UYG Options History — November 2014

In November 2014, UYG traded between $23.24 and $24.24. ATM implied volatility averaged 22.0%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.2% (HV 20d: 20.8%). Max pain ranged from $21.17 to $21.33. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-11-20: Highest Volume — 9,654 contracts
  • 2014-11-13: Largest IV spike — 17.9% change
  • 2014-11-13: Highest IV Rank — 21.8%
  • 2014-11-05: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.73$23.24$24.24$23.24$24.24
Max Pain$21.25$21.17$21.33$21.17$21.33
ATM IV22.0%18.9%24.6%24.4%20.8%
Expected Move7.8%7.3%8.2%8.1%7.5%
HV 20d20.8%12.1%36.4%36.4%12.1%
HV 60d25.5%25.2%25.9%25.8%25.2%
IV Rank13.0%2.4%21.8%21.1%8.8%
IV Percentile31.7%2.8%61.5%59.1%18.7%
Term Structure3.0%0.6%5.9%0.8%2.7%
VWIV30.6%25.8%42.8%30.6%25.8%
Skew 25d5.3%3.5%6.8%4.3%4.6%
Skew 10d11.1%7.1%14.2%9.7%9.1%
Call IV 25d20.6%17.6%23.3%23.3%18.6%
Put IV 25d25.8%22.5%28.0%27.7%23.1%
Bid-Ask Spread %24.3518.8330.9624.9722.74
Gamma HHI0.080.070.110.080.11
Net GEX682.7K407.0K824.5K745.2K407.0K
Net DEX-33.0M-36.6M-29.2M-31.0M-30.0M
Net VEX-49.3K-63.5K-38.6K-63.5K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.041.911.101.74
Total Volume6,363.1581209,6548,352510
Total OI33,058.73729,12434,83033,55230,546

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$23.24$21.1724.4%8.1%36.4%21.1%30.6%4.3%0.8%745.2K-31.0M-63.5K1.1024.97N/AN/A3,9724,38019,58413,968
2014-11-04$23.30$21.1723.9%7.6%33.7%19.4%30.2%4.3%0.9%824.5K-31.4M-61.9K1.0923.65N/AN/A4,0324,38619,74614,052
2014-11-05$23.64$21.1723.9%8.2%32.2%19.6%30.6%4.3%0.6%755.7K-33.7M-59.1K1.0722.90N/AN/A4,1344,41619,75214,070
2014-11-06$23.66$21.1722.3%8.2%28.0%14.0%31.1%3.5%2.9%757.4K-34.0M-59.0K1.0722.90N/AN/A4,0744,34419,87214,136
2014-11-07$23.66$21.1721.2%7.9%26.8%10.2%31.0%5.9%1.5%737.1K-35.2M-53.4K1.0921.80N/AN/A3,9124,27220,07614,154
2014-11-10$23.87$21.1721.1%8.0%25.5%9.8%30.4%5.6%5.9%772.0K-36.3M-52.9K1.0623.18N/AN/A4,0264,27220,18414,154
2014-11-11$23.81$21.1719.7%7.8%25.4%5.3%30.9%5.8%5.2%707.6K-34.7M-44.0K1.0521.37N/AN/A4,0084,20018,81612,732
2014-11-12$23.73$21.1720.9%7.7%18.1%9.2%30.5%5.0%2.7%716.6K-36.6M-47.0K1.0722.35N/AN/A4,0144,29020,22614,214
2014-11-13$23.71$21.1724.6%8.0%18.3%21.8%30.5%5.6%3.8%780.3K-35.3M-53.1K1.1023.97N/AN/A3,9904,39220,32814,316
2014-11-14$23.54$21.3324.4%7.7%18.6%21.1%30.4%6.8%1.7%749.6K-34.4M-51.7K0.1128.72N/AN/A1081220,31614,418
2014-11-17$23.49$21.3323.6%7.7%18.8%18.5%30.1%6.4%3.2%780.6K-34.6M-47.7K0.9818.83N/AN/A4,3924,32020,25014,436
2014-11-18$23.67$21.3323.5%7.8%15.9%17.9%30.4%5.3%3.4%797.2K-35.3M-49.9K0.9723.61N/AN/A4,4704,32020,34014,490
2014-11-19$23.53$21.3323.5%7.6%15.0%18.2%42.8%5.1%3.1%740.2K-32.3M-48.0K0.0829.98N/AN/A3603019,41614,484
2014-11-20$23.57$21.3322.4%7.5%14.7%14.2%29.2%6.0%3.5%707.8K-31.6M-45.3K1.0230.96N/AN/A4,7824,87218,90014,322
2014-11-21$23.79$21.3319.9%7.3%14.3%5.8%29.7%5.7%5.6%670.2K-31.2M-42.5K0.9323.77N/AN/A4,6624,34417,95814,868
2014-11-24$24.11$21.3318.9%7.6%14.6%2.4%27.3%6.4%3.7%460.7K-29.2M-40.1K0.3225.95N/AN/A2829016,29012,834
2014-11-25$24.10$21.3319.9%7.6%13.1%5.9%29.4%4.9%3.3%431.3K-30.0M-38.6K1.9124.52N/AN/A2,6285,01616,49412,918
2014-11-26$24.20$21.3319.1%7.5%13.0%3.1%0.0%4.4%3.1%429.8K-29.8M-38.9K0.0426.41N/AN/A5642416,41014,046
2014-11-28$24.24$21.3320.8%7.5%12.1%8.8%25.8%4.6%2.7%407.0K-30.0M-40.4K1.7422.74N/AN/A18632416,47614,070