UYG Options History — May 2009

In May 2009, UYG traded between $5.70 and $7.90. ATM implied volatility averaged 94.3%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded below realized volatility by 50.0% (HV 20d: 144.3%). Max pain ranged from $5.00 to $6.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-05-06: Highest Volume — 65,202 contracts
  • 2009-05-13: Largest IV spike — 49.6% change
  • 2009-05-13: Highest IV Rank — 38.1%
  • 2009-05-01: Largest Expected Move — 33.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.66$5.70$7.90$5.70$6.85
Max Pain$5.67$5.00$6.67$5.00$6.67
ATM IV94.3%75.1%133.8%116.0%75.1%
Expected Move25.7%21.5%33.2%33.2%21.5%
HV 20d144.3%125.6%165.8%155.3%127.2%
HV 60d164.6%157.8%170.9%167.7%157.9%
IV Rank20.2%9.4%38.1%30.5%9.4%
IV Percentile28.1%6.3%63.1%48.0%6.3%
Term Structure-1.9%-11.3%5.9%-11.3%3.2%
VWIV91.7%75.3%114.9%114.9%75.5%
Skew 25d11.7%-1.2%22.3%2.8%13.8%
Skew 10d37.8%6.7%79.7%22.1%36.6%
Call IV 25d89.4%76.4%111.0%111.0%81.0%
Put IV 25d101.1%84.7%114.6%113.8%94.8%
Bid-Ask Spread %5.443.1611.3811.383.42
Gamma HHI0.380.240.570.410.38
Net GEX1.0M516.2K1.6M801.8K1.1M
Net DEX-87.9M-159.1M-60.6M-60.6M-85.9M
Net VEX-429.5K-482.8K-372.1K-372.1K-460.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.121.370.190.68
Total Volume33,411.38,68265,2028,68213,950
Total OI465,709.5396,990526,032434,496477,804

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$5.70$5.00116.0%33.2%155.3%30.5%114.9%2.8%-11.3%801.8K-60.6M-372.1K0.1911.38N/AN/A7,2721,410311,592122,904
2009-05-04$6.72$5.00103.2%28.9%163.0%25.1%103.8%22.3%-6.4%1.1M-102.1M-418.2K0.303.88N/AN/A28,8668,580313,470123,264
2009-05-05$6.52$5.00103.4%28.9%162.3%25.2%104.2%14.9%-2.1%1.1M-96.1M-402.9K0.685.14N/AN/A25,97417,634321,558125,232
2009-05-06$7.35$5.00118.0%28.5%163.6%31.4%96.7%15.2%-6.4%1.3M-134.6M-430.9K0.256.87N/AN/A52,29612,906326,814137,664
2009-05-07$6.97$5.00119.7%29.2%165.8%32.1%102.6%10.8%-6.6%1.3M-116.9M-428.2K0.355.32N/AN/A47,37016,644335,670142,764
2009-05-08$7.90$5.00101.5%26.0%154.7%24.4%103.2%21.4%-7.2%1.3M-159.1M-482.8K0.345.37N/AN/A35,58012,270342,570149,682
2009-05-11$7.07$5.00105.5%27.5%158.1%26.1%102.3%11.4%-6.7%1.4M-116.9M-417.2K0.156.31N/AN/A39,5525,910334,998151,920
2009-05-12$6.88$5.0089.5%27.1%149.5%19.3%91.4%18.5%1.5%1.6M-106.9M-439.3K0.387.07N/AN/A32,31012,402344,646153,090
2009-05-13$6.13$5.00133.8%28.0%153.3%38.1%100.9%12.2%-4.3%1.0M-69.6M-408.8K0.445.74N/AN/A23,20810,152353,088156,738
2009-05-14$6.50$5.0094.7%27.1%154.6%21.5%106.0%22.2%-4.6%1.6M-84.0M-440.4K1.376.28N/AN/A16,08021,966356,070156,900
2009-05-15$6.25$5.0087.6%25.1%154.9%18.4%92.1%7.1%-1.3%516.2K-64.0M-401.8K0.896.08N/AN/A15,40213,740357,642168,390
2009-05-18$7.00$5.0080.5%23.1%133.9%15.4%79.6%13.5%5.6%715.0K-78.9M-441.7K0.424.79N/AN/A32,16613,638275,550121,440
2009-05-19$6.70$6.6779.3%22.7%129.4%14.9%79.7%8.4%3.7%745.3K-76.5M-429.6K0.606.91N/AN/A23,07013,758291,144128,094
2009-05-20$6.40$6.6780.7%23.1%128.3%14.0%81.5%14.7%0.8%657.7K-63.8M-429.4K0.334.86N/AN/A22,9087,638300,696137,970
2009-05-21$6.40$6.6779.5%22.8%126.3%11.4%81.7%1.2%3.1%710.7K-63.5M-443.5K0.884.63N/AN/A10,1768,988306,078140,382
2009-05-22$6.30$6.6783.8%24.0%125.6%13.3%82.8%-1.2%-6.9%697.4K-61.8M-437.5K0.123.16N/AN/A13,6081,590309,828143,862
2009-05-26$6.75$6.6777.3%22.2%126.2%10.4%77.0%13.7%1.5%875.3K-75.8M-460.2K0.203.56N/AN/A11,6642,316315,486144,318
2009-05-27$6.32$6.6782.0%23.5%128.3%12.5%83.1%-0.7%-0.1%835.1K-66.4M-414.5K0.404.72N/AN/A11,5984,602320,784145,080
2009-05-28$6.50$6.6775.5%21.6%126.2%9.6%75.3%12.2%5.9%956.4K-74.1M-432.0K0.223.25N/AN/A15,5703,462323,340145,668
2009-05-29$6.85$6.6775.1%21.5%127.2%9.4%75.5%13.8%3.2%1.1M-85.9M-460.0K0.683.42N/AN/A8,3105,640330,960146,844