UYG Options History — August 2008

In August 2008, UYG traded between $31.93 and $38.93. ATM implied volatility averaged 82.2%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded below realized volatility by 26.7% (HV 20d: 109.0%). Max pain ranged from $33.33 to $43.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2008-08-15: Highest Volume — 38,442 contracts
  • 2008-08-13: Largest IV spike — 18.3% change
  • 2008-08-21: Highest IV Rank — 53.1%
  • 2008-08-04: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.97$31.93$38.93$36.75$35.05
Max Pain$39.29$33.33$43.33$33.33$38.33
ATM IV82.2%71.7%95.2%86.4%75.5%
Expected Move23.5%20.6%25.9%24.8%21.6%
HV 20d109.0%78.6%142.7%142.7%83.0%
HV 60d98.2%92.9%102.0%93.0%101.5%
IV Rank43.9%34.1%53.1%41.4%38.7%
IV Percentile61.8%42.1%81.4%54.8%48.9%
Term Structure-1.7%-13.7%9.8%0.8%6.3%
VWIV81.0%69.8%89.8%87.6%75.5%
Skew 25d9.7%3.4%15.5%10.1%11.3%
Skew 10d18.9%8.2%28.2%21.0%18.7%
Call IV 25d76.5%64.4%84.6%82.2%66.5%
Put IV 25d86.3%77.8%95.7%92.3%77.8%
Bid-Ask Spread %19.8711.2331.2017.3911.23
Gamma HHI0.130.100.210.120.14
Net GEX1.4M108.9K3.3M1.9M447.3K
Net DEX-33.1M-118.7M20.9M-69.5M-23.3M
Net VEX-480.6K-645.9K-373.8K-510.0K-645.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.182.350.410.66
Total Volume15,8445,66438,4426,93017,646
Total OI136,263.71499,450167,790133,134160,416

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$36.75$33.3386.4%24.8%142.7%0.0%87.6%10.1%0.8%1.9M-69.5M-510.0K0.4117.39N/AN/A4,9022,02881,45651,678
2008-08-04$35.75$43.3393.4%25.9%140.0%0.0%89.8%11.1%-13.7%1.9M-56.6M-477.9K0.3923.81N/AN/A6,5702,53282,05052,074
2008-08-05$38.93$43.3386.1%24.3%135.8%0.0%85.5%12.5%-8.4%2.5M-112.9M-512.6K0.4922.52N/AN/A7,3983,64283,85652,962
2008-08-06$38.63$43.3383.5%23.4%129.7%0.0%81.2%13.3%-6.3%2.6M-101.6M-489.1K0.5831.20N/AN/A5,5503,24084,37853,562
2008-08-07$35.43$43.3385.7%24.0%133.8%0.0%82.3%9.2%-7.5%2.0M-39.4M-438.2K0.6430.18N/AN/A7,6264,89085,89054,366
2008-08-08$37.37$41.6778.0%23.3%134.3%0.0%79.7%11.9%-6.8%2.7M-81.1M-468.8K0.2318.09N/AN/A9,4082,16087,26455,056
2008-08-11$38.93$41.6778.6%23.0%123.9%0.0%78.8%12.8%-6.9%3.3M-118.7M-448.3K0.4329.00N/AN/A11,3644,85488,90255,380
2008-08-12$35.98$41.6780.5%23.8%125.8%0.0%83.2%6.7%-8.2%2.4M-40.8M-412.7K0.3425.82N/AN/A12,4384,21290,68456,946
2008-08-13$33.70$40.0095.2%25.0%107.8%0.0%86.0%5.6%-7.9%1.8M-4.7M-373.8K0.5119.79N/AN/A20,61610,61494,35058,092
2008-08-14$35.18$40.0083.5%23.9%105.6%0.0%82.8%12.9%0.8%2.3M-48.1M-394.8K0.3320.95N/AN/A16,3205,32899,95461,284
2008-08-15$35.80$40.0078.9%22.6%104.8%0.0%77.9%9.9%0.5%2.5M-67.4M-438.8K0.1819.45N/AN/A32,4725,970105,40862,382
2008-08-18$33.75$38.3377.7%22.3%107.0%41.4%77.6%5.0%-0.5%437.2K6.8M-430.7K0.8319.37N/AN/A9,5167,86058,32641,124
2008-08-19$32.05$38.3385.5%24.5%101.3%51.0%84.6%3.4%-2.1%302.4K20.9M-439.1K0.7616.93N/AN/A7,7405,86862,35245,240
2008-08-20$32.63$36.6785.3%24.4%99.8%50.7%84.8%10.1%-1.9%337.7K14.2M-474.8K0.3216.51N/AN/A12,3243,93065,22048,360
2008-08-21$31.93$36.6787.2%25.0%90.3%53.1%84.7%5.5%-2.7%403.8K11.6M-506.6K0.7218.01N/AN/A5,8144,17670,84250,490
2008-08-22$33.70$36.6779.1%22.7%92.6%43.2%78.0%9.2%4.2%548.4K-6.2M-541.9K0.3519.90N/AN/A8,7183,04273,42851,894
2008-08-25$31.95$36.6781.8%23.4%90.1%46.5%81.2%7.0%5.3%503.7K13.1M-495.1K0.5415.17N/AN/A4,4642,43075,19852,236
2008-08-26$32.08$36.6779.9%22.9%79.0%44.2%77.5%8.0%4.2%526.1K13.7M-492.6K0.4516.25N/AN/A3,9001,76476,77053,394
2008-08-27$33.17$36.6771.7%20.6%78.6%34.1%69.8%13.4%9.8%624.4K4.8M-503.2K2.3514.14N/AN/A6,42015,06077,52653,616
2008-08-28$35.65$38.3373.7%21.1%83.0%36.5%72.3%15.5%5.6%108.9K-10.2M-597.5K0.3011.58N/AN/A21,5166,40280,26866,864
2008-08-29$35.05$38.3375.5%21.6%83.0%38.7%75.5%11.3%6.3%447.3K-23.3M-645.9K0.6611.23N/AN/A10,6506,99690,42069,996