UYG Options History — June 2008

In June 2008, UYG traded between $33.57 and $48.95. ATM implied volatility averaged 74.5%. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 18.2% (HV 20d: 56.3%). Max pain ranged from $41.67 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2008-06-20: Highest Volume — 7,092 contracts
  • 2008-06-11: Largest IV spike — 17.6% change
  • 2008-06-13: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$33.57$48.95$47.90$33.57
Max Pain$45.87$41.67$50.00$50.00$41.67
ATM IV74.5%62.2%85.8%62.2%81.5%
Expected Move21.2%17.8%24.1%17.8%23.4%
HV 20d56.3%42.7%64.9%43.6%64.8%
HV 60d63.8%54.4%72.6%72.6%56.4%
Term Structure-3.3%-12.0%2.2%-0.9%-0.9%
VWIV73.0%59.7%82.5%62.5%82.5%
Skew 25d5.7%-1.5%10.4%7.1%6.5%
Skew 10d9.5%-1.0%15.7%2.8%0.9%
Call IV 25d71.1%56.9%83.3%58.4%80.1%
Put IV 25d76.8%65.0%86.6%65.6%86.6%
Bid-Ask Spread %34.4212.4857.7157.1324.10
Gamma HHI0.160.090.240.110.09
Net GEX123.7K-8.2K525.6K101.8K61.5K
Net DEX12.6M467.3K25.9M2.4M18.8M
Net VEX-101.5K-123.2K-89.8K-94.6K-95.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.141.500.530.40
Total Volume3,7321,2427,0922,1364,284
Total OI28,168.57118,62438,09418,62433,894

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$47.90$50.0062.2%17.8%43.6%0.0%62.5%7.1%-0.9%101.8K2.4M-94.6K0.5357.13N/AN/A1,39274410,6627,962
2008-06-03$47.35$50.0062.5%17.9%43.4%0.0%61.4%5.7%2.2%110.9K3.9M-94.3K1.2933.74N/AN/A1,0141,30811,3468,400
2008-06-04$46.77$50.0065.7%18.8%42.7%0.0%64.9%8.7%1.0%64.2K5.8M-102.0K0.2937.81N/AN/A96028211,7249,252
2008-06-05$48.95$50.0062.9%18.0%42.9%0.0%59.7%10.4%0.4%136.5K467.3K-105.8K0.2034.65N/AN/A2,03440812,0789,372
2008-06-06$44.25$50.0069.5%19.8%53.7%0.0%69.5%4.7%-3.9%58.0K11.7M-93.7K0.6135.80N/AN/A2,7061,65012,6369,384
2008-06-09$42.80$50.0077.3%20.8%54.4%0.0%71.7%1.8%-5.0%-2.4K17.6M-89.8K0.5729.98N/AN/A2,1661,23614,36410,326
2008-06-10$43.13$46.6773.0%20.7%52.8%0.0%71.4%7.0%-2.9%2.9K15.9M-97.1K0.2726.81N/AN/A2,41866015,03010,986
2008-06-11$40.68$46.6785.8%23.0%55.2%0.0%76.6%6.3%-3.9%14.8K20.0M-90.3K0.4439.44N/AN/A3,1621,40416,44011,124
2008-06-12$42.23$46.6779.4%22.8%57.3%0.0%77.5%8.9%-12.0%120.7K15.5M-101.9K0.2232.20N/AN/A3,70282217,79011,520
2008-06-13$43.63$45.0084.2%24.1%58.0%0.0%79.3%8.2%-11.6%234.6K10.2M-113.2K0.1539.26N/AN/A3,31848619,28411,940
2008-06-16$44.53$45.0081.7%23.4%59.0%0.0%78.6%7.8%-10.3%525.6K918.6K-123.2K0.3736.02N/AN/A1,98673221,54612,114
2008-06-17$42.00$45.0073.9%21.2%61.4%0.0%75.2%-1.5%-8.5%300.9K13.6M-107.2K0.5450.49N/AN/A1,32070822,16412,276
2008-06-18$41.00$45.0079.8%22.9%60.3%0.0%78.4%4.5%-6.6%117.8K20.4M-99.7K0.6919.64N/AN/A2,6461,83622,65012,570
2008-06-19$41.47$45.0075.6%21.7%59.0%0.0%74.6%10.4%-2.6%113.4K19.5M-103.5K0.8256.60N/AN/A1,9501,60823,66413,044
2008-06-20$39.52$45.0072.3%20.7%59.7%0.0%71.3%5.1%-3.3%203.6K25.9M-97.5K1.5057.71N/AN/A2,8324,26024,67213,422
2008-06-23$37.43$45.0075.2%21.6%61.1%0.0%74.9%4.1%-2.3%-8.2K13.4M-98.4K0.3112.48N/AN/A2,71884013,81810,044
2008-06-24$38.27$41.6771.5%20.5%61.8%0.0%71.0%5.3%-0.3%32.7K11.7M-106.0K0.1422.68N/AN/A3,36646215,43210,602
2008-06-25$38.53$41.6770.9%20.3%62.1%0.0%69.1%3.8%2.1%105.5K8.5M-112.7K0.1520.36N/AN/A5,20876216,56010,728
2008-06-26$35.60$41.6780.3%23.0%64.6%0.0%81.6%0.6%-3.1%172.0K12.8M-108.4K0.7228.74N/AN/A2,7662,00419,22411,136
2008-06-27$34.45$41.6779.6%22.8%64.9%0.0%80.5%3.7%2.1%130.4K16.0M-95.9K0.4027.22N/AN/A3,0001,21219,22411,136
2008-06-30$33.57$41.6781.5%23.4%64.8%0.0%82.5%6.5%-0.9%61.5K18.8M-95.5K0.4024.10N/AN/A3,0541,23020,79613,098