UYG Options History — April 2009 In April 2009, UYG traded between $4.48 and $6.37. ATM implied volatility averaged 119.1%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 34.6%. IV traded below realized volatility by 52.6% (HV 20d: 171.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.35.
Notable Days 2009-04-13 : Highest Volume — 87,432 contracts2009-04-20 : Largest IV spike — 32.5% change2009-04-01 : Highest IV Rank — 43.1%2009-04-01 : Largest Expected Move — 41.7%Monthly Statistics Metric Avg Min Max Open Close Price $5.50 $4.48 $6.37 $4.48 $5.88 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 119.1% 95.0% 145.6% 145.6% 95.0% Expected Move 34.6% 27.3% 41.7% 41.7% 27.3% HV 20d 171.7% 155.3% 192.1% 192.1% 155.4% HV 60d 175.8% 167.2% 186.5% 178.9% 167.5% IV Rank 31.8% 21.7% 43.1% 43.1% 21.7% IV Percentile 52.9% 32.9% 73.0% 73.0% 32.9% Term Structure -7.0% -17.7% 6.2% -16.2% 3.9% VWIV 120.3% 99.8% 144.7% 144.7% 99.8% Skew 25d 21.2% 4.3% 65.1% 15.2% 24.6% Skew 10d 35.4% -10.3% 112.4% 11.7% 37.5% Call IV 25d 109.4% 86.9% 130.3% 119.4% 90.8% Put IV 25d 130.6% 115.4% 152.4% 134.6% 115.4% Bid-Ask Spread % 9.98 7.25 12.83 11.93 12.08 Gamma HHI 0.40 0.24 0.62 0.50 0.40 Net GEX 709.2K 391.4K 1.2M 537.1K 829.1K Net DEX -70.4M -124.9M -37.1M -37.3M -69.2M Net VEX -338.4K -378.5K -293.1K -298.7K -378.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.14 1.49 0.20 0.54 Total Volume 37,613.429 12,744 87,432 21,324 29,712 Total OI 417,169.429 349,644 480,204 387,456 422,988
Daily Data (21 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 2009-04-01 $4.48 $5.00 145.6% 41.7% 192.1% 43.1% 144.7% 15.2% -16.2% 537.1K -37.3M -298.7K 0.20 11.93 N/A N/A 17,808 3,516 284,898 102,558 2009-04-02 $4.75 $5.00 120.5% 34.6% 176.4% 32.5% 119.8% 65.1% 6.2% 670.5K -43.2M -308.6K 0.30 11.96 N/A N/A 39,870 11,790 287,004 104,286 2009-04-03 $5.15 $5.00 101.1% 32.8% 176.4% 24.2% 113.7% 22.5% -1.4% 946.7K -58.9M -319.6K 0.19 9.46 N/A N/A 33,576 6,330 301,836 109,992 2009-04-06 $4.92 $5.00 104.3% 33.0% 178.6% 25.6% 113.1% 23.4% 4.4% 915.3K -53.9M -307.2K 0.14 10.51 N/A N/A 23,820 3,426 307,392 112,362 2009-04-07 $4.60 $5.00 114.7% 35.0% 166.8% 30.0% 122.8% 8.2% -6.4% 757.6K -37.1M -300.9K 0.18 12.83 N/A N/A 19,992 3,504 309,744 113,940 2009-04-08 $4.68 $5.00 109.5% 32.2% 166.3% 27.8% 112.9% 23.8% -0.7% 802.0K -40.0M -293.1K 0.19 9.57 N/A N/A 10,692 2,052 313,014 113,880 2009-04-09 $5.80 $5.00 113.2% 32.4% 172.7% 29.3% 109.9% 21.2% -2.9% 391.4K -103.3M -316.3K 0.22 8.21 N/A N/A 66,690 14,640 316,008 114,318 2009-04-13 $6.37 $5.00 122.2% 35.0% 174.6% 33.2% 120.6% 18.0% -8.3% 953.5K -124.9M -378.1K 0.16 8.79 N/A N/A 75,438 11,994 330,276 118,680 2009-04-14 $5.55 $5.00 129.6% 37.2% 182.8% 36.3% 128.2% 5.2% -14.5% 1.2M -90.0M -349.4K 0.37 9.12 N/A N/A 53,160 19,500 345,438 122,232 2009-04-15 $6.03 $5.00 125.4% 36.0% 181.1% 34.5% 129.0% 20.2% -16.1% 516.5K -111.6M -373.5K 0.27 9.07 N/A N/A 20,496 5,502 347,640 132,564 2009-04-16 $6.12 $5.00 116.8% 33.5% 173.9% 30.9% 118.4% 16.8% -11.7% 544.7K -115.3M -348.4K 0.17 10.59 N/A N/A 26,736 4,494 343,368 129,294 2009-04-17 $6.32 $5.00 100.8% 28.9% 163.0% 24.1% 110.7% 11.8% -4.0% 631.5K -119.3M -362.2K 0.15 12.21 N/A N/A 28,668 4,368 346,182 131,058 2009-04-20 $5.02 $5.00 133.6% 38.3% 182.6% 38.0% 130.5% 13.3% -14.3% 463.0K -41.0M -309.0K 0.55 7.77 N/A N/A 37,698 20,556 259,380 90,264 2009-04-21 $5.67 $5.00 134.4% 38.5% 170.1% 38.4% 124.8% 55.2% -12.7% 555.5K -58.4M -333.3K 0.27 7.25 N/A N/A 35,910 9,846 266,802 98,466 2009-04-22 $5.32 $5.00 132.5% 38.0% 169.3% 37.5% 130.9% 16.3% -10.9% 500.6K -52.0M -326.0K 0.21 8.39 N/A N/A 29,838 6,204 273,684 102,426 2009-04-23 $5.70 $5.00 122.4% 35.1% 170.0% 33.3% 114.4% 21.0% -2.3% 668.1K -60.1M -367.3K 0.25 8.52 N/A N/A 10,632 2,640 284,436 104,604 2009-04-24 $5.97 $5.00 112.1% 32.1% 170.5% 28.9% 120.1% 8.5% -2.9% 709.1K -72.1M -372.9K 0.21 10.12 N/A N/A 32,052 6,690 287,052 105,558 2009-04-27 $5.68 $5.00 133.9% 38.4% 170.3% 38.1% 126.4% 27.2% -14.5% 761.3K -64.8M -354.5K 0.65 8.79 N/A N/A 13,620 8,832 299,832 107,382 2009-04-28 $5.52 $5.00 127.1% 36.4% 157.6% 35.2% 126.1% 4.3% -17.7% 699.9K -55.3M -344.6K 1.49 11.01 N/A N/A 5,832 8,700 298,590 109,398 2009-04-29 $5.93 $5.00 105.7% 30.3% 155.3% 26.1% 108.6% 24.0% -4.7% 888.0K -71.6M -364.8K 0.66 11.47 N/A N/A 13,890 9,168 300,180 111,552 2009-04-30 $5.88 $5.00 95.0% 27.3% 155.4% 21.7% 99.8% 24.6% 3.9% 829.1K -69.2M -378.5K 0.54 12.08 N/A N/A 19,302 10,410 306,042 116,946
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