UYG Options History — December 2008 In December 2008, UYG traded between $7.23 and $11.43. ATM implied volatility averaged 134.4%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 38.9%. IV traded below realized volatility by 88.2% (HV 20d: 222.6%). Max pain ranged from $8.33 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.49.
Notable Days 2008-12-08 : Highest Volume — 107,076 contracts2008-12-16 : Largest IV drop — 20.2% change2008-12-01 : Highest IV Rank — 63.1%2008-12-01 : Largest Expected Move — 55.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.36 $7.23 $11.43 $7.23 $10.05 Max Pain $9.77 $8.33 $10.00 $8.33 $10.00 ATM IV 134.4% 91.8% 192.7% 192.7% 91.8% Expected Move 38.9% 26.3% 55.2% 55.2% 26.3% HV 20d 222.6% 136.0% 247.8% 235.6% 136.0% HV 60d 195.7% 190.5% 201.8% 194.9% 191.3% IV Rank 38.3% 20.3% 63.1% 63.1% 20.3% IV Percentile 77.4% 56.4% 97.0% 97.0% 56.4% Term Structure 5.4% -5.8% 22.0% -3.7% 13.4% VWIV 133.2% 93.3% 192.8% 192.8% 93.3% Skew 25d 20.1% 1.4% 41.1% 7.6% 25.7% Skew 10d 40.6% -1.0% 77.4% 14.3% 77.4% Call IV 25d 125.1% 83.5% 190.4% 190.4% 83.5% Put IV 25d 145.2% 108.6% 198.0% 198.0% 109.2% Bid-Ask Spread % 11.72 4.18 19.06 5.34 9.52 Gamma HHI 0.29 0.19 0.68 0.21 0.26 Net GEX 1.0M 401.8K 3.2M 401.8K 821.5K Net DEX -20.6M -69.1M 2.9M 2.9M -19.5M Net VEX -250.5K -306.4K -178.0K -178.0K -255.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.14 1.23 0.62 0.26 Total Volume 41,764.091 5,832 107,076 74,232 28,770 Total OI 361,427.182 227,028 480,756 330,510 270,840
Daily Data (22 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 2008-12-01 $7.23 $8.33 192.7% 55.2% 235.6% 63.1% 192.8% 7.6% -3.7% 401.8K 2.9M -178.0K 0.62 5.34 N/A N/A 45,924 28,308 245,238 85,272 2008-12-02 $8.27 $8.33 179.6% 51.5% 242.6% 57.5% 181.9% 33.6% -5.6% 468.8K -3.6M -209.3K 0.34 4.18 N/A N/A 26,598 8,988 242,916 95,694 2008-12-03 $9.12 $8.33 185.2% 53.1% 244.6% 59.9% 171.6% 41.1% -5.6% 651.1K -19.5M -231.6K 1.23 4.69 N/A N/A 25,014 30,690 248,370 89,040 2008-12-04 $8.83 $10.00 164.9% 47.3% 240.4% 51.3% 154.9% 30.4% 0.6% 612.3K -9.0M -227.2K 0.56 4.26 N/A N/A 28,824 16,092 253,842 100,674 2008-12-05 $10.18 $10.00 132.9% 41.6% 242.7% 37.7% 145.1% 36.7% -5.8% 911.3K -33.4M -268.6K 0.57 12.61 N/A N/A 36,228 20,706 262,554 107,544 2008-12-08 $11.43 $10.00 136.7% 37.5% 245.6% 39.3% 131.5% 38.4% -2.5% 1.1M -69.1M -281.1K 0.14 13.20 N/A N/A 93,798 13,278 270,180 110,166 2008-12-09 $10.43 $10.00 146.0% 43.5% 245.2% 43.3% 144.5% 28.0% -5.3% 1.2M -52.0M -306.4K 0.36 14.51 N/A N/A 45,000 16,188 294,474 112,944 2008-12-10 $10.35 $10.00 137.9% 43.4% 244.9% 39.8% 144.3% 32.6% -1.9% 1.2M -45.4M -305.0K 0.41 14.54 N/A N/A 26,706 10,938 301,176 118,662 2008-12-11 $8.78 $10.00 155.0% 44.4% 247.8% 47.1% 152.1% 6.8% -2.0% 840.5K -10.1M -265.7K 0.31 17.16 N/A N/A 41,694 12,966 309,330 122,910 2008-12-12 $9.25 $10.00 150.7% 43.2% 242.6% 45.3% 149.7% 13.2% -0.6% 1.2M -16.1M -269.5K 0.70 18.94 N/A N/A 17,490 12,246 326,334 122,838 2008-12-15 $8.58 $10.00 156.4% 44.8% 240.9% 47.7% 154.5% 14.9% -1.3% 921.1K -3.2M -241.0K 0.57 17.08 N/A N/A 13,944 7,962 329,682 125,178 2008-12-16 $10.25 $10.00 124.9% 35.8% 247.6% 34.3% 127.0% 15.2% 17.3% 1.8M -49.1M -282.3K 0.22 15.45 N/A N/A 42,222 9,462 331,938 130,800 2008-12-17 $10.15 $10.00 127.8% 36.6% 247.5% 35.5% 122.7% 20.1% 11.2% 2.1M -51.3M -284.3K 0.30 19.06 N/A N/A 32,886 9,894 342,486 131,268 2008-12-18 $9.58 $10.00 126.8% 36.3% 230.8% 35.1% 126.4% 10.0% 8.1% 2.2M -26.5M -262.9K 0.64 13.82 N/A N/A 16,884 10,782 348,318 132,438 2008-12-19 $9.67 $10.00 115.0% 33.0% 215.1% 30.1% 115.3% 12.0% 16.9% 3.2M -15.6M -256.7K 0.19 9.24 N/A N/A 53,508 9,966 346,848 131,640 2008-12-22 $9.03 $10.00 115.1% 33.0% 216.8% 30.2% 115.4% 1.4% 12.2% 529.4K -8.4M -222.7K 0.56 10.40 N/A N/A 29,880 16,602 159,690 67,338 2008-12-23 $8.62 $10.00 107.0% 30.7% 200.7% 26.7% 102.0% 6.9% 14.2% 523.3K -4.5M -237.0K 0.37 12.70 N/A N/A 20,532 7,512 177,948 79,260 2008-12-24 $8.93 $10.00 100.4% 28.8% 198.3% 23.9% 101.3% 7.0% 22.0% 533.6K -6.2M -238.6K 0.46 11.62 N/A N/A 3,984 1,848 174,288 78,414 2008-12-26 $8.98 $10.00 104.8% 30.0% 195.8% 25.8% 94.1% 19.0% 11.9% 514.6K -4.5M -230.9K 0.46 9.23 N/A N/A 5,034 2,310 174,234 78,168 2008-12-29 $8.75 $10.00 110.7% 31.7% 195.0% 28.3% 107.6% 17.9% 13.2% 474.2K -1.4M -217.7K 0.95 12.07 N/A N/A 12,594 11,982 175,578 79,320 2008-12-30 $9.38 $10.00 94.9% 27.2% 141.5% 21.6% 101.3% 24.0% 13.0% 599.8K -8.2M -240.0K 0.58 8.15 N/A N/A 7,950 4,626 179,268 86,298 2008-12-31 $10.05 $10.00 91.8% 26.3% 136.0% 20.3% 93.3% 25.7% 13.4% 821.5K -19.5M -255.4K 0.26 9.52 N/A N/A 22,788 5,982 181,932 88,908
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