UYG Options History — April 2008

In April 2008, UYG traded between $48.15 and $56.73. ATM implied volatility averaged 64.5%. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 18.6% (HV 20d: 83.1%). Max pain ranged from $50.00 to $58.33. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2008-04-02: Highest Volume — 2,826 contracts
  • 2008-04-03: Largest IV drop — 9.4% change
  • 2008-04-01: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.67$48.15$56.73$56.05$55.22
Max Pain$50.45$50.00$58.33$50.00$50.00
ATM IV64.5%50.2%79.2%79.2%50.4%
Expected Move18.6%14.4%22.7%22.7%14.4%
HV 20d83.1%49.7%107.9%107.9%50.2%
HV 60d79.9%78.3%81.3%80.6%78.3%
Term Structure2.9%-5.8%13.8%-5.8%4.3%
VWIV65.8%50.0%84.1%84.1%50.0%
Skew 25d9.0%0.9%34.3%21.7%0.9%
Skew 10d21.4%4.1%57.2%57.2%4.1%
Call IV 25d61.0%38.3%73.1%69.9%51.0%
Put IV 25d70.0%51.9%98.3%91.6%51.9%
Bid-Ask Spread %50.4324.8382.6727.4661.09
Gamma HHI0.300.170.490.340.20
Net GEX86.6K-141.3K270.8K98.8K260.0K
Net DEX-4.1M-10.5M5.7M-5.9M-8.0M
Net VEX-41.4K-60.5K-30.5K-30.5K-59.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.283.140.860.44
Total Volume1,322.1825642,8261,824798
Total OI8,1245,27410,3385,27410,206

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$56.05$50.0079.2%22.7%107.9%0.0%84.1%21.7%-5.8%98.8K-5.9M-30.5K0.8627.46N/AN/A9848403,0662,208
2008-04-02$56.25$50.0077.3%22.2%107.7%0.0%79.5%11.4%-3.3%146.4K-6.7M-34.0K3.1460.15N/AN/A6842,1423,6182,430
2008-04-03$56.62$50.0070.0%20.1%107.4%0.0%73.8%10.1%4.2%181.1K-7.7M-35.7K0.3552.49N/AN/A7382644,0022,634
2008-04-04$54.82$58.3375.3%21.5%104.0%0.0%77.6%9.9%-0.3%182.6K-6.8M-36.3K0.5824.83N/AN/A3902224,2902,778
2008-04-07$55.75$50.0068.7%20.2%104.0%0.0%73.2%8.3%1.5%204.9K-7.8M-35.6K0.8931.22N/AN/A7206424,3982,868
2008-04-08$54.05$50.0071.6%20.4%102.8%0.0%71.2%5.9%4.3%134.8K-4.3M-35.4K0.4736.81N/AN/A3841804,3743,102
2008-04-09$52.30$50.0066.6%20.5%96.5%0.0%68.3%6.7%1.0%82.6K-1.8M-33.1K0.7143.04N/AN/A7205164,5183,198
2008-04-10$51.98$50.0069.1%19.8%96.0%0.0%67.9%5.5%0.9%34.6K-537.4K-34.5K0.6643.65N/AN/A3782524,5183,504
2008-04-11$49.62$50.0066.7%19.1%97.2%0.0%70.0%4.5%3.4%-17.6K1.8M-32.7K1.0848.81N/AN/A6487024,4643,564
2008-04-14$48.15$50.0072.5%20.8%93.4%0.0%73.5%2.6%1.2%-101.3K5.7M-30.5K2.7340.73N/AN/A5701,5544,6743,990
2008-04-15$48.43$50.0071.2%20.4%92.2%0.0%70.7%4.9%0.3%-141.3K5.4M-37.6K0.8844.34N/AN/A5705044,7344,608
2008-04-16$51.47$50.0068.2%19.5%76.8%0.0%69.1%34.3%13.8%-61.3K-610.7K-39.4K1.2182.67N/AN/A6127385,0104,728
2008-04-17$53.33$50.0066.1%18.9%76.5%0.0%68.8%8.7%2.4%-15.3K-6.0M-37.1K0.7449.05N/AN/A5584145,2384,884
2008-04-18$54.73$50.0060.4%17.3%68.1%0.0%60.3%3.5%3.8%32.3K-8.2M-37.2K0.2850.97N/AN/A1,6024445,3704,968
2008-04-21$53.25$50.0058.4%16.7%67.8%0.0%58.5%9.9%4.9%50.5K-2.7M-40.2K1.3356.24N/AN/A7329783,1202,730
2008-04-22$52.00$50.0061.3%17.6%68.2%0.0%59.9%5.1%3.0%34.9K-1.8M-38.9K0.8952.74N/AN/A4684143,1202,730
2008-04-23$51.72$51.6758.0%16.6%64.0%0.0%58.7%5.5%4.7%7.3K-461.8K-48.9K1.3951.58N/AN/A6669303,7863,660
2008-04-24$55.25$50.0053.2%15.2%67.0%0.0%53.9%7.2%7.5%70.5K-5.4M-53.7K0.7359.37N/AN/A1,3801,0084,1164,314
2008-04-25$56.73$50.0050.2%14.4%65.2%0.0%52.1%8.5%6.8%216.0K-9.4M-60.5K0.8464.71N/AN/A7446244,8904,596
2008-04-28$56.68$50.0051.5%14.8%65.1%0.0%52.6%16.8%3.7%270.8K-10.5M-59.4K1.2569.01N/AN/A2523125,1784,548
2008-04-29$56.32$50.0052.8%15.1%49.7%0.0%53.5%5.3%2.5%233.2K-9.1M-60.4K0.6858.43N/AN/A4803305,2384,758
2008-04-30$55.22$50.0050.4%14.4%50.2%0.0%50.0%0.9%4.3%260.0K-8.0M-59.8K0.4461.09N/AN/A5522465,4664,740