UYG Options History — June 2009 In June 2009, UYG traded between $5.97 and $7.15. ATM implied volatility averaged 70.4%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 9.8% (HV 20d: 80.2%). Max pain ranged from $6.67 to $6.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2009-06-01 : Highest Volume — 36,924 contracts2009-06-18 : Largest IV spike — 19.9% change2009-06-01 : Highest IV Rank — 13.0%2009-06-01 : Largest Expected Move — 23.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.69 $5.97 $7.15 $7.12 $6.43 Max Pain $6.67 $6.67 $6.67 $6.67 $6.67 ATM IV 70.4% 54.5% 83.1% 83.1% 63.2% Expected Move 20.4% 15.6% 23.8% 23.8% 18.1% HV 20d 80.2% 61.4% 126.8% 126.8% 62.8% HV 60d 134.7% 118.9% 152.9% 152.4% 118.9% IV Rank 5.0% 0.0% 13.0% 13.0% 3.9% IV Percentile 5.0% 0.0% 18.3% 18.3% 2.4% Term Structure 2.2% -5.5% 17.0% -2.8% -2.6% VWIV 70.3% 54.6% 82.0% 81.4% 63.3% Skew 25d 8.6% -23.6% 38.5% 3.0% 2.1% Skew 10d 17.4% -37.6% 53.4% 8.5% 5.0% Call IV 25d 63.3% 42.5% 92.2% 80.3% 54.8% Put IV 25d 71.8% 45.9% 89.5% 83.3% 56.9% Bid-Ask Spread % 8.18 3.93 11.49 4.87 7.61 Gamma HHI 0.41 0.21 0.88 0.40 0.34 Net GEX 1.3M 368.3K 5.9M 1.4M 674.0K Net DEX -74.0M -120.6M -34.5M -101.2M -47.9M Net VEX -404.1K -458.4K -319.4K -444.5K -409.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.23 1.34 1.26 0.23 Total Volume 16,577.727 6,084 36,924 36,924 10,092 Total OI 433,549.636 282,156 500,466 480,192 319,776
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 2009-06-01 $7.12 $6.67 83.1% 23.8% 126.8% 13.0% 81.4% 3.0% -2.8% 1.4M -101.2M -444.5K 1.26 4.87 N/A N/A 16,308 20,616 332,286 147,906 2009-06-02 $6.87 $6.67 81.9% 23.5% 114.0% 9.8% 82.0% -12.3% 4.4% 1.2M -92.6M -444.5K 0.92 4.86 N/A N/A 5,778 5,334 334,200 146,196 2009-06-03 $6.72 $6.67 79.5% 22.8% 113.7% 8.7% 80.8% -23.6% 3.0% 1.1M -80.6M -445.2K 0.96 3.93 N/A N/A 4,092 3,948 336,174 150,054 2009-06-04 $7.10 $6.67 81.9% 23.5% 106.9% 9.8% 79.2% 35.6% -2.8% 1.2M -102.7M -458.4K 0.88 5.42 N/A N/A 12,780 11,226 336,978 152,172 2009-06-05 $7.03 $6.67 78.8% 21.5% 105.2% 8.4% 68.9% 17.2% 17.0% 1.2M -102.5M -445.3K 0.29 11.06 N/A N/A 14,208 4,122 338,304 156,516 2009-06-08 $7.10 $6.67 76.4% 22.0% 94.3% 7.3% 71.7% 11.6% 6.8% 1.4M -105.5M -431.8K 1.34 10.64 N/A N/A 7,560 10,146 340,860 150,840 2009-06-09 $7.15 $6.67 65.2% 22.1% 85.6% 2.2% 71.2% 27.6% 3.4% 1.5M -109.6M -419.4K 0.35 9.97 N/A N/A 5,226 1,848 342,378 149,586 2009-06-10 $6.98 $6.67 68.5% 21.6% 85.5% 3.7% 76.6% 12.7% -2.9% 1.5M -98.7M -415.4K 0.33 11.49 N/A N/A 7,116 2,316 343,026 150,942 2009-06-11 $7.03 $6.67 75.9% 21.8% 73.7% 7.1% 74.6% -8.0% -3.7% 1.5M -104.0M -410.0K 0.56 10.88 N/A N/A 7,422 4,122 342,606 151,446 2009-06-12 $7.13 $6.67 71.7% 20.5% 71.3% 5.2% 69.9% -12.5% -1.0% 583.9K -120.6M -373.1K 0.72 9.14 N/A N/A 3,546 2,538 343,608 152,586 2009-06-15 $6.72 $6.67 73.9% 21.2% 73.3% 6.2% 73.2% -6.8% -2.3% 1.5M -80.9M -389.3K 0.36 8.21 N/A N/A 14,862 5,376 342,948 154,326 2009-06-16 $6.52 $6.67 73.4% 21.0% 61.6% 6.0% 73.7% 10.3% -5.5% 1.7M -64.7M -381.5K 0.40 7.55 N/A N/A 14,346 5,700 345,168 155,298 2009-06-17 $6.22 $6.67 61.1% 17.5% 61.9% 0.4% 58.7% 38.5% 10.6% 986.8K -37.5M -341.7K 0.55 8.31 N/A N/A 15,258 8,418 342,414 157,098 2009-06-18 $6.45 $6.67 73.3% 21.0% 61.4% 5.9% 73.0% 37.3% -2.0% 1.7M -56.6M -364.9K 0.39 8.73 N/A N/A 7,560 2,952 342,450 157,476 2009-06-19 $6.67 $6.67 65.3% 18.7% 62.5% 2.3% 70.7% 31.9% 3.7% 5.9M -72.3M -372.8K 0.86 6.74 N/A N/A 12,546 10,842 341,898 158,406 2009-06-22 $5.97 $6.67 73.1% 21.0% 74.1% 5.9% 75.0% 11.0% -4.7% 395.8K -39.1M -319.4K 0.68 9.19 N/A N/A 15,030 10,158 203,346 78,810 2009-06-23 $6.10 $6.67 66.0% 18.9% 69.9% 2.6% 67.0% 18.7% 3.6% 368.3K -34.5M -371.0K 0.33 9.75 N/A N/A 25,758 8,418 207,492 85,830 2009-06-24 $6.20 $6.67 62.4% 17.9% 66.3% 1.0% 62.2% -11.7% 4.8% 462.1K -36.7M -398.0K 0.62 8.79 N/A N/A 12,744 7,896 218,232 88,986 2009-06-25 $6.43 $6.67 61.7% 17.7% 66.9% 0.6% 61.6% -1.3% 2.3% 542.4K -43.0M -409.1K 0.30 6.45 N/A N/A 9,612 2,874 220,878 88,266 2009-06-26 $6.52 $6.67 57.1% 16.4% 64.1% 0.0% 57.1% 1.9% 7.9% 596.1K -46.2M -421.5K 0.57 8.43 N/A N/A 4,026 2,298 224,154 89,580 2009-06-29 $6.65 $6.67 54.5% 15.6% 62.9% 0.0% 54.6% 5.5% 10.8% 691.4K -50.5M -423.1K 0.30 7.93 N/A N/A 5,928 1,764 226,350 90,246 2009-06-30 $6.43 $6.67 63.2% 18.1% 62.8% 3.9% 63.3% 2.1% -2.6% 674.0K -47.9M -409.5K 0.23 7.61 N/A N/A 8,232 1,860 229,296 90,480
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