UYG Options History — March 2009 In March 2009, UYG traded between $2.50 and $4.95. ATM implied volatility averaged 150.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 44.9%. IV traded below realized volatility by 23.5% (HV 20d: 174.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.23.
Notable Days 2009-03-25 : Highest Volume — 70,434 contracts2009-03-11 : Largest IV drop — 32.8% change2009-03-04 : Highest IV Rank — 65.8%2009-03-09 : Largest Expected Move — 58.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.84 $2.50 $4.95 $3.25 $4.35 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 150.7% 116.7% 199.2% 179.3% 138.8% Expected Move 44.9% 35.4% 58.6% 51.4% 39.8% HV 20d 174.2% 149.2% 196.9% 151.7% 192.5% HV 60d 166.1% 155.4% 178.8% 160.1% 178.8% IV Rank 45.2% 30.8% 65.8% 57.4% 40.2% IV Percentile 76.0% 58.3% 97.6% 93.7% 67.9% Term Structure -17.6% -51.4% 6.5% -18.1% -9.9% VWIV 139.2% 122.6% 152.5% 149.2% 144.3% Skew 25d 11.2% -5.7% 46.4% 0.0% 41.4% Skew 10d 31.4% -17.5% 102.4% 0.0% 84.5% Call IV 25d 138.4% 107.0% 193.7% 179.3% 117.9% Put IV 25d 149.6% 112.2% 192.3% 179.3% 159.3% Bid-Ask Spread % 11.93 0.88 23.83 2.25 17.29 Gamma HHI 0.40 0.13 0.83 0.14 0.48 Net GEX 292.9K 34.2K 1.3M 40.2K 475.1K Net DEX -10.5M -49.0M 13.5M 13.1M -30.7M Net VEX -207.4K -321.7K -90.8K -109.9K -283.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.23 0.05 1.13 0.16 0.09 Total Volume 34,577.455 14,376 70,434 16,794 28,362 Total OI 427,008.818 287,910 516,888 408,258 380,682
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 2009-03-02 $3.25 $5.00 179.3% 51.4% 151.7% 57.4% 0.0% 0.0% -18.1% 40.2K 13.1M -109.9K 0.16 2.25 N/A N/A 14,430 2,364 306,186 102,072 2009-03-03 $3.12 $5.00 193.0% 55.3% 151.3% 63.2% 0.0% -1.3% -49.6% 44.4K 13.5M -115.6K 0.16 2.30 N/A N/A 12,360 2,016 309,582 101,928 2009-03-04 $3.05 $5.00 199.2% 57.1% 151.1% 65.8% 0.0% 1.0% -51.4% 44.9K 12.3M -114.6K 0.06 0.88 N/A N/A 14,454 888 310,860 101,994 2009-03-05 $2.53 $5.00 189.7% 54.4% 161.0% 61.8% 0.0% 12.8% -39.6% 34.2K 10.0M -92.2K 0.10 1.37 N/A N/A 29,316 2,808 314,736 101,250 2009-03-06 $2.50 $5.00 154.0% 48.7% 159.1% 46.7% 0.0% 4.5% -8.2% 37.2K 8.5M -90.8K 1.13 6.21 N/A N/A 21,900 24,780 323,022 100,014 2009-03-09 $2.52 $5.00 149.5% 58.6% 149.2% 44.7% 0.0% -4.2% -41.5% 44.5K 6.9M -106.2K 0.13 13.20 N/A N/A 17,202 2,226 332,904 96,900 2009-03-10 $3.15 $5.00 173.7% 53.0% 175.5% 55.0% 0.0% 4.1% -29.7% 57.1K 7.9M -132.1K 0.05 11.76 N/A N/A 42,996 2,352 341,610 105,204 2009-03-11 $3.32 $5.00 116.7% 47.8% 165.5% 30.8% 0.0% 12.2% -24.1% 91.8K 5.7M -153.3K 0.06 14.36 N/A N/A 43,446 2,796 368,544 105,864 2009-03-12 $3.92 $5.00 148.8% 42.7% 175.8% 44.4% 149.2% -2.2% -26.2% 200.6K -555.0K -210.7K 0.10 14.21 N/A N/A 23,058 2,196 385,698 106,104 2009-03-13 $3.93 $5.00 130.0% 37.3% 175.9% 36.5% 130.4% 5.7% 0.7% 213.6K -369.2K -214.4K 0.07 14.34 N/A N/A 25,296 1,770 386,490 105,768 2009-03-16 $3.80 $5.00 145.2% 41.6% 174.5% 42.9% 141.8% 7.6% -12.3% 211.6K -1.2M -201.4K 0.12 13.00 N/A N/A 24,666 2,934 393,504 106,062 2009-03-17 $4.25 $5.00 132.8% 38.1% 168.3% 37.6% 132.8% 5.0% -7.4% 267.6K -3.9M -236.4K 0.18 11.15 N/A N/A 18,882 3,330 394,602 105,468 2009-03-18 $4.95 $5.00 123.3% 35.4% 176.4% 33.6% 122.6% 5.2% -11.4% 1.3M -37.2M -302.4K 0.11 15.39 N/A N/A 59,580 6,570 402,078 105,906 2009-03-19 $4.25 $5.00 146.4% 42.0% 182.1% 43.4% 145.6% -5.7% -23.9% 295.3K -8.0M -243.4K 0.21 17.67 N/A N/A 50,904 10,584 406,224 107,976 2009-03-20 $3.92 $5.00 144.0% 41.3% 184.7% 42.4% 143.0% 5.9% -7.0% 261.1K -2.7M -223.9K 0.35 11.53 N/A N/A 12,096 4,212 403,686 113,202 2009-03-23 $4.90 $5.00 128.2% 36.7% 196.9% 35.7% 127.9% 46.4% 6.5% 387.3K -34.7M -286.3K 0.13 13.33 N/A N/A 54,996 7,350 213,600 74,310 2009-03-24 $4.53 $5.00 137.7% 39.5% 188.3% 39.7% 141.6% 18.3% -3.1% 453.2K -33.6M -266.9K 0.68 14.16 N/A N/A 24,228 16,572 240,324 79,740 2009-03-25 $4.77 $5.00 145.5% 41.7% 188.9% 43.1% 146.4% 38.3% -11.2% 509.6K -39.7M -297.5K 0.11 16.16 N/A N/A 63,222 7,212 256,362 88,536 2009-03-26 $4.87 $5.00 139.5% 40.0% 188.9% 40.5% 138.2% 24.9% -5.6% 575.5K -49.0M -321.7K 0.43 11.10 N/A N/A 24,198 10,368 273,882 91,668 2009-03-27 $4.62 $5.00 130.3% 37.3% 184.7% 36.6% 132.9% 17.4% 4.6% 527.7K -43.1M -305.0K 0.27 23.83 N/A N/A 12,906 3,504 274,710 97,986 2009-03-30 $3.90 $5.00 169.8% 48.7% 190.4% 53.4% 152.5% 8.7% -18.6% 371.5K -23.6M -256.2K 0.24 16.91 N/A N/A 20,418 4,956 277,092 99,864 2009-03-31 $4.35 $5.00 138.8% 39.8% 192.5% 40.2% 144.3% 41.4% -9.9% 475.1K -30.7M -283.0K 0.09 17.29 N/A N/A 26,016 2,346 278,652 102,030
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