UYG Options History — June 2014 In June 2014, UYG traded between $20.33 and $21.31. ATM implied volatility averaged 20.3%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.0% (HV 20d: 16.3%). Max pain ranged from $19.50 to $21.33. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.57.
Notable Days 2014-06-05 : Highest Volume — 5,934 contracts2014-06-12 : Largest IV spike — 15.4% change2014-06-16 : Highest IV Rank — 22.7%2014-06-16 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $20.95 $20.33 $21.31 $20.33 $21.12 Max Pain $20.85 $19.50 $21.33 $19.50 $21.33 ATM IV 20.3% 18.3% 23.4% 21.5% 19.4% Expected Move 5.9% 5.2% 6.7% 6.2% 5.6% HV 20d 16.3% 14.4% 21.1% 21.1% 14.8% HV 60d 22.7% 21.9% 23.6% 23.2% 21.9% IV Rank 9.1% 0.5% 22.7% 14.5% 5.5% IV Percentile 4.4% 0.4% 25.0% 3.6% 3.2% Term Structure 2.6% 1.0% 5.0% 1.4% 2.3% VWIV 21.2% 18.6% 23.6% 23.2% 19.9% Skew 25d 4.7% 3.7% 5.7% 3.9% 4.7% Skew 10d 10.4% 8.8% 13.3% 9.0% 9.2% Call IV 25d 19.3% 17.1% 21.6% 20.1% 18.4% Put IV 25d 24.0% 21.4% 27.3% 24.0% 23.1% Bid-Ask Spread % 58.66 34.55 82.52 74.44 69.81 Gamma HHI 0.10 0.04 0.29 0.07 0.05 Net GEX -542.7K -2.0M 136.4K -120.2K -106.0K Net DEX -20.3M -31.5M -11.8M -14.5M -13.4M Net VEX -110.1K -120.0K -98.2K -113.5K -104.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 0.08 6.58 2.03 0.16 Total Volume 1,711.714 216 5,934 1,056 216 Total OI 55,333.714 35,562 66,324 56,526 39,036
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-06-02 $20.33 $19.50 21.5% 6.2% 21.1% 14.5% 23.2% 3.9% 1.4% -120.2K -14.5M -113.5K 2.03 74.44 N/A N/A 348 708 22,062 34,464 2014-06-03 $20.37 $19.50 21.4% 6.1% 20.9% 13.8% 22.4% 3.8% 1.6% -143.0K -14.8M -114.5K 3.17 74.69 N/A N/A 180 570 22,278 34,794 2014-06-04 $20.51 $19.50 21.1% 6.1% 18.2% 12.7% 21.2% 4.4% 1.8% -147.5K -17.3M -113.6K 1.86 78.73 N/A N/A 426 792 22,404 34,872 2014-06-05 $20.90 $19.50 20.0% 5.7% 17.3% 8.0% 23.6% 3.7% 2.6% -196.7K -22.3M -110.6K 0.08 82.52 N/A N/A 5,490 444 22,578 35,658 2014-06-06 $21.17 $20.50 19.1% 6.1% 17.6% 4.0% 22.0% 4.1% 3.6% -105.5K -28.6M -112.9K 3.09 34.55 N/A N/A 1,392 4,302 24,246 35,778 2014-06-09 $21.27 $21.17 19.1% 6.1% 17.5% 3.9% 20.9% 4.6% 3.1% -400.7K -29.0M -112.2K 2.05 40.18 N/A N/A 654 1,338 24,798 37,488 2014-06-10 $21.23 $21.17 19.8% 6.2% 16.6% 6.9% 22.2% 5.4% 2.6% -671.3K -27.3M -115.8K 0.17 38.57 N/A N/A 486 84 25,008 38,736 2014-06-11 $20.96 $21.17 19.4% 6.3% 17.3% 5.4% 22.1% 5.7% 3.8% -756.7K -23.1M -118.3K 0.78 44.78 N/A N/A 216 168 25,110 38,784 2014-06-12 $20.76 $21.17 22.4% 6.4% 16.5% 18.3% 22.1% 5.6% 2.7% -645.8K -19.6M -119.9K 0.43 43.13 N/A N/A 336 144 25,230 38,898 2014-06-13 $20.75 $21.17 22.8% 6.5% 14.4% 19.9% 22.1% 5.4% 2.3% -698.9K -19.6M -120.0K 6.58 45.14 N/A N/A 186 1,224 25,434 38,988 2014-06-16 $20.55 $21.17 23.4% 6.7% 15.1% 22.7% 21.4% 5.6% 2.7% -674.9K -15.7M -116.2K 0.70 41.09 N/A N/A 696 486 25,512 39,810 2014-06-17 $20.94 $21.17 21.4% 6.2% 15.9% 14.2% 21.6% 5.1% 3.5% -1.1M -24.1M -109.1K 1.14 51.03 N/A N/A 672 768 25,590 40,086 2014-06-18 $21.20 $21.17 20.0% 5.7% 14.9% 8.1% 21.1% 5.1% 3.2% -1.5M -29.2M -101.0K 0.25 63.88 N/A N/A 984 246 25,524 40,800 2014-06-19 $21.13 $21.17 19.1% 5.5% 14.8% 4.2% 20.3% 4.6% 3.8% -2.0M -29.6M -98.2K 1.20 61.42 N/A N/A 2,214 2,652 25,620 39,414 2014-06-20 $21.24 $21.17 18.6% 5.3% 14.8% 1.8% 19.8% 4.3% 5.0% -2.0M -31.5M -101.7K 0.33 56.88 N/A N/A 2,118 708 25,452 39,768 2014-06-23 $21.31 $21.17 18.3% 5.2% 14.7% 0.5% 19.1% 4.2% 1.9% 136.4K -15.8M -101.4K 1.18 58.25 N/A N/A 714 840 16,284 19,278 2014-06-24 $21.03 $21.17 19.7% 5.7% 14.8% 6.7% 19.4% 5.0% 2.0% 79.3K -14.0M -107.1K 3.75 65.83 N/A N/A 330 1,236 16,782 20,010 2014-06-25 $21.08 $21.33 20.4% 5.8% 14.6% 9.5% 20.3% 4.7% 1.7% -72.6K -12.9M -106.4K 1.11 65.78 N/A N/A 276 306 17,016 21,096 2014-06-26 $20.98 $21.33 20.0% 5.7% 14.8% 8.1% 21.4% 4.5% 1.0% -85.9K -11.8M -107.2K 2.08 69.56 N/A N/A 228 474 17,112 21,204 2014-06-27 $21.11 $21.33 18.8% 5.4% 14.8% 2.7% 18.6% 5.1% 2.2% -114.6K -12.8M -107.2K 0.88 71.50 N/A N/A 156 138 17,328 21,678 2014-06-30 $21.12 $21.33 19.4% 5.6% 14.8% 5.5% 19.9% 4.7% 2.3% -106.0K -13.4M -104.8K 0.16 69.81 N/A N/A 186 30 17,340 21,696
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