UYG Options History — January 2015

In January 2015, UYG traded between $22.15 and $24.98. ATM implied volatility averaged 33.2%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.9% (HV 20d: 34.1%). Max pain ranged from $23.50 to $25.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-01-14: Highest Volume — 8,958 contracts
  • 2015-01-12: Largest IV spike — 39.8% change
  • 2015-01-13: Highest IV Rank — 82.8%
  • 2015-01-15: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.35$22.15$24.98$24.98$22.15
Max Pain$24.16$23.50$25.50$25.50$23.50
ATM IV33.2%24.9%42.6%24.9%36.3%
Expected Move9.6%8.0%11.2%8.4%10.4%
HV 20d34.1%29.2%36.8%30.7%36.2%
HV 60d27.1%26.0%28.4%27.0%28.4%
IV Rank50.8%22.6%82.8%22.6%61.4%
IV Percentile89.3%63.9%98.8%63.9%95.6%
Term Structure-0.4%-4.3%5.6%5.6%-0.1%
VWIV32.6%27.9%36.5%32.7%31.0%
Skew 25d8.5%0.7%12.0%5.1%8.5%
Skew 10d12.7%-2.0%24.1%-2.0%14.4%
Call IV 25d29.6%21.9%35.2%21.9%29.9%
Put IV 25d38.1%27.0%45.8%27.0%38.4%
Bid-Ask Spread %52.5030.9886.4058.6868.99
Gamma HHI0.110.090.140.110.12
Net GEX598.7K299.9K774.0K774.0K454.7K
Net DEX-13.8M-25.2M-7.1M-25.2M-7.3M
Net VEX-69.1K-75.1K-60.5K-65.8K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.3812.001.321.89
Total Volume4,7491568,9586,8706,738
Total OI26,631.324,02429,93425,12825,848

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$24.98$25.5024.9%8.4%30.7%22.6%32.7%5.1%5.6%774.0K-25.2M-65.8K1.3258.68N/AN/A2,9583,91217,0468,082
2015-01-05$24.02$25.5033.7%10.1%33.8%52.6%36.1%8.4%-0.2%618.5K-18.1M-73.0K2.9730.98N/AN/A21664217,0588,532
2015-01-06$23.35$25.5039.2%10.8%34.7%71.0%33.6%10.1%-2.2%512.3K-13.8M-74.1K1.1140.20N/AN/A79287616,9928,946
2015-01-07$23.88$24.1733.7%9.8%35.5%52.5%34.5%9.1%-1.0%632.6K-16.7M-73.2K0.7858.24N/AN/A43834217,5629,708
2015-01-08$24.47$24.0029.3%9.2%36.8%37.8%33.4%9.3%-1.8%737.0K-21.4M-75.1K1.2535.89N/AN/A3,2224,02017,95810,002
2015-01-09$23.98$24.0027.5%10.1%36.2%31.4%33.7%8.0%-4.3%721.9K-19.0M-74.8K1.2942.96N/AN/A3,1324,03218,16810,116
2015-01-12$23.63$24.1738.4%9.9%36.4%68.4%34.6%9.1%-0.4%634.5K-15.0M-73.9K1.1433.22N/AN/A3,8464,38618,12610,494
2015-01-13$23.38$24.1742.6%10.6%34.2%82.8%34.6%8.8%-2.8%622.9K-13.7M-72.4K1.1137.23N/AN/A3,9664,38618,08410,482
2015-01-14$22.91$24.1736.5%10.5%34.6%62.1%36.5%12.0%-1.3%420.4K-8.9M-68.6K1.1152.36N/AN/A4,2424,71618,23410,482
2015-01-15$22.38$24.0039.0%11.2%34.9%70.3%35.4%5.4%0.3%299.9K-7.1M-70.1K1.2347.05N/AN/A3,8224,69218,40810,938
2015-01-16$22.95$24.0035.5%10.2%33.0%58.6%36.1%11.4%2.1%619.5K-9.1M-69.3K1.1248.72N/AN/A56463018,90611,028
2015-01-20$22.71$24.0034.7%10.0%29.3%55.8%34.5%6.6%-1.1%527.3K-10.7M-68.1K0.6953.75N/AN/A15610816,4887,536
2015-01-21$22.79$24.0033.1%9.5%29.2%50.3%31.7%10.0%-0.3%555.8K-10.7M-67.4K0.4457.96N/AN/A46820416,5667,602
2015-01-22$23.85$23.8329.2%8.4%34.0%37.0%28.9%10.6%-0.6%705.8K-16.6M-69.8K1.8154.46N/AN/A2,3584,27216,8307,698
2015-01-23$23.48$23.8329.7%8.5%33.7%38.9%28.2%9.0%0.5%678.1K-15.2M-68.8K1.8452.78N/AN/A2,4064,42217,0828,454
2015-01-26$23.67$23.8327.8%8.0%34.0%32.2%27.9%8.8%-0.1%712.1K-15.3M-66.2K12.0059.92N/AN/A1214417,1788,586
2015-01-27$23.22$23.6730.4%8.7%34.2%41.1%28.4%8.0%1.0%643.2K-13.1M-66.4K0.3868.20N/AN/A1566017,1788,526
2015-01-28$22.48$23.6730.2%8.7%35.4%40.6%29.9%0.7%0.9%553.7K-10.1M-62.7K1.8386.40N/AN/A2,4064,40417,2688,586
2015-01-29$22.75$23.6732.8%9.4%36.0%49.3%29.9%11.7%-1.2%550.5K-9.7M-63.0K1.8062.03N/AN/A2,4424,39217,2388,610
2015-01-30$22.15$23.5036.3%10.4%36.2%61.4%31.0%8.5%-0.1%454.7K-7.3M-60.5K1.8968.99N/AN/A2,3344,40417,1668,682