UYG Options History — March 2015

In March 2015, UYG traded between $23.48 and $25.38. ATM implied volatility averaged 27.8%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.9% (HV 20d: 24.9%). Max pain ranged from $20.83 to $24.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-03-06: Highest Volume — 10,254 contracts
  • 2015-03-25: Largest IV spike — 17.9% change
  • 2015-03-10: Highest IV Rank — 59.5%
  • 2015-03-10: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.50$23.48$25.38$24.86$24.25
Max Pain$23.52$20.83$24.50$20.83$24.50
ATM IV27.8%23.3%35.8%25.2%28.1%
Expected Move7.9%6.7%9.2%7.2%8.1%
HV 20d24.9%16.5%31.7%19.9%31.7%
HV 60d30.3%29.1%31.1%30.2%30.5%
IV Rank32.4%17.2%59.5%23.4%33.5%
IV Percentile72.3%40.1%95.2%61.5%76.6%
Term Structure0.6%-1.3%2.8%0.2%0.9%
VWIV28.0%23.0%36.2%23.0%28.8%
Skew 25d6.5%2.9%8.9%5.1%5.7%
Skew 10d12.7%8.8%16.9%8.8%11.6%
Call IV 25d24.7%20.8%28.2%20.8%26.8%
Put IV 25d31.2%25.9%36.0%25.9%32.5%
Bid-Ask Spread %47.1227.4384.8483.8755.05
Gamma HHI0.100.080.140.140.08
Net GEX867.9K423.0K1.2M1.2M504.4K
Net DEX-21.5M-37.2M-12.5M-25.2M-14.2M
Net VEX-49.3K-62.1K-36.8K-36.8K-62.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.061.951.821.24
Total Volume3,185.18233610,2546,4625,226
Total OI25,258.90916,65032,41226,62219,950

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$24.86$20.8325.2%7.2%19.9%23.4%23.0%5.1%0.2%1.2M-25.2M-36.8K1.8283.87N/AN/A2,2924,17017,2749,348
2015-03-03$24.73$20.8324.6%7.1%18.8%21.4%25.6%6.0%2.8%1.1M-23.4M-39.9K1.8681.53N/AN/A2,2144,12817,0949,492
2015-03-04$24.42$21.0026.5%7.6%16.7%27.9%26.5%2.9%0.5%1.1M-21.2M-39.9K1.7684.84N/AN/A2,3404,12817,0289,486
2015-03-05$24.62$23.6727.4%7.9%16.7%30.8%26.6%6.4%-1.3%1.1M-22.5M-39.1K1.7636.48N/AN/A2,3464,12817,0649,474
2015-03-06$24.16$23.6728.7%8.3%16.5%35.4%28.6%7.2%-1.1%996.8K-19.5M-39.2K0.7145.91N/AN/A5,9884,26616,9749,474
2015-03-09$24.38$23.6731.5%8.2%16.7%44.9%28.5%7.4%-0.2%1.1M-23.8M-47.7K0.1528.80N/AN/A1,03815618,6909,744
2015-03-10$23.48$23.6735.8%9.2%21.6%59.5%31.2%8.9%0.1%918.9K-16.5M-49.1K0.1534.28N/AN/A70810818,4569,798
2015-03-11$23.71$23.6731.5%9.0%21.5%44.9%33.2%7.9%-0.1%989.3K-18.1M-50.4K0.7327.43N/AN/A22216218,7569,864
2015-03-12$24.71$23.6727.8%8.0%26.2%32.5%25.0%7.0%0.2%1.1M-26.6M-46.1K0.0738.50N/AN/A1,47010818,7989,870
2015-03-13$24.37$23.6728.9%8.3%25.6%36.2%0.0%7.8%0.6%1.1M-23.1M-45.8K0.0835.98N/AN/A1,0989018,1569,972
2015-03-16$24.88$23.6727.6%7.9%26.7%31.7%27.9%8.0%0.3%1.0M-27.8M-43.1K0.0633.87N/AN/A1,68610218,50410,038
2015-03-17$24.79$23.6727.8%8.0%26.7%32.3%36.2%7.3%0.0%1.1M-27.8M-46.0K0.1933.41N/AN/A1,00218619,04410,104
2015-03-18$25.09$23.6727.1%7.8%26.7%30.0%26.2%5.0%0.9%1.1M-31.4M-46.8K0.7851.59N/AN/A87668419,73410,236
2015-03-19$24.73$23.6726.4%7.6%27.2%27.7%30.1%6.3%0.8%1.0M-29.1M-50.2K0.0740.53N/AN/A3,13222820,18410,860
2015-03-20$25.38$23.3323.3%6.7%28.0%17.2%23.7%6.3%2.6%808.5K-37.2M-49.8K0.1845.88N/AN/A1,98636621,37211,040
2015-03-23$25.17$24.0024.6%7.1%28.1%21.6%25.0%6.0%2.2%466.3K-16.8M-53.2K1.2944.00N/AN/A51066011,3705,280
2015-03-24$24.80$24.5024.6%7.0%28.5%21.4%24.4%7.3%2.5%451.3K-15.3M-56.9K0.3243.89N/AN/A59419211,7905,754
2015-03-25$24.02$24.5029.0%8.3%30.7%36.4%29.5%5.8%0.7%423.0K-12.5M-60.1K0.2640.03N/AN/A73819212,1625,880
2015-03-26$23.97$24.5029.6%8.5%30.7%38.4%28.8%6.8%-0.6%445.1K-12.7M-61.5K1.1744.46N/AN/A2,2982,68812,7086,024
2015-03-27$23.90$24.5029.2%8.4%30.6%37.1%32.3%6.4%1.3%474.5K-12.5M-60.4K1.9554.22N/AN/A11422213,0386,198
2015-03-30$24.51$24.5026.9%7.7%31.6%29.2%27.0%6.0%0.9%496.8K-15.3M-60.4K1.2452.16N/AN/A2,3342,89813,2426,372
2015-03-31$24.25$24.5028.1%8.1%31.7%33.5%28.8%5.7%0.9%504.4K-14.2M-62.1K1.2455.05N/AN/A2,3282,89813,4766,474