UYG Options History — September 2008 In September 2008, UYG traded between $27.07 and $39.37. ATM implied volatility averaged 115.0%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 32.9%. IV traded below realized volatility by 1.2% (HV 20d: 116.2%). Max pain ranged from $35.00 to $38.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.58.
Notable Days 2008-09-19 : Highest Volume — 80,064 contracts2008-09-09 : Largest IV spike — 30.4% change2008-09-15 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 44.9%Monthly Statistics Metric Avg Min Max Open Close Price $33.46 $27.07 $39.37 $36.60 $29.23 Max Pain $36.83 $35.00 $38.33 $38.33 $35.00 ATM IV 115.0% 74.0% 156.5% 79.7% 144.3% Expected Move 32.9% 21.2% 44.9% 22.8% 41.4% HV 20d 116.2% 79.0% 166.3% 84.0% 166.3% HV 60d 114.0% 100.0% 132.9% 100.0% 132.9% IV Rank 74.4% 36.8% 100.0% 43.9% 89.2% IV Percentile 87.7% 46.7% 100.0% 61.8% 98.1% Term Structure -15.4% -45.1% 9.2% 4.8% -20.9% VWIV 114.0% 75.2% 153.8% 79.6% 143.1% Skew 25d 10.7% -6.4% 24.2% 19.3% 9.6% Skew 10d 17.8% -26.4% 44.4% 33.8% 20.2% Call IV 25d 109.1% 68.0% 158.5% 69.0% 138.2% Put IV 25d 119.8% 83.5% 152.1% 88.2% 147.7% Bid-Ask Spread % 25.70 10.65 53.40 10.65 17.32 Gamma HHI 0.15 0.12 0.33 0.14 0.16 Net GEX 761.7K 95.9K 5.1M 284.7K 1.5M Net DEX -8.5M -166.5M 144.4M -36.6M -45.5M Net VEX -646.4K -824.3K -492.0K -658.5K -824.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.25 1.31 0.65 0.40 Total Volume 34,535.429 12,180 80,064 26,196 22,650 Total OI 193,519.143 113,304 250,638 165,120 215,658
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-09-02 $36.60 $38.33 79.7% 22.8% 84.0% 43.9% 79.6% 19.3% 4.8% 284.7K -36.6M -658.5K 0.65 10.65 N/A N/A 15,912 10,284 91,128 73,992 2008-09-03 $37.90 $36.67 74.0% 21.2% 79.0% 36.8% 75.2% 15.4% 9.2% 311.5K -56.6M -711.9K 0.75 14.24 N/A N/A 6,978 5,202 96,114 80,946 2008-09-04 $34.68 $38.33 79.3% 22.8% 84.9% 43.5% 79.2% 11.7% 6.2% 120.5K 21.2M -645.1K 0.70 14.92 N/A N/A 8,310 5,778 97,986 82,890 2008-09-05 $36.55 $36.67 77.4% 24.3% 81.5% 41.1% 84.7% 11.4% -4.9% 317.2K -26.8M -686.3K 0.34 21.44 N/A N/A 14,160 4,848 100,146 83,760 2008-09-08 $39.37 $36.67 80.3% 23.8% 83.6% 44.6% 82.9% 12.8% -6.2% 938.2K -129.8M -708.1K 0.54 21.17 N/A N/A 29,136 15,828 105,966 85,770 2008-09-09 $35.13 $38.33 104.7% 27.1% 91.8% 74.6% 93.5% 11.7% -9.2% 289.6K 5.2M -703.2K 0.78 17.90 N/A N/A 15,036 11,790 111,084 94,866 2008-09-10 $34.43 $38.33 99.8% 27.2% 87.9% 68.5% 94.2% 12.4% -10.0% 95.9K 33.1M -692.2K 0.61 29.24 N/A N/A 12,900 7,836 114,888 101,316 2008-09-11 $35.83 $38.33 101.9% 29.2% 85.7% 71.2% 102.8% 11.8% -11.4% 538.6K -12.7M -731.5K 0.43 20.99 N/A N/A 23,754 10,248 119,364 100,884 2008-09-12 $35.37 $38.33 115.2% 33.0% 84.6% 87.5% 112.5% 11.0% -21.2% 541.9K -15.4M -748.9K 0.47 18.57 N/A N/A 17,442 8,184 123,906 104,694 2008-09-15 $29.52 $36.67 128.8% 36.9% 105.8% 100.0% 128.3% 3.1% -30.0% 136.3K 115.4M -543.8K 0.45 28.41 N/A N/A 25,020 11,196 126,492 106,986 2008-09-16 $32.70 $36.67 126.6% 36.3% 111.2% 97.5% 127.0% 8.1% -25.7% 480.2K 80.0M -603.8K 0.61 26.99 N/A N/A 25,446 15,606 131,466 109,302 2008-09-17 $27.77 $36.67 148.8% 42.6% 124.2% 100.0% 144.6% 8.1% -37.7% 227.3K 144.4M -492.0K 1.31 43.93 N/A N/A 32,802 43,116 138,612 111,006 2008-09-18 $31.28 $36.67 144.9% 41.5% 131.9% 96.3% 143.0% 10.6% -21.8% 1.6M 22.4M -582.9K 0.40 42.50 N/A N/A 45,636 18,042 148,386 102,252 2008-09-19 $36.60 $36.67 120.7% 34.6% 143.2% 73.3% 119.5% 24.2% -15.7% 5.1M -166.5M -640.1K 0.65 38.84 N/A N/A 48,624 31,440 154,836 95,646 2008-09-22 $33.05 $36.67 134.1% 38.4% 147.0% 86.0% 132.1% 11.0% -24.2% 390.7K -31.5M -546.6K 0.83 41.25 N/A N/A 14,232 11,784 66,204 47,100 2008-09-23 $32.15 $36.67 129.6% 37.2% 146.1% 81.7% 126.8% 11.2% -14.6% 562.1K -15.4M -595.4K 0.49 24.87 N/A N/A 10,452 5,142 79,722 56,658 2008-09-24 $31.27 $36.67 129.8% 37.2% 146.4% 81.9% 132.9% 7.6% -17.3% 525.9K -12.7M -599.6K 0.73 24.64 N/A N/A 8,964 6,498 80,676 58,926 2008-09-25 $32.37 $35.00 117.6% 33.7% 146.5% 70.3% 115.8% 9.0% -14.0% 664.7K -20.4M -628.1K 0.48 13.80 N/A N/A 15,660 7,446 84,558 61,764 2008-09-26 $33.77 $35.00 121.9% 35.0% 144.8% 74.4% 122.1% 11.9% -13.3% 888.7K -51.0M -686.2K 0.25 14.65 N/A N/A 21,480 5,466 90,804 63,714 2008-09-29 $27.07 $35.00 156.5% 44.9% 164.3% 100.0% 153.8% -6.4% -45.1% 518.2K 21.1M -545.6K 0.31 53.40 N/A N/A 57,204 17,712 97,128 66,306 2008-09-30 $29.23 $35.00 144.3% 41.4% 166.3% 89.2% 143.1% 9.6% -20.9% 1.5M -45.5M -824.3K 0.40 17.32 N/A N/A 16,182 6,468 143,214 72,444
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