UYG Options History — March 2008 In March 2008, UYG traded between $44.20 and $56.60. ATM implied volatility averaged 83.2%. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 7.0% (HV 20d: 90.2%). Max pain ranged from $50.00 to $58.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.58.
Notable Days 2008-03-20 : Highest Volume — 1,596 contracts2008-03-18 : Largest IV drop — 33.7% change2008-03-17 : Largest Expected Move — 33.6%Monthly Statistics Metric Avg Min Max Open Close Price $50.02 $44.20 $56.60 $51.83 $49.75 Max Pain $50.83 $50.00 $58.33 $58.33 $50.00 ATM IV 83.2% 70.5% 117.3% 79.6% 80.8% Expected Move 24.0% 20.2% 33.6% 22.8% 23.2% HV 20d 90.2% 72.6% 102.4% 75.9% 99.3% Term Structure -3.9% -32.4% 4.7% 4.1% 4.7% VWIV 82.7% 75.1% 109.1% 78.8% 80.9% Skew 25d 8.9% -8.0% 36.9% 5.5% 5.2% Skew 10d 15.0% -25.5% 54.2% 5.2% 8.8% Call IV 25d 78.8% 69.6% 99.4% 78.1% 83.1% Put IV 25d 87.7% 65.6% 115.5% 83.6% 88.3% Bid-Ask Spread % 50.71 21.58 94.05 54.46 29.05 Gamma HHI 0.41 0.25 0.77 0.36 0.25 Net GEX 66.8K 8.5K 296.2K 14.3K 18.0K Net DEX -1.7M -8.8M 708.6K -117.3K 42.7K Net VEX -11.6K -26.0K -2.3K -2.3K -26.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.10 2.68 1.07 0.31 Total Volume 715.8 126 1,596 126 762 Total OI 2,307.6 474 4,788 474 4,788
Daily Data (20 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 2008-03-03 $51.83 $58.33 79.6% 22.8% 0.0% 0.0% 78.8% 5.5% 4.1% 14.3K -117.3K -2.3K 1.07 54.46 N/A N/A 60 66 360 114 2008-03-04 $51.27 $58.33 81.8% 23.4% 0.0% 0.0% 80.3% -7.4% 0.8% 11.8K 8.5K -2.6K 0.10 79.51 N/A N/A 318 30 390 168 2008-03-05 $50.42 $50.00 81.2% 23.3% 0.0% 0.0% 78.8% 36.9% 1.3% 31.5K -525.8K -4.4K 0.23 82.50 N/A N/A 120 30 672 180 2008-03-06 $46.68 $50.00 70.5% 20.2% 0.0% 0.0% 0.0% 7.3% 1.1% 10.5K 289.7K -2.7K 0.80 94.05 N/A N/A 132 108 720 204 2008-03-07 $46.70 $50.00 83.6% 24.4% 0.0% 0.0% 84.4% 8.5% -4.1% 20.9K -35.9K -4.6K 0.54 61.24 N/A N/A 84 48 774 294 2008-03-10 $44.43 $50.00 91.5% 27.7% 0.0% 0.0% 94.4% 7.2% -11.1% 17.9K 178.5K -4.3K 0.50 50.11 N/A N/A 132 66 822 318 2008-03-11 $49.63 $50.00 78.7% 23.3% 75.9% 0.0% 81.5% 12.7% -0.4% 10.2K 578.5K -4.3K 0.16 45.61 N/A N/A 426 66 858 372 2008-03-12 $48.35 $50.00 82.3% 23.5% 73.7% 0.0% 82.9% 7.5% -8.8% 12.4K 356.3K -5.6K 0.31 50.53 N/A N/A 420 132 1,134 396 2008-03-13 $49.63 $50.00 84.5% 24.2% 72.6% 0.0% 85.0% 10.2% -3.1% 67.6K -1.1M -8.7K 0.13 39.72 N/A N/A 600 78 1,344 480 2008-03-14 $45.85 $50.00 95.6% 27.4% 75.4% 0.0% 76.6% -8.0% -5.8% 14.7K 518.6K -6.6K 0.35 86.15 N/A N/A 606 216 1,674 522 2008-03-17 $44.20 $50.00 117.3% 33.6% 73.9% 0.0% 109.1% 16.2% -32.4% 8.5K 708.6K -7.6K 0.42 58.30 N/A N/A 1,032 432 1,716 720 2008-03-18 $51.57 $50.00 77.8% 22.3% 93.2% 0.0% 78.0% 17.3% -13.4% 148.8K -5.6M -10.9K 0.18 70.28 N/A N/A 1,134 204 2,226 738 2008-03-19 $49.68 $50.00 90.1% 25.8% 92.7% 0.0% 86.5% 7.7% -10.5% 296.2K -3.8M -15.2K 0.21 44.96 N/A N/A 720 150 2,688 816 2008-03-20 $54.92 $50.00 79.8% 22.9% 99.9% 0.0% 82.8% 12.8% -0.2% 187.1K -8.8M -16.0K 0.35 28.92 N/A N/A 1,182 414 2,778 834 2008-03-24 $56.60 $50.00 75.9% 21.8% 100.0% 0.0% 78.7% 10.2% -1.4% 114.9K -5.4M -18.7K 0.68 21.58 N/A N/A 780 528 1,956 546 2008-03-25 $56.32 $50.00 72.2% 20.7% 99.7% 0.0% 76.2% 12.6% 1.6% 116.7K -5.2M -22.0K 0.90 30.12 N/A N/A 366 330 2,256 888 2008-03-26 $52.65 $50.00 78.9% 22.6% 102.1% 0.0% 75.1% 7.7% 1.4% 103.1K -3.7M -23.0K 0.70 40.75 N/A N/A 384 270 2,460 1,062 2008-03-27 $50.95 $50.00 77.5% 22.2% 102.4% 0.0% 76.8% 1.7% 1.5% 78.2K -2.1M -22.9K 0.96 24.58 N/A N/A 366 354 2,526 1,260 2008-03-28 $48.88 $50.00 84.5% 24.2% 101.8% 0.0% 84.0% 7.0% -2.5% 52.3K -553.5K -23.0K 2.68 21.84 N/A N/A 318 852 2,604 1,494 2008-03-31 $49.75 $50.00 80.8% 23.2% 99.3% 0.0% 80.9% 5.2% 4.7% 18.0K 42.7K -26.0K 0.31 29.05 N/A N/A 582 180 2,718 2,070
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