UYG Options History — October 2008 In October 2008, UYG traded between $12.65 and $31.15. ATM implied volatility averaged 162.3%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 43.2%. IV traded below realized volatility by 21.3% (HV 20d: 183.6%). Max pain ranged from $15.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.35.
Notable Days 2008-10-10 : Highest Volume — 114,948 contracts2008-10-09 : Largest IV spike — 39.0% change2008-10-02 : Highest IV Rank — 100.0%2008-10-09 : Largest Expected Move — 66.7%Monthly Statistics Metric Avg Min Max Open Close Price $18.25 $12.65 $31.15 $31.15 $16.57 Max Pain $21.52 $15.00 $35.00 $35.00 $15.00 ATM IV 162.3% 109.5% 279.8% 149.8% 129.7% Expected Move 43.2% 31.4% 66.7% 42.9% 37.2% HV 20d 183.6% 165.1% 203.4% 167.7% 183.4% HV 60d 142.2% 130.1% 149.6% 130.8% 149.2% IV Rank 61.6% 27.8% 100.0% 94.0% 36.4% IV Percentile 93.9% 82.5% 100.0% 99.4% 85.5% Term Structure -10.8% -29.6% 6.4% -29.6% -2.3% VWIV 148.9% 107.3% 224.0% 148.6% 130.4% Skew 25d 11.5% -6.4% 31.5% 10.1% 27.9% Skew 10d 19.6% -4.8% 49.6% 18.2% 40.4% Call IV 25d 143.5% 105.0% 205.5% 144.4% 114.5% Put IV 25d 155.0% 111.4% 231.1% 154.5% 142.3% Bid-Ask Spread % 22.03 10.48 41.18 18.36 10.48 Gamma HHI 0.14 0.08 0.24 0.16 0.11 Net GEX 986.0K 380.2K 2.1M 1.6M 1.3M Net DEX 3.4M -71.8M 58.3M -71.8M -42.3M Net VEX -451.4K -852.0K -261.9K -852.0K -448.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.14 0.62 0.43 0.30 Total Volume 40,218.261 11,604 114,948 25,254 19,572 Total OI 254,211.913 188,136 346,146 211,368 266,646
Daily Data (23 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 2008-10-01 $31.15 $35.00 149.8% 42.9% 167.7% 94.0% 148.6% 10.1% -29.6% 1.6M -71.8M -852.0K 0.43 18.36 N/A N/A 17,694 7,560 136,764 74,604 2008-10-02 $28.75 $33.33 157.9% 45.3% 167.1% 100.0% 157.8% -6.4% -25.3% 1.3M -39.0M -793.7K 0.50 17.03 N/A N/A 12,642 6,288 142,914 76,698 2008-10-03 $26.58 $33.33 142.7% 40.9% 167.2% 86.7% 145.5% -6.2% -12.4% 1.1M 7.2M -699.4K 0.30 18.95 N/A N/A 23,196 6,972 146,040 79,686 2008-10-06 $24.53 $30.00 170.6% 43.0% 165.1% 100.0% 147.4% 11.7% -23.5% 897.5K 21.1M -621.4K 0.47 36.96 N/A N/A 36,198 16,932 148,398 80,424 2008-10-07 $19.77 $30.00 191.5% 45.7% 176.1% 100.0% 157.9% 0.3% -21.2% 520.0K 58.3M -489.9K 0.32 34.87 N/A N/A 36,864 11,658 153,954 85,956 2008-10-08 $17.92 $23.33 201.4% 46.5% 177.8% 100.0% 164.1% 3.5% -21.3% 601.8K 56.6M -446.3K 0.28 32.84 N/A