UYG Options History — November 2008

In November 2008, UYG traded between $6.23 and $18.23. ATM implied volatility averaged 156.8%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 44.9%. IV traded below realized volatility by 13.0% (HV 20d: 169.9%). Max pain ranged from $6.67 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.39.

Notable Days

  • 2008-11-24: Highest Volume — 87,552 contracts
  • 2008-11-06: Largest IV spike — 31.2% change
  • 2008-11-21: Highest IV Rank — 88.9%
  • 2008-11-21: Largest Expected Move — 72.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.42$6.23$18.23$17.07$10.50
Max Pain$13.25$6.67$15.00$15.00$8.33
ATM IV156.8%97.9%253.6%118.4%125.8%
Expected Move44.9%28.1%72.7%33.9%36.1%
HV 20d169.9%136.9%206.7%183.0%204.2%
HV 60d163.2%148.8%181.8%148.8%181.8%
IV Rank47.9%22.9%88.9%31.5%34.7%
IV Percentile89.5%72.4%99.0%81.1%77.3%
Term Structure-13.5%-70.3%14.1%8.2%12.5%
VWIV156.7%101.0%252.1%116.5%129.2%
Skew 25d10.2%-9.6%37.6%18.9%25.4%
Skew 10d19.3%-17.0%50.9%37.4%33.7%
Call IV 25d152.7%91.1%255.2%112.5%117.5%
Put IV 25d162.9%111.7%257.9%131.4%143.0%
Bid-Ask Spread %8.954.7413.208.474.88
Gamma HHI0.170.110.570.120.18
Net GEX701.3K154.1K1.9M1.4M915.4K
Net DEX-1.1M-70.9M34.6M-44.1M-39.3M
Net VEX-264.5K-444.9K-128.9K-427.1K-251.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.120.750.250.12
Total Volume39,48614,47887,55214,47838,892
Total OI304,770.316264,498371,142270,702323,790

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$17.07$15.00118.4%33.9%183.0%31.5%116.5%18.9%8.2%1.4M-44.1M-427.1K0.258.47N/AN/A11,5802,898200,51470,188
2008-11-04$18.23$15.0097.9%28.1%169.5%22.9%101.0%20.6%10.7%1.9M-70.9M-444.9K0.367.41N/AN/A14,4125,178204,76870,854
2008-11-05$15.62$15.00111.7%32.0%174.8%28.7%112.9%8.7%4.3%1.3M-17.8M-373.2K0.4913.04N/AN/A13,1526,426206,19671,592
2008-11-06$13.35$15.00146.5%42.0%161.0%43.5%143.4%7.8%-8.9%865.1K-3.2M-339.2K0.669.89N/AN/A14,7669,756210,09072,576
2008-11-07$14.22$15.00129.1%36.7%156.5%36.1%127.8%15.4%-6.0%981.2K-4.0M-345.9K0.3511.27N/AN/A18,5226,492212,00474,850
2008-11-10$12.85$15.00138.0%40.7%150.1%39.9%139.0%5.6%-14.1%798.0K7.4M-295.5K0.4113.20N/AN/A15,7026,498217,09273,998
2008-11-11$12.30$15.00142.7%41.8%143.6%41.9%143.8%8.8%-14.7%686.6K13.0M-278.0K0.7513.13N/AN/A11,4908,616219,86477,094
2008-11-12$10.87$15.00163.2%44.7%136.9%50.5%159.1%-5.8%-17.9%437.5K23.3M-238.7K0.628.13N/AN/A20,10612,420221,91677,982
2008-11-13$12.50$15.00151.1%43.3%148.1%45.4%144.3%16.4%-19.1%645.8K14.9M-280.8K0.4712.26N/AN/A29,22013,698225,03083,046
2008-11-14$11.17$15.00163.0%46.7%151.7%50.5%162.3%5.3%-15.6%479.3K14.9M-264.5K0.3810.21N/AN/A21,8048,328229,95082,188
2008-11-17$10.08$15.00164.2%47.1%153.4%51.0%166.6%-9.6%-29.6%217.8K34.6M-192.6K0.318.00N/AN/A19,7526,198234,22884,438
2008-11-18$9.88$15.00170.6%48.9%153.4%53.7%167.0%4.0%-28.1%206.7K33.6M-193.4K0.437.12N/AN/A18,4267,944240,72686,178
2008-11-19$7.72$15.00193.4%55.5%167.7%63.4%195.3%-4.8%-25.0%154.1K32.4M-152.9K0.407.15N/AN/A32,70013,176245,71886,670
2008-11-20$6.23$15.00237.8%68.2%179.5%82.2%237.4%-4.4%-70.3%160.2K29.1M-128.9K0.249.27N/AN/A68,91016,542258,59488,596
2008-11-21$6.63$10.00253.6%72.7%183.2%88.9%252.1%2.7%-52.0%636.9K16.6M-158.5K0.249.76N/AN/A61,60214,748284,79086,352
2008-11-24$8.43$6.67188.9%54.1%206.7%61.4%190.7%37.6%-4.7%398.5K-12.5M-190.2K0.496.68N/AN/A58,83028,722203,37661,122
2008-11-25$9.25$8.33157.7%45.2%200.4%48.2%160.2%26.5%-0.6%501.8K-20.8M-227.4K0.265.52N/AN/A49,34412,660219,93076,782
2008-11-26$10.05$8.33126.4%36.3%203.9%35.0%128.4%15.4%14.1%697.4K-28.0M-242.4K0.214.74N/AN/A41,9348,790228,28279,272
2008-11-28$10.50$8.33125.8%36.1%204.2%34.7%129.2%25.4%12.5%915.4K-39.3M-251.9K0.124.88N/AN/A34,8184,074240,84082,950