UYG Options History — September 2014

In September 2014, UYG traded between $21.33 and $22.63. ATM implied volatility averaged 22.9%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.6% (HV 20d: 15.4%). Max pain ranged from $21.17 to $21.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2014-09-12: Highest Volume — 7,554 contracts
  • 2014-09-29: Largest IV spike — 15.9% change
  • 2014-09-29: Highest IV Rank — 41.0%
  • 2014-09-16: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.00$21.33$22.63$22.20$21.47
Max Pain$21.30$21.17$21.33$21.17$21.33
ATM IV22.9%18.6%27.7%19.2%27.7%
Expected Move8.0%7.7%8.3%7.9%8.2%
HV 20d15.4%13.0%19.8%16.5%19.4%
HV 60d18.7%18.1%20.2%18.6%20.1%
IV Rank20.6%2.1%41.0%4.6%41.0%
IV Percentile39.3%2.0%82.9%4.8%82.9%
Term Structure2.4%-0.2%5.1%4.1%0.4%
VWIV28.2%21.8%38.8%28.3%28.6%
Skew 25d6.3%3.8%10.2%3.8%6.6%
Skew 10d12.5%6.3%17.0%8.3%15.3%
Call IV 25d21.4%18.4%25.4%18.4%25.4%
Put IV 25d27.7%22.2%31.9%22.2%31.9%
Bid-Ask Spread %46.0824.9754.3950.6324.97
Gamma HHI0.070.050.110.050.07
Net GEX433.6K253.9K914.9K688.3K344.8K
Net DEX-22.1M-35.5M-10.7M-26.7M-11.6M
Net VEX-76.5K-87.2K-66.4K-66.4K-84.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.012.790.950.56
Total Volume1,2541567,554468582
Total OI41,503.71425,87851,83444,94028,914

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$22.20$21.1719.2%7.9%16.5%4.6%28.3%3.8%4.1%688.3K-26.7M-66.4K0.9550.63N/AN/A24022820,65224,288
2014-09-03$22.17$21.1719.3%8.3%14.3%4.9%26.8%3.8%2.7%665.9K-26.4M-67.5K2.4446.14N/AN/A6781,65620,67624,474
2014-09-04$22.14$21.3320.2%7.8%14.4%8.8%30.0%4.4%2.1%365.0K-24.7M-72.8K1.2747.21N/AN/A24631220,91625,926
2014-09-05$22.24$21.3318.6%7.8%13.5%2.1%38.8%5.5%1.9%400.2K-25.6M-68.0K2.3845.49N/AN/A4811421,02425,962
2014-09-08$22.21$21.3320.4%7.9%13.0%9.6%28.3%5.3%3.6%363.8K-25.0M-71.5K0.6349.67N/AN/A966021,06026,076
2014-09-09$21.83$21.3322.0%8.1%15.1%16.6%28.6%6.1%3.3%253.9K-21.4M-72.8K0.7147.99N/AN/A18613221,11426,124
2014-09-10$21.99$21.3322.1%8.0%15.2%17.0%27.2%6.2%3.3%293.4K-23.1M-67.2K0.0147.72N/AN/A1,0681221,15626,178
2014-09-11$22.06$21.3323.3%8.0%14.8%22.0%26.9%6.7%2.5%325.8K-23.4M-71.3K0.0250.29N/AN/A2,0463621,45026,184
2014-09-12$21.92$21.3324.8%7.9%14.8%28.7%0.0%6.3%1.6%310.1K-22.8M-73.9K0.0633.72N/AN/A7,12243221,82226,196
2014-09-15$21.89$21.3325.2%8.2%14.4%30.2%21.8%6.8%2.4%439.0K-26.3M-87.2K0.0852.13N/AN/A1,1109025,12226,382
2014-09-16$22.05$21.3324.6%8.3%13.1%27.6%26.6%8.2%1.8%446.4K-29.1M-83.9K0.3140.26N/AN/A50415625,39826,436
2014-09-17$22.21$21.3323.0%8.0%13.2%20.9%0.0%10.2%2.4%438.2K-31.5M-78.8K0.2953.58N/AN/A1,31438425,17026,466
2014-09-18$22.63$21.1722.4%7.8%14.5%18.4%27.2%7.8%2.4%914.9K-35.5M-78.6K0.2350.39N/AN/A61814425,15826,298
2014-09-19$22.46$21.1721.9%7.7%13.6%16.2%27.1%6.2%3.6%586.4K-31.4M-79.8K1.7947.08N/AN/A8701,56024,08426,424
2014-09-22$22.11$21.3323.6%7.8%14.7%23.4%33.3%6.5%1.5%391.2K-15.2M-77.0K0.4749.30N/AN/A45621614,38811,490
2014-09-23$21.76$21.3323.3%7.8%15.0%22.1%0.0%6.9%5.1%391.9K-13.7M-79.0K2.7941.99N/AN/A31287014,68211,568
2014-09-24$21.98$21.3322.6%7.9%15.3%19.2%0.0%5.5%1.7%382.7K-14.4M-77.7K0.2750.55N/AN/A54615014,93412,408
2014-09-25$21.33$21.3326.0%8.1%18.6%33.9%27.2%6.6%1.4%324.7K-10.7M-84.7K0.2353.63N/AN/A55212615,36612,516
2014-09-26$21.73$21.3323.9%7.9%19.8%24.6%26.5%5.8%3.4%410.2K-13.1M-82.5K0.5054.39N/AN/A51625815,79212,630
2014-09-29$21.57$21.3327.7%7.8%19.6%41.0%26.0%6.5%-0.2%368.7K-11.8M-82.2K1.1830.57N/AN/A13215615,81012,864
2014-09-30$21.47$21.3327.7%8.2%19.4%41.0%28.6%6.6%0.4%344.8K-11.6M-84.0K0.5624.97N/AN/A37221015,90613,008