UYG Options History — May 2008

In May 2008, UYG traded between $48.43 and $59.80. ATM implied volatility averaged 52.3%. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 1.9% (HV 20d: 54.2%). Max pain ranged from $50.00 to $56.67. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2008-05-21: Highest Volume — 4,734 contracts
  • 2008-05-15: Largest IV spike — 22.0% change
  • 2008-05-27: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.45$48.43$59.80$59.55$49.37
Max Pain$53.10$50.00$56.67$51.67$50.00
ATM IV52.3%44.0%59.9%50.1%53.8%
Expected Move15.5%12.7%17.2%14.4%15.4%
HV 20d54.2%43.4%59.9%57.1%43.4%
HV 60d75.9%73.8%79.3%79.3%74.0%
Term Structure2.1%-1.8%7.8%3.2%3.8%
VWIV53.9%44.0%59.6%49.0%54.5%
Skew 25d6.2%2.1%10.3%5.2%6.0%
Skew 10d12.4%-0.1%23.7%14.8%10.0%
Call IV 25d50.9%41.4%55.2%47.4%50.0%
Put IV 25d57.1%46.9%62.9%52.6%56.0%
Bid-Ask Spread %40.4425.4572.8072.8059.07
Gamma HHI0.170.100.270.230.12
Net GEX182.9K-54.5K493.4K380.5K168.2K
Net DEX-3.3M-16.6M6.1M-14.9M-2.4M
Net VEX-78.1K-99.0K-59.6K-59.6K-99.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.161.470.281.19
Total Volume1,661.1435404,7341,9321,014
Total OI14,060.28610,43418,03610,45818,036

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$59.55$51.6750.1%14.4%57.1%0.0%49.0%5.2%3.2%380.5K-14.9M-59.6K0.2872.80N/AN/A1,5124205,5684,890
2008-05-02$59.80$51.6746.7%13.4%55.6%0.0%47.7%2.1%6.0%478.1K-16.6M-63.1K0.5169.24N/AN/A9905046,1024,962
2008-05-05$58.42$53.3352.2%15.4%56.2%0.0%55.3%7.0%2.9%454.5K-14.1M-62.4K0.6525.45N/AN/A4563006,0425,070
2008-05-06$58.98$55.0047.4%15.3%54.9%0.0%55.4%10.3%1.1%493.4K-15.3M-67.8K0.7136.62N/AN/A7925586,4505,412
2008-05-07$55.40$55.0052.4%15.5%58.4%0.0%53.8%4.8%1.3%380.4K-6.9M-74.2K0.9938.55N/AN/A7087026,9485,850
2008-05-08$53.48$56.6753.9%16.4%59.9%0.0%56.9%5.9%-1.4%236.8K-3.2M-75.8K1.2933.27N/AN/A1,1581,4887,2546,342
2008-05-09$53.20$55.0052.9%16.0%57.3%0.0%56.8%4.2%0.7%83.0K-981.0K-76.8K1.4731.32N/AN/A7621,1167,4587,074
2008-05-12$54.77$53.3351.7%16.4%56.5%0.0%56.5%9.4%0.1%209.9K-4.2M-79.5K0.4433.13N/AN/A3781627,7287,650
2008-05-13$53.53$53.3352.1%15.7%57.5%0.0%56.5%3.8%-0.3%96.5K-1.4M-76.8K0.9132.79N/AN/A3303007,9327,716
2008-05-14$54.33$53.3344.0%15.8%53.8%0.0%54.4%5.6%-1.8%143.1K-3.3M-75.9K0.1633.71N/AN/A528847,9987,896
2008-05-15$55.72$53.3353.6%15.4%53.0%0.0%53.2%6.4%-0.4%436.1K-7.9M-75.5K0.3138.82N/AN/A8282588,2807,980
2008-05-16$54.38$53.3351.0%14.6%53.0%0.0%51.8%5.1%3.3%284.5K-3.2M-77.2K0.7735.74N/AN/A8406428,4788,010
2008-05-19$54.15$53.3344.1%12.7%52.1%0.0%44.0%5.5%7.8%55.0K-723.9K-73.1K0.9043.23N/AN/A1,2781,1525,5144,920
2008-05-20$51.75$53.3348.2%13.8%54.0%0.0%47.4%4.2%4.5%12.8K2.7M-76.1K0.8737.02N/AN/A1,0569246,1145,304
2008-05-21$49.17$53.3355.4%15.9%56.9%0.0%54.6%3.8%2.7%-33.0K5.5M-74.5K1.1747.79N/AN/A2,1842,5506,4805,550
2008-05-22$50.05$53.3357.3%16.4%51.5%0.0%53.6%9.5%-0.6%-40.6K3.9M-87.3K0.5431.92N/AN/A7984327,4646,666
2008-05-23$48.43$53.3358.2%16.7%51.0%0.0%57.9%6.6%0.6%-54.5K6.1M-86.0K0.6526.60N/AN/A1,2488107,8246,840
2008-05-27$49.00$51.6759.9%17.2%51.5%0.0%59.1%10.1%3.2%-13.8K4.0M-91.0K0.4050.63N/AN/A7683068,4907,284
2008-05-28$48.75$51.6757.0%16.4%51.5%0.0%59.6%6.9%4.6%-20.1K5.2M-89.5K0.5238.05N/AN/A1,4287388,6947,350
2008-05-29$50.13$50.0055.5%15.9%52.7%0.0%53.9%8.6%3.6%89.7K-1.6M-98.6K0.5733.40N/AN/A1,5128709,8047,842
2008-05-30$49.37$50.0053.8%15.4%43.4%0.0%54.5%6.0%3.8%168.2K-2.4M-99.0K1.1959.07N/AN/A46255210,4407,596