N/A 47,262 13,236 172,338 88,836 2008-10-09 $14.02 $23.33 279.8% 66.7% 190.7% 100.0% 224.0% 23.3% -29.0% 496.7K 41.3M -378.8K 0.37 41.18 N/A N/A 39,306 14,580 193,680 92,238 2008-10-10 $15.80 $21.67 268.1% 62.2% 199.5% 95.0% 211.9% 31.5% -28.4% 715.9K 40.9M -429.1K 0.18 39.94 N/A N/A 97,482 17,466 204,600 94,122 2008-10-13 $18.17 $20.00 181.4% 46.7% 202.0% 58.3% 160.7% 19.2% -17.9% 1.9M -3.3M -492.8K 0.24 27.48 N/A N/A 40,026 9,684 244,344 101,802 2008-10-14 $20.10 $20.00 164.0% 39.7% 201.9% 50.9% 135.1% 19.7% -10.5% 2.1M -21.4M -523.2K 0.31 23.17 N/A N/A 48,114 14,874 242,064 101,898 2008-10-15 $16.80 $20.00 185.6% 42.8% 203.4% 60.0% 147.0% 1.7% -11.7% 1.5M 17.2M -404.0K 0.28 28.06 N/A N/A 29,934 8,418 237,672 86,052 2008-10-16 $17.02 $20.00 149.6% 42.9% 196.8% 44.8% 142.6% 22.3% -5.9% 1.4M 5.4M -406.0K 0.37 22.07 N/A N/A 36,486 13,494 236,550 81,030 2008-10-17 $17.22 $20.00 132.9% 38.1% 184.8% 37.7% 132.3% 7.1% -1.7% 1.1M 9.7M -365.7K 0.26 21.15 N/A N/A 30,960 8,172 238,356 80,496 2008-10-20 $17.57 $20.00 111.9% 32.1% 184.2% 28.8% 113.1% 14.8% 6.4% 766.3K 1.2M -359.0K 0.26 13.79 N/A N/A 13,626 3,546 136,716 51,420 2008-10-21 $17.27 $18.33 109.5% 31.4% 184.3% 27.8% 107.3% 6.3% 5.8% 770.8K 3.0M -352.0K 0.37 16.20 N/A N/A 8,448 3,156 141,480 52,284 2008-10-22 $14.98 $18.33 147.1% 42.2% 188.4% 43.7% 142.2% 3.8% -0.2% 546.0K 5.5M -325.9K 0.43 16.13 N/A N/A 24,168 10,428 143,928 52,212 2008-10-23 $14.40 $16.67 147.0% 42.1% 186.5% 43.7% 146.9% 10.6% 1.1% 531.1K 6.9M -324.7K 0.50 18.50 N/A N/A 16,248 8,166 149,406 55,200 2008-10-24 $13.75 $16.67 151.9% 43.5% 184.0% 45.8% 149.4% 6.3% 2.7% 465.6K 11.6M -307.3K 0.31 14.97 N/A N/A 27,264 8,352 153,858 57,828 2008-10-27 $12.65 $15.00 145.3% 41.6% 172.6% 42.9% 147.1% 2.5% -3.7% 380.2K 17.9M -261.9K 0.14 14.89 N/A N/A 33,888 4,608 159,144 60,918 2008-10-28 $14.82 $15.00 133.3% 38.2% 181.9% 37.9% 134.8% 19.0% -2.9% 833.1K -10.4M -350.3K 0.33 11.29 N/A N/A 19,530 6,420 180,588 61,884 2008-10-29 $14.67 $15.00 133.4% 38.3% 178.5% 37.9% 131.7% 9.8% -9.7% 901.0K -12.1M -357.3K 0.39 17.57 N/A N/A 25,422 9,924 184,938 61,866 2008-10-30 $15.22 $15.00 149.5% 42.9% 179.7% 44.7% 146.1% 25.9% -6.4% 1.0M -24.3M -393.8K 0.62 10.79 N/A N/A 22,674 14,082 191,622 63,420 2008-10-31 $16.57 $15.00 129.7% 37.2% 183.4% 36.4% 130.4% 27.9% -2.3% 1.3M -42.3M -448.2K 0.30 10.48 N/A N/A 15,030 4,542 197,160 69,486
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