UYG Options History — July 2008

In July 2008, UYG traded between $24.58 and $39.45. ATM implied volatility averaged 96.4%. The 30-day expected move averaged 27.4%. IV traded below realized volatility by 9.4% (HV 20d: 105.8%). Max pain ranged from $26.67 to $41.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2008-07-17: Highest Volume — 73,932 contracts
  • 2008-07-29: Largest IV spike — 59.5% change
  • 2008-07-14: Largest Expected Move — 35.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.87$24.58$39.45$33.73$36.32
Max Pain$31.44$26.67$41.67$41.67$33.33
ATM IV96.4%60.3%125.4%90.9%92.2%
Expected Move27.4%17.3%35.9%26.1%26.4%
HV 20d105.8%57.4%143.0%65.3%142.7%
HV 60d76.5%56.0%93.7%56.2%93.6%
Term Structure-8.0%-24.4%2.8%-1.8%-2.6%
VWIV95.1%59.9%126.3%88.0%93.2%
Skew 25d9.2%-0.4%23.3%6.3%9.2%
Skew 10d16.7%-3.0%33.5%-3.0%18.9%
Call IV 25d91.9%75.7%119.7%84.7%87.3%
Put IV 25d101.1%81.5%131.5%91.0%96.4%
Bid-Ask Spread %36.5916.81200.0024.1021.22
Gamma HHI0.170.090.620.090.12
Net GEX1.0M122.2K4.2M122.2K1.8M
Net DEX-27.4M-109.4M29.3M15.4M-65.1M
Net VEX-244.4K-532.7K-67.5K-105.4K-519.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.100.920.390.36
Total Volume20,879.7271,96873,9326,2226,186
Total OI75,663.54521,600132,62435,568132,624

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$33.73$41.6790.9%26.1%65.3%0.0%88.0%6.3%-1.8%122.2K15.4M-105.4K0.3924.10N/AN/A4,4701,75222,16413,404
2008-07-02$32.75$41.6789.3%25.6%65.4%0.0%86.3%3.6%-1.5%174.5K15.2M-107.1K0.3021.30N/AN/A2,29869624,10813,842
2008-07-03$32.57$41.6790.3%25.9%61.2%0.0%85.9%4.9%-0.1%163.3K16.5M-102.9K0.2816.81N/AN/A1,53643224,45013,866
2008-07-07$30.17$33.33104.5%27.4%57.4%0.0%96.0%11.9%-9.0%140.5K18.9M-86.6K0.3743.43N/AN/A11,1064,13424,93013,770
2008-07-08$34.32$26.6780.9%21.6%77.5%0.0%77.7%5.7%-5.6%391.8K1.1M-129.8K0.2447.92N/AN/A9,9482,40631,72216,506
2008-07-09$30.97$28.3393.1%24.8%83.6%0.0%88.6%-0.4%-8.9%384.5K12.3M-121.6K0.3132.59N/AN/A6,1141,88433,49816,938
2008-07-10$30.28$28.3399.4%28.5%82.2%0.0%99.7%7.4%-13.8%384.2K13.2M-124.0K0.2526.27N/AN/A6,5521,62034,80617,436
2008-07-11$29.67$28.33109.2%31.3%79.8%0.0%107.8%2.5%-14.2%390.0K13.6M-128.5K0.5646.78N/AN/A14,9168,38237,11618,396
2008-07-14$26.08$28.33125.4%35.9%86.6%0.0%120.7%3.5%-24.4%335.6K23.0M-130.7K0.4427.97N/AN/A8,5743,78044,22623,160
2008-07-15$24.58$28.33124.7%35.8%85.6%0.0%126.3%11.9%-13.9%216.2K29.3M-121.3K0.1928.12N/AN/A29,5625,76047,40024,912
2008-07-16$30.22$26.67105.2%30.2%118.9%0.0%105.1%11.8%-15.0%1.4M-27.1M-203.8K0.1034.65N/AN/A40,5664,21862,11224,882
2008-07-17$32.60$26.67101.5%29.1%123.3%0.0%106.0%15.2%-11.4%2.9M-99.0M-247.9K0.1929.02N/AN/A62,08211,85078,28826,760
2008-07-18$34.00$26.6790.9%26.1%124.5%0.0%88.0%23.3%-8.9%4.2M-109.4M-270.0K0.3532.50N/AN/A22,1287,68087,00628,824
2008-07-21$34.03$28.3386.6%24.8%123.7%0.0%85.2%14.1%-2.8%1.3M-53.8M-266.6K0.4618.06N/AN/A11,0525,09446,82419,608
2008-07-22$37.67$30.0085.0%24.4%128.2%0.0%85.2%14.1%-14.7%1.5M-90.5M-303.0K0.9223.38N/AN/A14,41813,32650,96422,722
2008-07-23$39.45$30.0089.7%25.7%129.0%0.0%90.7%11.0%-9.1%1.2M-97.6M-374.4K0.4026.96N/AN/A35,22613,94454,46831,908
2008-07-24$34.83$31.67105.8%30.3%136.5%0.0%103.5%5.1%-13.4%1.2M-42.9M-441.0K0.6033.72N/AN/A17,32210,37466,94239,804
2008-07-25$34.37$31.67101.8%29.2%133.7%0.0%102.1%6.8%-6.1%1.2M-38.9M-488.5K0.5221.23N/AN/A6,7863,55873,09244,994
2008-07-28$31.75$36.6760.3%17.3%136.2%0.0%59.9%0.0%2.8%220.1K2.8M-67.5K0.25200.00N/AN/A3,01875013,9687,632
2008-07-29$35.68$31.6796.2%27.6%142.4%0.0%97.7%12.6%1.4%1.6M-60.2M-503.7K0.2224.54N/AN/A18,5884,15877,13648,546
2008-07-30$37.10$31.6797.1%27.8%143.0%0.0%97.5%13.0%-3.4%1.8M-79.5M-532.7K0.4424.37N/AN/A14,6586,45079,25449,590
2008-07-31$36.32$33.3392.2%26.4%142.7%0.0%93.2%9.2%-2.6%1.8M-65.1M-519.3K0.3621.22N/AN/A4,5421,64481,45051,174