UYG Options History — February 2015

In February 2015, UYG traded between $22.72 and $24.80. ATM implied volatility averaged 27.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.0% (HV 20d: 31.4%). Max pain ranged from $20.00 to $23.33. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.51.

Notable Days

  • 2015-02-09: Highest Volume — 7,938 contracts
  • 2015-02-09: Largest IV spike — 21.4% change
  • 2015-02-02: Highest IV Rank — 46.9%
  • 2015-02-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$22.72$24.80$22.72$24.51
Max Pain$20.98$20.00$23.33$23.33$20.83
ATM IV27.4%24.0%32.1%32.1%24.6%
Expected Move8.0%6.9%9.2%9.2%7.1%
HV 20d31.4%22.5%37.7%37.7%22.6%
HV 60d30.0%28.9%30.4%28.9%30.2%
IV Rank31.1%19.4%46.9%46.9%21.6%
IV Percentile72.5%50.0%89.3%88.9%56.7%
Term Structure2.0%0.1%5.6%5.6%1.4%
VWIV29.9%24.3%33.9%31.1%26.9%
Skew 25d8.1%5.1%11.1%9.7%5.1%
Skew 10d16.6%9.5%35.2%35.2%10.4%
Call IV 25d24.6%21.7%27.4%26.8%22.3%
Put IV 25d32.7%27.3%36.6%36.5%27.3%
Bid-Ask Spread %59.9834.2083.3483.3476.10
Gamma HHI0.130.100.170.130.13
Net GEX1.1M514.1K1.7M514.1K1.0M
Net DEX-21.5M-27.2M-8.6M-8.6M-22.5M
Net VEX-56.5K-64.5K-44.0K-58.8K-45.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.082.130.781.88
Total Volume6,141.7892527,9381,0986,318
Total OI28,075.89526,06429,93426,06426,688

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$22.72$23.3332.1%9.2%37.7%46.9%31.1%9.7%5.6%514.1K-8.6M-58.8K0.7883.34N/AN/A61848017,3708,694
2015-02-03$23.46$23.3327.7%7.9%37.5%31.9%28.6%10.2%1.1%704.5K-14.4M-58.6K1.5976.48N/AN/A2,9044,62617,8208,994
2015-02-04$23.38$23.3328.7%8.2%36.1%35.5%28.6%6.6%2.7%734.6K-14.4M-62.8K1.6481.98N/AN/A2,9524,83017,9049,042
2015-02-05$23.94$20.0027.1%8.4%36.3%29.9%31.7%8.5%1.8%864.4K-18.4M-60.0K1.8434.20N/AN/A2,5384,68017,9589,024
2015-02-06$24.02$20.0025.7%8.3%35.1%25.1%33.9%9.6%1.9%914.4K-19.8M-64.5K1.6545.35N/AN/A2,6944,45818,2169,246
2015-02-09$23.89$20.0031.2%8.8%34.4%43.8%32.6%9.2%0.6%905.9K-18.4M-62.1K1.2235.15N/AN/A3,5764,36218,4689,138
2015-02-10$24.16$20.0027.6%8.9%34.2%31.7%33.7%8.0%1.4%1.1M-21.1M-64.3K1.7449.04N/AN/A2,5324,41019,5489,456
2015-02-11$24.21$20.0029.4%8.4%33.9%37.9%31.5%8.5%1.0%1.2M-22.0M-61.6K1.7849.56N/AN/A2,5444,53619,7169,612
2015-02-12$24.72$20.6728.0%8.0%33.5%32.9%32.6%9.4%1.3%1.3M-25.8M-62.1K1.4950.21N/AN/A3,0124,48219,6689,768
2015-02-13$24.66$20.6726.8%7.7%32.0%28.9%31.5%8.9%2.9%1.3M-25.6M-61.5K1.6548.42N/AN/A2,8564,72219,6749,834
2015-02-17$24.76$20.6728.7%8.2%31.1%35.5%31.2%8.2%0.1%1.4M-27.2M-56.9K1.7052.92N/AN/A2,8024,76419,88410,050
2015-02-18$24.52$20.8329.2%8.4%31.1%37.0%32.1%8.5%2.1%1.4M-25.3M-56.2K1.8170.25N/AN/A2,7004,89619,80010,098
2015-02-19$24.33$20.8328.2%8.1%31.4%33.8%27.3%7.6%2.3%1.3M-22.9M-55.7K0.6256.45N/AN/A1569619,65010,176
2015-02-20$24.74$20.8326.6%7.6%27.7%28.3%27.5%11.1%0.1%1.7M-25.4M-52.1K0.0857.41N/AN/A1,0749019,57810,266
2015-02-23$24.58$20.8326.3%7.5%27.1%27.1%29.8%5.6%4.9%1.1M-23.5M-50.4K2.1360.25N/AN/A1,8784,00218,0189,150
2015-02-24$24.78$20.8325.0%7.2%27.1%22.8%24.3%7.1%3.0%1.1M-24.8M-49.6K1.1563.60N/AN/A3,5464,06218,0429,198
2015-02-25$24.80$20.8324.0%6.9%25.9%19.4%28.0%6.3%1.9%1.1M-24.9M-46.8K1.9472.70N/AN/A2,1244,11617,8509,270
2015-02-26$24.67$20.8324.2%6.9%22.5%20.1%25.6%5.8%2.3%1.0M-23.4M-44.0K2.0176.12N/AN/A2,0764,18217,2929,282
2015-02-27$24.51$20.8324.6%7.1%22.6%21.6%26.9%5.1%1.4%1.0M-22.5M-45.7K1.8876.10N/AN/A2,1904,12817,3469,342