UYG Options History — July 2014 In July 2014, UYG traded between $20.42 and $21.64. ATM implied volatility averaged 21.5%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.9% (HV 20d: 16.6%). Max pain ranged from $21.33 to $24.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.34.
Notable Days 2014-07-03 : Highest Volume — 2,574 contracts2014-07-31 : Largest IV spike — 23.2% change2014-07-31 : Highest IV Rank — 39.7%2014-07-31 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.29 $20.42 $21.64 $21.41 $20.42 Max Pain $22.55 $21.33 $24.50 $21.33 $24.50 ATM IV 21.5% 18.4% 27.4% 20.2% 27.4% Expected Move 7.0% 5.5% 8.4% 5.8% 8.4% HV 20d 16.6% 13.9% 22.8% 15.4% 22.8% HV 60d 18.5% 17.2% 21.5% 21.5% 19.1% IV Rank 14.4% 0.8% 39.7% 8.9% 39.7% IV Percentile 16.9% 0.8% 72.6% 5.6% 72.6% Term Structure 1.3% -0.9% 4.1% 2.4% -0.7% VWIV 24.6% 18.9% 33.5% 20.4% 33.2% Skew 25d 4.6% 2.9% 7.1% 4.3% 3.6% Skew 10d 10.0% 6.8% 12.1% 11.1% 8.0% Call IV 25d 20.0% 17.3% 23.9% 17.3% 23.9% Put IV 25d 24.6% 21.5% 27.9% 21.6% 27.5% Bid-Ask Spread % 46.35 30.95 88.69 88.69 43.19 Gamma HHI 0.05 0.04 0.06 0.06 0.04 Net GEX 76.7K -142.4K 280.0K -61.5K 103.3K Net DEX -15.6M -20.0M -8.4M -16.8M -8.4M Net VEX -98.8K -107.7K -90.8K -101.6K -96.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.34 0.00 12.75 1.03 0.66 Total Volume 764.455 132 2,574 1,794 558 Total OI 42,565.364 39,318 44,820 39,318 43,194
Daily Data (22 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 2014-07-01 $21.41 $21.33 20.2% 5.8% 15.4% 8.9% 20.4% 4.3% 2.4% -61.5K -16.8M -101.6K 1.03 88.69 N/A N/A 882 912 17,544 21,774 2014-07-02 $21.36 $21.33 19.6% 5.6% 15.4% 6.0% 20.5% 2.9% 2.4% 22.3K -17.1M -102.5K 8.89 77.65 N/A N/A 162 1,440 18,258 21,762 2014-07-03 $21.64 $21.33 19.0% 5.5% 14.6% 3.7% 19.8% 3.2% 2.1% 166.2K -20.0M -95.5K 3.88 80.18 N/A N/A 528 2,046 18,294 21,816 2014-07-07 $21.46 $21.67 20.6% 6.5% 14.4% 10.5% 23.8% 5.0% 0.5% -36.6K -16.1M -105.0K 1.39 33.04 N/A N/A 384 534 18,750 23,328 2014-07-08 $21.15 $21.67 22.6% 6.7% 15.3% 19.0% 24.2% 5.8% 0.2% -87.8K -13.2M -107.7K 1.96 32.25 N/A N/A 162 318 19,098 23,628 2014-07-09 $21.22 $21.67 22.5% 6.6% 15.3% 18.8% 21.7% 5.3% 1.2% -101.0K -13.8M -106.3K 0.00 37.25 N/A N/A 132 0 19,200 23,778 2014-07-10 $21.02 $21.67 24.2% 6.9% 15.0% 26.1% 22.9% 4.4% -0.5% -142.4K -11.2M -106.5K 0.54 41.45 N/A N/A 378 204 19,188 23,778 2014-07-11 $21.04 $21.67 23.3% 6.7% 14.6% 22.1% 25.1% 5.2% -0.9% -134.6K -12.7M -103.2K 0.42 36.75 N/A N/A 486 204 19,494 23,892 2014-07-14 $21.31 $21.67 22.0% 6.3% 15.1% 16.4% 25.6% 6.0% 1.7% -66.9K -16.2M -101.1K 0.14 33.37 N/A N/A 810 114 19,788 24,018 2014-07-15 $21.57 $21.67 22.3% 6.4% 15.1% 17.7% 22.0% 4.7% 0.8% 202.0K -19.2M -100.0K 0.28 41.80 N/A N/A 192 54 20,502 24,102 2014-07-16 $21.49 $21.67 21.5% 6.2% 13.9% 14.5% 23.0% 5.6% 1.3% 215.0K -18.5M -99.8K 0.46 43.93 N/A N/A 432 198 20,646 24,144 2014-07-17 $20.94 $21.67 24.1% 6.9% 16.2% 25.6% 23.2% 5.0% 0.1% -102.5K -12.2M -102.3K 2.67 50.60 N/A N/A 108 288 20,610 24,078 2014-07-18 $21.41 $21.67 20.7% 5.9% 18.1% 10.8% 18.9% 4.5% 1.7% -20.4K -16.9M -95.1K 1.68 47.43 N/A N/A 186 312 20,694 24,126 2014-07-21 $21.28 $0.00 21.1% 7.8% 18.1% 12.7% 26.7% 4.6% 1.7% 182.3K -15.8M -93.0K 2.34 34.13 N/A N/A 192 450 19,284 21,870 2014-07-22 $21.43 $22.67 20.5% 7.9% 18.2% 9.9% 26.8% 5.0% 2.4% 175.2K -16.9M -92.7K 0.71 30.95 N/A N/A 582 414 19,284 22,236 2014-07-23 $21.52 $23.17 20.2% 8.0% 17.6% 8.7% 24.6% 4.1% 0.5% 276.4K -17.5M -95.4K 1.09 32.89 N/A N/A 132 144 19,734 22,104 2014-07-24 $21.62 $24.50 18.4% 7.8% 17.6% 0.8% 25.4% 3.5% 4.1% 280.0K -19.2M -90.8K 12.75 38.04 N/A N/A 96 1,224 19,788 22,206 2014-07-25 $21.32 $24.50 19.7% 7.6% 18.3% 6.5% 26.7% 4.7% 2.2% 225.6K -16.2M -95.5K 0.98 50.66 N/A N/A 288 282 19,884 22,230 2014-07-28 $21.34 $24.50 20.7% 7.9% 18.2% 10.8% 29.9% 3.9% 1.2% 226.8K -16.3M -91.3K 5.17 43.40 N/A N/A 72 372 20,052 22,422 2014-07-29 $21.10 $24.50 20.7% 7.8% 18.6% 10.9% 0.0% 7.1% 3.3% 184.1K -14.7M -95.7K 3.27 48.38 N/A N/A 66 216 20,082 22,758 2014-07-30 $21.24 $24.50 22.2% 8.1% 18.1% 17.5% 33.5% 3.7% 0.8% 182.6K -14.9M -95.3K 1.20 53.80 N/A N/A 120 144 20,112 22,908 2014-07-31 $20.42 $24.50 27.4% 8.4% 22.8% 39.7% 33.2% 3.6% -0.7% 103.3K -8.4M -96.8K 0.66 43.19 N/A N/A 336 222 20,208 22,986
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