UYG Options History — February 2009

In February 2009, UYG traded between $3.35 and $6.17. ATM implied volatility averaged 156.7%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 44.4%. IV traded below realized volatility by 24.9% (HV 20d: 181.6%). Max pain ranged from $5.00 to $6.67. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.27.

Notable Days

  • 2009-02-10: Highest Volume — 141,258 contracts
  • 2009-02-18: Largest IV spike — 34.2% change
  • 2009-02-20: Highest IV Rank — 67.7%
  • 2009-02-20: Largest Expected Move — 58.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.67$3.35$6.17$5.43$3.65
Max Pain$6.23$5.00$6.67$6.67$5.00
ATM IV156.7%119.8%203.7%154.8%161.5%
Expected Move44.4%34.4%58.4%44.4%46.3%
HV 20d181.6%148.2%211.9%188.4%148.2%
HV 60d184.6%161.6%192.7%192.7%161.6%
IV Rank47.8%32.2%67.7%47.0%49.8%
IV Percentile85.8%65.7%98.4%87.6%88.9%
Term Structure-16.5%-50.1%2.1%0.2%-19.8%
VWIV152.9%125.6%203.8%155.8%140.9%
Skew 25d-4.6%-81.8%11.2%-0.7%1.1%
Skew 10d0.2%-64.6%46.4%31.0%-7.1%
Call IV 25d155.4%125.8%203.9%155.6%125.8%
Put IV 25d150.8%75.5%203.5%154.9%126.9%
Bid-Ask Spread %4.532.658.977.273.33
Gamma HHI0.250.130.460.230.17
Net GEX241.2K34.2K688.1K301.2K67.3K
Net DEX5.2M-30.2M30.2M630.9K13.4M
Net VEX-203.0K-300.6K-102.9K-251.0K-126.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.080.590.390.46
Total Volume42,144.63213,044141,25815,69613,044
Total OI451,614.947350,940522,300419,424405,696

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$5.43$6.67154.8%44.4%188.4%47.0%155.8%-0.7%0.2%301.2K630.9K-251.0K0.397.27N/AN/A11,2744,422283,524135,900
2009-02-03$5.17$6.67152.3%43.7%188.5%45.9%152.3%-3.4%2.1%260.2K3.8M-233.6K0.278.97N/AN/A18,4144,944286,740136,938
2009-02-04$5.13$6.67152.9%43.8%186.9%46.2%161.4%-9.7%1.3%266.3K4.3M-231.4K0.266.73N/AN/A12,8463,342293,856137,910
2009-02-05$5.32$6.67172.1%49.4%187.3%54.3%174.2%-0.3%-6.5%339.5K-4.2M-256.0K0.187.62N/AN/A47,9648,562298,554138,744
2009-02-06$5.98$6.67158.7%43.0%194.3%48.7%151.7%6.9%-19.7%559.3K-22.8M-298.2K0.174.05N/AN/A52,5728,856317,280142,716
2009-02-09$6.17$6.67161.9%42.9%194.5%50.0%149.1%11.2%-26.1%688.1K-30.2M-300.6K0.145.49N/AN/A25,6803,696329,622146,058
2009-02-10$5.02$6.67156.5%40.7%204.1%47.7%142.6%-0.5%-11.8%317.5K8.5M-227.6K0.163.38N/AN/A121,66219,596334,806146,670
2009-02-11$5.37$6.67138.3%39.2%206.2%40.0%131.2%7.0%-11.8%445.6K-464.6K-247.8K0.234.32N/AN/A18,3964,170346,614152,832
2009-02-12$5.37$6.67138.5%39.7%203.5%40.1%135.7%4.4%-15.4%133.6K-3.9M-209.6K0.343.65N/AN/A29,33410,056341,100151,032
2009-02-13$4.97$6.67134.7%38.6%203.6%38.5%136.7%-8.8%-12.9%236.5K6.4M-229.7K0.595.27N/AN/A11,7486,942350,148150,738
2009-02-17$4.15$6.67119.8%34.4%211.9%32.2%125.6%-81.8%-30.7%88.7K26.8M-155.0K0.423.13N/AN/A41,11817,250353,508145,926
2009-02-18$4.08$6.67160.8%46.1%175.1%49.6%161.9%-4.5%-25.3%78.4K26.5M-162.1K0.263.45N/AN/A31,4228,142366,540149,040
2009-02-19$3.72$6.67154.4%44.3%157.7%46.8%156.2%-4.2%-28.6%68.5K26.9M-140.7K0.382.74N/AN/A22,4588,496374,580147,720
2009-02-20$3.67$6.67203.7%58.4%154.2%67.7%203.8%-0.3%-50.1%38.3K30.2M-108.7K0.384.39N/AN/A43,29016,260381,024137,838
2009-02-23$3.35$5.00194.1%55.6%154.2%63.6%0.0%-4.5%-43.1%34.2K14.2M-102.9K0.113.21N/AN/A26,9103,060247,974102,966
2009-02-24$4.07$5.00159.4%45.7%171.9%48.9%157.8%2.2%-6.1%159.8K2.4M-188.0K0.162.65N/AN/A51,4748,112259,116103,890
2009-02-25$4.05$5.00162.7%46.6%168.7%50.3%162.6%0.5%-8.2%215.8K-2.2M-194.5K0.083.16N/AN/A52,9444,164278,880102,996
2009-02-26$4.10$5.00140.4%40.2%151.7%40.9%140.9%-2.6%-1.2%283.4K-1.9M-193.8K0.183.33N/AN/A23,8384,290298,014103,194
2009-02-27$3.65$5.00161.5%46.3%148.2%49.8%0.0%1.1%-19.8%67.3K13.4M-126.8K0.463.33N/AN/A8,9584,086303,306102,390