UYG Options History — June 2015 In June 2015, UYG traded between $24.50 and $26.24. ATM implied volatility averaged 25.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.8% (HV 20d: 20.5%). Max pain ranged from $21.67 to $25.83. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2015-06-05 : Highest Volume — 5,850 contracts2015-06-29 : Largest IV spike — 36.3% change2015-06-29 : Highest IV Rank — 54.1%2015-06-29 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.48 $24.50 $26.24 $25.00 $24.72 Max Pain $25.05 $21.67 $25.83 $22.83 $25.67 ATM IV 25.3% 20.8% 34.2% 22.3% 32.5% Expected Move 7.3% 6.0% 9.8% 6.4% 9.3% HV 20d 20.5% 17.9% 25.7% 21.5% 25.7% HV 60d 20.8% 19.1% 23.7% 23.7% 21.3% IV Rank 23.7% 8.7% 54.1% 13.7% 48.2% IV Percentile 52.8% 17.5% 92.9% 31.0% 89.7% Term Structure 1.4% -2.5% 3.8% 1.3% -1.1% VWIV 25.1% 21.2% 30.1% 22.9% 29.5% Skew 25d 6.2% 4.3% 8.9% 4.3% 5.1% Skew 10d 11.9% 4.5% 20.3% 9.0% 12.6% Call IV 25d 22.5% 19.5% 30.2% 20.8% 28.9% Put IV 25d 28.8% 24.0% 37.4% 25.1% 34.0% Bid-Ask Spread % 56.13 30.60 95.54 91.74 57.78 Gamma HHI 0.16 0.08 0.90 0.14 0.08 Net GEX 830.5K 270.0K 8.8M 472.0K 286.6K Net DEX -14.7M -21.5M -7.0M -9.6M -7.9M Net VEX -45.8K -59.3K -35.3K -36.4K -59.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.02 1.31 0.99 0.93 Total Volume 3,589.773 558 5,850 3,879 4,317 Total OI 21,335.727 13,863 30,678 30,645 17,127
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $25.00 $22.83 22.3% 6.4% 21.5% 13.7% 22.9% 4.3% 1.3% 472.0K -9.6M -36.4K 0.99 91.74 N/A N/A 1,947 1,932 18,972 11,673 2015-06-02 $25.10 $21.67 23.1% 6.6% 20.8% 16.2% 22.8% 5.8% 0.5% 505.9K -17.5M -35.3K 0.02 95.54 N/A N/A 549 9 13,017 8,451 2015-06-03 $25.39 $22.83 24.7% 7.1% 20.0% 21.9% 24.5% 6.4% -0.0% 489.8K -11.3M -37.5K 0.79 89.85 N/A N/A 2,445 1,941 18,984 11,694 2015-06-04 $24.94 $25.17 25.9% 7.5% 20.7% 25.8% 24.6% 7.3% -0.4% 424.7K -14.8M -35.9K 0.96 40.44 N/A N/A 1,101 1,062 12,774 8,973 2015-06-05 $25.19 $25.17 24.3% 7.3% 20.0% 20.3% 24.5% 6.7% 1.7% 452.2K -15.5M -36.9K 0.23 38.72 N/A N/A 4,749 1,101 12,864 9,168 2015-06-08 $24.96 $25.17 26.1% 7.4% 18.1% 26.6% 25.5% 7.1% 2.5% 376.3K -14.1M -41.3K 0.50 30.60 N/A N/A 2,295 1,137 12,855 9,465 2015-06-09 $25.00 $25.17 26.7% 7.4% 17.9% 28.6% 25.8% 6.8% 1.6% 406.0K -14.7M -43.6K 0.62 39.79 N/A N/A 1,755 1,083 13,440 9,507 2015-06-10 $25.73 $25.17 24.0% 6.9% 20.5% 19.5% 24.9% 8.0% 2.7% 542.2K -19.5M -42.4K 0.51 39.13 N/A N/A 2,547 1,293 13,446 9,480 2015-06-11 $25.87 $25.17 24.1% 6.9% 20.5% 19.9% 24.4% 6.7% 2.0% 594.0K -19.5M -42.6K 0.83 51.18 N/A N/A 1,776 1,473 13,146 9,639 2015-06-12 $25.75 $25.17 25.3% 7.3% 19.6% 23.9% 25.9% 5.4% 2.2% 587.5K -18.8M -47.0K 1.31 41.01 N/A N/A 1,191 1,566 13,635 9,915 2015-06-15 $25.51 $25.17 26.7% 7.7% 19.7% 28.6% 27.0% 8.9% 0.9% 529.2K -17.4M -47.8K 1.29 43.05 N/A N/A 1,200 1,554 13,818 9,930 2015-06-16 $25.78 $25.17 25.9% 7.4% 19.7% 26.0% 26.7% 8.6% 1.8% 627.9K -19.4M -47.8K 1.28 43.47 N/A N/A 1,311 1,677 13,995 9,945 2015-06-17 $25.73 $25.33 26.9% 7.7% 19.3% 29.2% 26.9% 5.2% 3.1% 635.4K -19.2M -46.5K 0.98 78.09 N/A N/A 1,743 1,704 13,914 10,077 2015-06-18 $26.20 $25.33 23.7% 6.8% 20.2% 18.4% 24.3% 5.0% 1.9% 789.1K -21.5M -45.9K 1.07 46.95 N/A N/A 1,815 1,944 13,743 10,146 2015-06-19 $25.83 $25.83 23.5% 6.7% 20.7% 17.9% 24.7% 7.1% 3.8% 8.8M -16.5M -46.4K 0.67 52.98 N/A N/A 3,033 2,037 12,840 10,563 2015-06-22 $26.16 $25.83 21.6% 6.2% 21.1% 11.4% 22.9% 5.6% 3.6% 270.0K -12.1M -47.2K 0.91 56.70 N/A N/A 1,683 1,539 8,784 5,079 2015-06-23 $26.24 $25.83 20.8% 6.0% 19.8% 8.7% 21.2% 4.5% 2.5% 317.0K -13.3M -49.7K 0.89 61.33 N/A N/A 1,788 1,587 9,438 5,337 2015-06-24 $25.84 $25.83 23.4% 6.7% 19.8% 17.2% 24.6% 4.9% 1.1% 319.0K -12.2M -50.3K 0.92 56.17 N/A N/A 2,037 1,869 9,654 5,358 2015-06-25 $25.48 $25.83 25.2% 7.2% 20.5% 23.3% 22.8% 4.4% 1.2% 272.1K -10.5M -54.1K 0.82 64.94 N/A N/A 2,205 1,809 9,651 5,874 2015-06-26 $25.63 $25.83 25.1% 7.2% 19.5% 23.1% 25.3% 6.3% 0.8% 321.7K -11.6M -55.3K 0.89 59.05 N/A N/A 2,337 2,073 10,251 6,000 2015-06-29 $24.50 $25.83 34.2% 9.8% 25.5% 54.1% 30.1% 7.2% -2.5% 278.8K -7.0M -57.9K 0.79 56.43 N/A N/A 2,661 2,100 10,533 6,231 2015-06-30 $24.72 $25.67 32.5% 9.3% 25.7% 48.2% 29.5% 5.1% -1.1% 286.6K -7.9M -59.3K 0.93 57.78 N/A N/A 2,241 2,076 10,698 6,429
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