UYG Options History — January 2009 In January 2009, UYG traded between $4.55 and $10.15. ATM implied volatility averaged 132.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 38.4%. IV traded below realized volatility by 6.4% (HV 20d: 139.0%). Max pain ranged from $6.67 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.45.
Notable Days 2009-01-20 : Highest Volume — 81,732 contracts2009-01-14 : Largest IV spike — 48.5% change2009-01-20 : Highest IV Rank — 61.6%2009-01-20 : Largest Expected Move — 54.3%Monthly Statistics Metric Avg Min Max Open Close Price $7.09 $4.55 $10.15 $10.13 $5.40 Max Pain $8.17 $6.67 $10.00 $10.00 $6.67 ATM IV 132.6% 87.5% 189.2% 89.3% 144.6% Expected Move 38.4% 25.6% 54.3% 25.6% 41.4% HV 20d 139.0% 85.1% 191.6% 131.9% 188.4% HV 60d 182.8% 171.9% 193.6% 186.7% 193.4% IV Rank 37.6% 18.5% 61.6% 19.2% 42.6% IV Percentile 76.6% 51.8% 96.6% 53.4% 80.8% Term Structure 1.3% -13.5% 12.1% 8.5% 12.1% VWIV 134.4% 89.0% 189.0% 89.0% 145.9% Skew 25d 6.4% -10.5% 23.7% 18.4% -2.3% Skew 10d 16.2% -20.0% 73.9% 35.1% -9.4% Call IV 25d 131.8% 83.7% 197.4% 83.7% 145.5% Put IV 25d 138.2% 102.2% 186.9% 102.2% 143.2% Bid-Ask Spread % 9.97 7.32 13.67 13.67 9.55 Gamma HHI 0.21 0.15 0.27 0.26 0.22 Net GEX 377.4K 56.4K 1.1M 1.0M 290.1K Net DEX 2.6M -30.7M 26.6M -24.8M -471.6K Net VEX -225.1K -295.3K -136.0K -253.0K -248.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.12 0.91 0.63 0.24 Total Volume 44,264.4 15,156 81,732 33,846 32,508 Total OI 335,962.5 256,320 404,238 280,062 404,238
Daily Data (20 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 2009-01-02 $10.13 $10.00 89.3% 25.6% 131.9% 19.2% 89.0% 18.4% 8.5% 1.0M -24.8M -253.0K 0.63 13.67 N/A N/A 20,742 13,104 189,030 91,032 2009-01-05 $9.77 $8.33 95.4% 32.7% 132.1% 21.8% 111.9% 19.0% -4.6% 860.9K -18.5M -250.9K 0.55 10.08 N/A N/A 32,562 17,790 194,094 96,612 2009-01-06 $10.15 $10.00 98.3% 30.3% 122.6% 23.0% 102.1% 23.3% -2.2% 1.1M -30.7M -278.5K 0.19 11.52 N/A N/A 18,936 3,624 208,698 103,062 2009-01-07 $9.28 $10.00 108.1% 30.2% 118.4% 27.2% 104.7% 19.5% 9.4% 818.0K -12.4M -260.7K 0.53 11.81 N/A N/A 24,390 12,816 213,378 101,448 2009-01-08 $9.20 $10.00 102.9% 31.3% 114.5% 25.0% 109.4% 12.6% 1.5% 781.5K -7.3M -260.4K 0.44 11.19 N/A N/A 10,524 4,632 220,632 105,486 2009-01-09 $8.65 $10.00 87.5% 29.8% 116.2% 18.5% 103.9% 5.9% 6.2% 416.6K 9.1M -224.6K 0.37 11.89 N/A N/A 14,238 5,304 220,446 104,922 2009-01-12 $7.85 $10.00 108.5% 35.0% 106.3% 27.4% 121.6% 7.4% 1.9% 131.0K 22.0M -197.5K 0.91 10.30 N/A N/A 28,434 25,968 224,184 106,200 2009-01-13 $7.97 $8.33 111.6% 33.7% 104.5% 28.7% 118.2% 6.8% 5.2% 226.0K 18.4M -212.6K 0.76 9.76 N/A N/A 12,384 9,456 230,010 109,044 2009-01-14 $7.13 $8.33 165.7% 36.7% 108.2% 51.6% 128.1% 5.0% 7.7% 65.8K 25.5M -192.9K 0.51 11.76 N/A N/A 41,052 20,892 232,326 112,512 2009-01-15 $6.62 $8.33 152.2% 43.6% 85.1% 45.9% 150.3% 23.7% -12.5% 100.1K 26.6M -191.6K 0.61 10.69 N/A N/A 43,560 26,400 248,370 118,374 2009-01-16 $6.40 $8.33 143.3% 41.1% 85.1% 42.1% 141.5% 2.8% -4.3% 253.8K 21.0M -195.5K 0.40 8.54 N/A N/A 30,210 12,024 261,570 110,388 2009-01-20 $4.55 $8.33 189.2% 54.3% 141.3% 61.6% 189.0% -10.5% -13.5% 56.4K 12.1M -136.0K 0.85 7.80 N/A N/A 44,064 37,668 167,508 88,812 2009-01-21 $5.62 $6.67 159.1% 45.6% 166.0% 48.8% 156.0% 7.8% -1.7% 58.5K 11.3M -194.5K 0.31 8.20 N/A N/A 33,636 10,548 187,158 110,514 2009-01-22 $5.03 $6.67 153.6% 44.0% 168.0% 46.5% 159.9% -6.3% 8.9% 56.8K 13.0M -176.0K 0.33 7.99 N/A N/A 47,058 15,420 196,980 110,394 2009-01-23 $5.30 $6.67 158.4% 45.4% 170.3% 48.5% 163.1% -8.5% -1.9% 127.1K 7.5M -216.2K 0.32 8.11 N/A N/A 29,970 9,630 217,578 118,950 2009-01-26 $5.07 $6.67 164.8% 47.2% 168.9% 51.2% 167.7% -5.1% -1.3% 127.3K 7.5M -207.2K 0.12 10.53 N/A N/A 45,822 5,388 227,874 124,638 2009-01-27 $5.48 $6.67 150.4% 43.1% 172.8% 45.1% 153.0% -5.5% 2.8% 225.3K 912.9K -245.7K 0.12 9.20 N/A N/A 25,968 3,036 250,014 125,802 2009-01-28 $6.60 $6.67 129.5% 37.1% 188.2% 36.3% 131.0% 22.9% 0.6% 461.7K -21.7M -295.3K 0.21 7.32 N/A N/A 62,250 12,846 260,976 126,150 2009-01-29 $5.67 $6.67 140.2% 40.2% 191.6% 40.8% 142.7% -8.7% 2.4% 344.0K -6.6M -263.6K 0.53 9.46 N/A N/A 26,364 14,070 273,042 126,804 2009-01-30 $5.40 $6.67 144.6% 41.4% 188.4% 42.6% 145.9% -2.3% 12.1% 290.1K -471.6K -248.5K 0.24 9.55 N/A N/A 26,298 6,210 275,046 129,192
« Dec 2008 | All History | Feb 2009 » Home UYG History January 2009