4%1.9%40.6K-9.1M-103.5K3.0749.11N/AN/A3541,08616,04421,780