UYG Options History — May 2014

In May 2014, UYG traded between $19.11 and $20.22. ATM implied volatility averaged 22.5%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.7% (HV 20d: 23.3%). Max pain ranged from $19.17 to $19.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.97.

Notable Days

  • 2014-05-20: Highest Volume — 4,668 contracts
  • 2014-05-15: Largest IV spike — 18.9% change
  • 2014-05-06: Highest IV Rank — 32.3%
  • 2014-05-06: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$19.11$20.22$19.71$20.22
Max Pain$19.29$19.17$19.50$19.17$19.50
ATM IV22.5%20.8%25.6%23.2%21.4%
Expected Move6.6%6.0%7.4%6.6%6.1%
HV 20d23.3%20.9%28.5%28.3%21.0%
HV 60d24.4%23.3%24.9%24.3%23.3%
IV Rank18.9%11.5%32.3%21.7%14.0%
IV Percentile10.7%1.2%45.6%13.1%2.8%
Term Structure2.3%0.7%3.5%0.7%2.1%
VWIV23.5%20.6%31.0%21.6%22.9%
Skew 25d5.0%3.9%6.5%4.8%3.9%
Skew 10d10.6%7.4%12.6%9.1%9.1%
Call IV 25d21.3%19.4%23.6%21.1%20.0%
Put IV 25d26.3%23.5%30.1%25.9%23.9%
Bid-Ask Spread %52.8837.2476.1975.9070.77
Gamma HHI0.070.050.110.070.06
Net GEX143.8K-115.6K583.1K236.6K-115.6K
Net DEX-7.1M-14.2M-145.5K-9.4M-12.4M
Net VEX-119.8K-124.1K-115.7K-115.7K-118.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.1624.9310.000.66
Total Volume1,304.5713364,6682,574348
Total OI53,019.71447,02256,43047,02256,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$19.71$19.1723.2%6.6%28.3%21.7%21.6%4.8%0.7%236.6K-9.4M-115.7K10.0075.90N/AN/A2342,34021,49225,530
2014-05-02$19.73$19.1721.8%6.3%28.4%15.9%22.2%4.1%1.7%214.2K-8.7M-118.3K0.3276.19N/AN/A1,12236021,58227,720
2014-05-05$19.60$19.1723.6%7.0%27.3%23.3%31.0%5.6%2.8%232.0K-7.3M-118.4K1.9637.24N/AN/A30058822,15828,014
2014-05-06$19.11$19.1725.6%7.4%26.9%32.3%24.1%6.5%2.2%29.4K-498.5K-119.1K0.5737.65N/AN/A81646222,44028,524
2014-05-07$19.60$19.1722.8%7.0%28.5%20.0%23.1%5.9%2.6%264.8K-7.1M-121.9K0.8137.76N/AN/A18615022,83628,776
2014-05-08$19.67$19.1723.2%7.0%27.9%21.8%24.0%5.8%2.7%331.2K-8.1M-121.7K0.8242.51N/AN/A81667222,86028,890
2014-05-09$19.65$19.1722.4%7.0%22.4%18.2%26.3%5.4%2.3%364.4K-7.8M-123.2K2.8241.54N/AN/A4321,21823,33429,538
2014-05-12$20.05$19.1722.5%6.8%21.1%18.7%23.4%5.4%2.8%583.1K-14.2M-122.0K0.8545.98N/AN/A1,05088823,69430,528
2014-05-13$19.95$19.3321.1%6.7%20.9%12.7%22.9%5.4%3.5%564.6K-12.0M-124.1K0.8549.33N/AN/A43837223,53231,242
2014-05-14$19.63$19.3320.8%6.8%21.2%11.5%23.2%5.5%3.2%499.5K-7.2M-123.3K1.1446.55N/AN/A38443823,86831,596
2014-05-15$19.25$19.3324.8%7.1%21.4%28.5%25.4%5.6%2.2%68.1K-145.5K-120.4K0.4045.15N/AN/A52821023,31631,626
2014-05-16$19.34$19.3323.5%6.7%21.4%23.0%23.9%5.1%3.1%127.8K-1.2M-118.4K0.4244.39N/AN/A90637823,45431,770
2014-05-19$19.54$19.3322.4%6.4%21.8%18.1%22.1%5.1%2.8%-16.0K-3.4M-116.8K0.1647.63N/AN/A99015620,74828,884
2014-05-20$19.28$19.3323.3%6.7%21.6%22.3%26.0%4.7%1.8%-15.0K-451.7K-117.0K24.9350.55N/AN/A1804,48821,03628,950
2014-05-21$19.54$19.3322.7%6.5%22.2%19.4%21.4%4.9%1.6%-80.9K-2.8M-122.2K0.6053.13N/AN/A31819221,07232,784
2014-05-22$19.67$19.3322.1%6.3%22.3%16.7%21.5%4.4%2.1%-51.8K-4.7M-121.8K3.4954.23N/AN/A27094221,31832,922
2014-05-23$19.81$19.3320.9%6.0%21.0%11.9%20.6%4.1%2.1%-11.5K-6.9M-120.9K2.0655.37N/AN/A31264221,55233,012
2014-05-27$20.17$19.3321.7%6.2%21.5%15.3%22.1%4.6%1.8%-22.0K-12.3M-116.7K3.0465.95N/AN/A5521,68021,66632,916
2014-05-28$20.07$19.5022.2%6.4%21.1%17.4%22.7%4.3%1.8%-81.7K-10.8M-117.6K1.7066.33N/AN/A16227621,94833,828
2014-05-29$20.15$19.5021.4%6.1%21.0%14.2%23.0%4.3%2.2%-101.0K-11.4M-118.0K4.8866.41N/AN/A10249821,97234,056
2014-05-30$20.22$19.5021.4%6.1%21.0%14.0%22.9%3.9%2.1%-115.6K-12.4M-118.3K0.6670.77N/AN/A21013822,04434,386