UYG Options History — April 2015

In April 2015, UYG traded between $24.05 and $24.79. ATM implied volatility averaged 24.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.2% (HV 20d: 22.6%). Max pain ranged from $24.50 to $24.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-04-10: Highest Volume — 7,302 contracts
  • 2015-04-17: Largest IV spike — 13.2% change
  • 2015-04-01: Highest IV Rank — 36.9%
  • 2015-04-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.41$24.05$24.79$24.13$24.05
Max Pain$24.60$24.50$24.67$24.50$24.50
ATM IV24.8%21.0%29.1%29.1%27.0%
Expected Move7.1%6.0%8.4%8.4%7.7%
HV 20d22.6%15.2%31.7%31.5%16.4%
HV 60d26.2%22.3%29.4%29.4%22.3%
IV Rank22.1%9.4%36.9%36.9%29.6%
IV Percentile51.6%21.0%80.6%80.6%68.3%
Term Structure0.8%-2.1%2.1%-0.3%-2.1%
VWIV24.7%21.8%28.7%28.7%26.5%
Skew 25d5.9%3.7%8.3%5.6%4.7%
Skew 10d11.3%3.5%15.2%11.5%9.5%
Call IV 25d22.9%20.2%27.4%27.4%26.0%
Put IV 25d28.9%25.5%33.0%33.0%30.7%
Bid-Ask Spread %43.7622.8864.3251.4063.54
Gamma HHI0.110.080.220.090.08
Net GEX750.3K528.4K1.7M528.4K562.6K
Net DEX-15.5M-20.2M-12.3M-13.7M-12.3M
Net VEX-54.4K-62.6K-47.2K-62.6K-50.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.001.561.041.42
Total Volume5,217.143247,3025,3405,280
Total OI21,07819,32623,54420,23821,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$24.13$24.5029.1%8.4%31.5%36.9%28.7%5.6%-0.3%528.4K-13.7M-62.6K1.0451.40N/AN/A2,6222,71813,7466,492
2015-04-02$24.46$24.6726.5%7.8%31.7%28.0%26.6%7.3%1.4%577.6K-15.5M-61.0K1.1022.88N/AN/A2,5142,76013,9026,528
2015-04-06$24.48$24.6727.5%7.8%30.9%31.5%27.2%7.0%0.8%582.2K-15.6M-59.8K1.1125.84N/AN/A2,5562,85013,9686,582
2015-04-07$24.28$24.6726.3%7.6%30.9%27.3%26.2%8.3%1.8%572.9K-14.9M-59.7K1.0926.52N/AN/A2,6942,94014,0886,846
2015-04-08$24.45$24.6726.3%7.5%27.6%27.2%0.0%7.6%1.1%639.6K-15.5M-58.9K0.0028.92N/AN/A24014,1606,834
2015-04-09$24.38$24.6725.8%7.4%27.5%25.5%26.2%6.5%0.8%641.3K-15.3M-58.0K1.2332.73N/AN/A2,5383,13214,2266,846
2015-04-10$24.40$24.6725.1%7.2%23.1%23.4%25.5%6.9%2.1%610.0K-15.4M-57.5K0.7532.92N/AN/A4,1703,13214,2326,978
2015-04-13$24.54$24.6726.2%7.5%22.7%26.7%26.5%6.2%-0.3%1.0M-17.5M-56.3K1.0530.61N/AN/A2,8562,99415,4386,978
2015-04-14$24.52$24.6725.5%7.3%21.4%24.6%26.3%6.6%0.4%1.1M-17.2M-55.8K1.2636.15N/AN/A2,3883,01815,5287,074
2015-04-15$24.67$24.6723.6%6.8%21.5%18.0%24.0%6.3%0.6%1.3M-18.8M-54.0K1.0940.44N/AN/A2,7783,01815,6487,266
2015-04-16$24.79$24.6722.8%6.5%21.1%15.3%23.3%5.3%0.7%1.7M-20.2M-54.2K0.8341.35N/AN/A3,7383,10216,2787,266
2015-04-17$24.11$24.6725.8%7.4%22.7%25.5%24.9%5.9%0.2%776.3K-13.5M-53.3K0.7945.49N/AN/A3,8943,07216,0027,218
2015-04-20$24.32$24.6723.7%6.8%20.8%18.3%23.8%5.8%1.6%583.1K-14.9M-52.5K1.2539.58N/AN/A1,9742,46012,8406,486
2015-04-21$24.17$24.6723.3%6.7%20.7%17.0%21.8%4.9%1.9%622.5K-14.5M-50.6K1.4152.55N/AN/A1,8242,58013,0506,486
2015-04-22$24.52$24.5022.3%6.4%20.9%13.7%22.8%4.7%0.6%653.4K-16.2M-48.7K1.5654.58N/AN/A1,9383,03013,1886,684
2015-04-23$24.61$24.5021.0%6.0%17.4%9.4%22.9%5.1%0.8%656.8K-16.1M-52.9K1.3847.53N/AN/A2,1963,03613,3867,140
2015-04-24$24.47$24.5022.2%6.4%17.5%13.4%21.9%5.2%1.7%641.8K-14.9M-50.3K1.4454.50N/AN/A2,0402,94013,1167,140
2015-04-27$24.27$24.5023.6%6.8%17.7%18.2%22.6%6.0%1.5%649.1K-14.3M-49.1K1.4863.56N/AN/A1,9322,85613,1947,152
2015-04-28$24.50$24.5023.1%6.6%15.7%16.3%23.4%3.7%0.8%677.1K-15.2M-47.2K1.4764.32N/AN/A1,9802,90413,3147,302
2015-04-29$24.48$24.5023.9%6.9%15.2%19.2%23.6%5.3%1.0%678.4K-15.0M-49.9K1.4563.60N/AN/A2,0763,00613,4587,356
2015-04-30$24.05$24.5027.0%7.7%16.4%29.6%26.5%4.7%-2.1%562.6K-12.3M-50.9K1.4263.54N/AN/A2,1783,10213,5907,632