UYG Options History — December 2014

In December 2014, UYG traded between $22.86 and $25.54. ATM implied volatility averaged 26.5%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.4% (HV 20d: 22.1%). Max pain ranged from $19.17 to $26.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2014-12-08: Highest Volume — 14,730 contracts
  • 2014-12-10: Largest IV spike — 18.2% change
  • 2014-12-16: Highest IV Rank — 61.3%
  • 2014-12-16: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.61$22.86$25.54$23.87$24.85
Max Pain$22.42$19.17$26.50$21.33$25.50
ATM IV26.5%20.3%36.3%23.3%28.7%
Expected Move8.5%7.3%10.3%7.8%9.0%
HV 20d22.1%11.3%30.8%11.3%30.8%
HV 60d27.0%25.3%29.2%25.5%28.0%
IV Rank28.1%7.2%61.3%17.2%35.6%
IV Percentile63.2%15.9%97.6%42.1%86.9%
Term Structure2.1%-1.9%5.9%2.3%2.7%
VWIV31.3%24.6%39.3%29.6%29.6%
Skew 25d6.3%-3.5%17.1%0.3%0.8%
Skew 10d12.5%2.2%21.1%2.2%3.3%
Call IV 25d24.4%16.1%35.0%26.3%26.7%
Put IV 25d30.6%22.4%41.2%26.6%27.5%
Bid-Ask Spread %39.3328.1574.2648.1440.14
Gamma HHI0.140.090.240.120.12
Net GEX554.1K201.1K993.4K373.0K735.0K
Net DEX-30.5M-40.3M-21.5M-28.3M-25.2M
Net VEX-60.0K-74.0K-34.4K-40.5K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.211.681.601.68
Total Volume6,671.18213814,7307,482594
Total OI32,091.81822,06840,26630,90024,780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$23.87$21.3323.3%7.8%11.3%17.2%29.6%0.3%2.3%373.0K-28.3M-40.5K1.6048.14N/AN/A2,8744,60816,50614,394
2014-12-02$24.24$21.3321.3%7.7%12.3%10.6%30.2%3.3%3.7%360.2K-30.6M-34.4K1.5932.13N/AN/A2,8804,57816,47614,580
2014-12-03$24.50$21.3320.6%7.3%12.6%8.4%29.4%4.7%2.1%201.1K-31.5M-35.4K1.6232.39N/AN/A2,9344,74016,64415,450
2014-12-04$24.54$21.3320.3%7.6%11.8%7.2%31.9%2.8%3.4%210.9K-31.7M-34.9K0.2132.38N/AN/A1142416,61415,666
2014-12-05$24.88$21.3320.6%7.6%12.5%8.1%30.6%5.6%4.0%291.5K-33.1M-35.2K1.5235.95N/AN/A2,9644,49416,63215,666
2014-12-08$25.13$21.3324.1%7.9%12.8%19.9%31.0%7.1%2.2%315.4K-33.8M-34.8K0.4235.21N/AN/A10,3744,35616,69815,786
2014-12-09$25.05$21.5024.9%8.3%12.8%22.9%32.0%8.0%0.4%496.2K-38.8M-57.3K1.1231.45N/AN/A4,2664,77020,91015,774
2014-12-10$24.36$21.3329.5%8.6%16.6%38.3%34.1%7.3%-0.6%643.1K-35.7M-68.9K1.3034.33N/AN/A3,6424,73422,09816,164
2014-12-11$24.53$21.3330.5%9.2%16.6%41.7%35.2%5.8%3.0%678.4K-37.0M-70.0K1.3535.01N/AN/A3,4744,68022,42216,158
2014-12-12$23.64$21.3334.1%9.8%21.5%53.8%36.3%6.8%1.3%623.6K-31.3M-72.6K1.1035.77N/AN/A3,7864,15222,51816,242
2014-12-15$23.30$21.6734.2%9.9%22.0%54.4%36.3%10.3%-1.0%642.9K-28.0M-69.9K1.2943.14N/AN/A3,5284,55422,67416,482
2014-12-16$22.86$21.6736.3%10.3%22.9%61.3%38.3%10.9%-1.9%695.1K-26.1M-70.8K0.8535.54N/AN/A5,9105,00422,88416,494
2014-12-17$23.79$19.3333.9%9.7%27.0%53.3%39.3%10.4%0.2%528.0K-32.0M-71.3K0.8248.58N/AN/A5,7844,74623,45416,812
2014-12-18$24.74$19.1728.4%9.2%30.2%34.8%35.5%17.1%1.8%615.7K-39.2M-71.8K1.3028.46N/AN/A3,6544,76423,44216,458
2014-12-19$24.87$19.1727.3%8.4%30.2%31.0%32.0%8.6%1.1%993.4K-40.3M-74.0K0.3235.13N/AN/A49215623,56816,500
2014-12-22$25.04$0.0024.6%8.2%30.2%21.9%25.9%7.5%2.6%568.6K-21.5M-71.1K1.2828.15N/AN/A2,4483,12615,0127,056
2014-12-23$25.41$24.8323.6%7.9%30.3%18.3%24.6%5.6%2.6%593.5K-24.3M-70.4K1.2431.71N/AN/A2,5623,17415,4507,356
2014-12-24$25.29$26.5023.4%8.0%30.4%17.8%25.2%4.9%4.7%604.4K-24.5M-68.9K1.3630.09N/AN/A2,3403,18015,6127,530
2014-12-26$25.44$26.5023.4%8.2%30.4%17.9%28.6%5.0%5.9%635.9K-24.9M-68.1K1.3745.10N/AN/A2,3163,18015,5947,620
2014-12-29$25.54$26.5024.7%7.9%30.4%22.2%25.8%-3.5%3.0%631.9K-25.5M-63.7K0.9472.21N/AN/A3,3843,18015,6187,638
2014-12-30$25.45$26.5024.6%8.0%29.7%21.8%28.2%9.0%3.1%752.5K-27.5M-66.9K0.4174.26N/AN/A1747216,9507,638
2014-12-31$24.85$25.5028.7%9.0%30.8%35.6%29.6%0.8%2.7%735.0K-25.2M-69.8K1.6840.14N/AN/A22237217,0707,710