UYG Options History — October 2014 In October 2014, UYG traded between $19.71 and $23.11. ATM implied volatility averaged 32.1%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.1% (HV 20d: 32.0%). Max pain ranged from $21.17 to $21.33. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.77.
Notable Days 2014-10-21 : Highest Volume — 8,988 contracts2014-10-07 : Largest IV spike — 20.6% change2014-10-10 : Highest IV Rank — 100.0%2014-10-16 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $21.14 $19.71 $23.11 $21.01 $23.11 Max Pain $21.26 $21.17 $21.33 $21.33 $21.33 ATM IV 32.1% 22.0% 47.7% 30.6% 24.0% Expected Move 8.9% 7.8% 10.6% 8.6% 7.8% HV 20d 32.0% 20.7% 37.7% 20.7% 36.4% HV 60d 24.3% 20.3% 26.8% 20.3% 26.0% IV Rank 51.8% 13.1% 100.0% 53.9% 19.7% IV Percentile 83.9% 25.4% 100.0% 93.3% 55.6% Term Structure -0.1% -4.8% 5.1% 0.7% -0.3% VWIV 32.6% 29.2% 41.7% 29.4% 30.4% Skew 25d 8.6% 4.4% 15.9% 8.1% 4.4% Skew 10d 17.4% 9.1% 35.6% 11.8% 9.1% Call IV 25d 27.3% 20.7% 38.7% 27.9% 22.7% Put IV 25d 35.9% 27.1% 51.7% 36.0% 27.1% Bid-Ask Spread % 25.99 18.11 47.11 22.79 23.72 Gamma HHI 0.07 0.06 0.09 0.07 0.09 Net GEX 392.6K -5.2K 790.7K 295.7K 762.2K Net DEX -11.1M -29.8M 1.5M -8.9M -29.8M Net VEX -78.9K -86.0K -63.5K -84.6K -63.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.06 2.51 0.34 1.09 Total Volume 4,455.913 192 8,988 618 8,178 Total OI 31,320.522 29,358 34,128 29,358 33,240
Daily Data (23 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 2014-10-01 $21.01 $21.33 30.6% 8.6% 20.7% 53.9% 29.4% 8.1% 0.7% 295.7K -8.9M -84.6K 0.34 22.79 N/A N/A 462 156 16,254 13,104 2014-10-02 $21.08 $21.33 29.7% 8.6% 20.8% 49.7% 0.0% 6.2% -0.8% 303.2K -8.9M -86.0K 0.08 20.78 N/A N/A 504 42 16,362 13,182 2014-10-03 $21.63 $21.33 27.2% 8.3% 22.9% 39.0% 0.0% 5.3% -0.3% 379.6K -12.2M -84.9K 0.52 21.82 N/A N/A 252 132 16,296 13,224 2014-10-06 $21.59 $21.33 27.8% 8.5% 22.9% 41.4% 0.0% 7.7% -1.1% 387.4K -12.8M -80.3K 0.19 18.11 N/A N/A 162 30 16,290 13,344 2014-10-07 $20.88 $21.33 33.5% 8.9% 25.0% 66.1% 29.2% 8.2% 0.3% 271.5K -8.2M -80.6K 0.14 21.36 N/A N/A 600 84 16,416 13,362 2014-10-08 $21.59 $21.33 30.4% 8.5% 27.9% 52.9% 31.2% 7.6% -1.1% 391.4K -12.2M -78.6K 1.10 26.28 N/A N/A 3,972 4,380 16,806 13,422 2014-10-09 $20.79 $21.33 35.4% 8.9% 30.8% 80.5% 30.8% 9.7% 0.5% 271.1K -7.9M -83.3K 0.36 22.79 N/A N/A 480 174 16,908 13,506 2014-10-10 $20.44 $21.33 41.9% 9.3% 31.2% 100.0% 35.7% 10.2% -0.0% 233.5K -6.0M -83.9K 0.75 28.48 N/A N/A 462 348 17,142 13,656 2014-10-13 $20.13 $21.33 47.0% 9.9% 31.4% 100.0% 39.9% 11.4% -4.8% 154.5K -3.6M -82.4K 0.37 25.99 N/A N/A 936 348 17,220 13,992 2014-10-14 $20.55 $21.33 47.7% 9.9% 32.4% 100.0% 34.3% 11.8% -0.9% 221.0K -4.8M -81.8K 1.07 20.01 N/A N/A 4,134 4,440 17,574 14,172 2014-10-15 $19.71 $21.33 47.3% 10.6% 34.8% 98.4% 35.2% 12.1% -0.4% 1.0K 1.5M -79.2K 1.06 47.11 N/A N/A 4,236 4,470 17,850 15,138 2014-10-16 $19.75 $21.17 40.2% 10.6% 33.8% 74.5% 41.7% 15.9% -2.4% 11.0K 723.0K -79.7K 0.64 31.89 N/A N/A 1,284 828 17,982 15,024 2014-10-17 $20.17 $21.17 35.2% 10.1% 35.2% 57.5% 31.9% 9.6% -1.1% -5.2K -1.9M -81.4K 2.51 25.99 N/A N/A 390 978 18,504 15,624 2014-10-20 $20.46 $21.17 30.2% 9.5% 35.6% 40.6% 33.8% 8.9% 0.5% 285.5K -5.6M -79.3K 1.11 24.43 N/A N/A 3,768 4,200 16,140 13,776 2014-10-21 $21.16 $21.17 26.9% 8.6% 37.7% 29.4% 31.6% 8.3% 0.2% 423.0K -11.3M -75.9K 0.83 29.86 N/A N/A 4,902 4,086 16,338 13,782 2014-10-22 $20.90 $21.17 30.3% 8.8% 37.6% 40.9% 31.9% 5.8% -0.0% 488.2K -11.2M -81.9K 0.96 24.99 N/A N/A 4,380 4,224 17,676 13,734 2014-10-23 $21.20 $21.17 28.6% 8.7% 36.6% 35.4% 31.2% 7.3% -1.6% 586.9K -13.7M -79.5K 1.04 25.87 N/A N/A 4,032 4,200 17,898 13,776 2014-10-24 $21.54 $21.17 27.1% 8.5% 36.4% 30.3% 31.2% 9.3% 0.2% 582.8K -14.3M -81.5K 1.02 23.99 N/A N/A 4,146 4,230 17,976 13,830 2014-10-27 $21.62 $21.17 27.3% 8.5% 36.4% 30.9% 0.0% 7.8% 0.4% 657.1K -16.2M -77.2K 0.27 22.34 N/A N/A 336 90 18,222 13,860 2014-10-28 $22.13 $21.17 23.6% 7.8% 37.2% 18.3% 29.3% 8.1% 2.5% 760.0K -21.0M -68.2K 0.06 24.44 N/A N/A 630 36 18,384 13,902 2014-10-29 $22.17 $21.17 22.0% 8.3% 36.2% 13.1% 30.9% 7.5% 5.1% 778.4K -21.1M -73.1K 1.01 33.90 N/A N/A 4,212 4,272 18,774 13,884 2014-10-30 $22.56 $21.33 23.9% 7.9% 36.5% 19.3% 29.9% 6.6% 1.8% 790.7K -25.2M -68.4K 1.07 30.80 N/A N/A 4,008 4,272 18,930 13,896 2014-10-31 $23.11 $21.33 24.0% 7.8% 36.4% 19.7% 30.4% 4.4% -0.3% 762.2K -29.8M -63.5K 1.09 23.72 N/A N/A 3,906 4,272 19,278 13,962
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