UYG Options History — July 2009

In July 2009, UYG traded between $5.68 and $7.65. ATM implied volatility averaged 59.4%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 7.0% (HV 20d: 66.4%). 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 18 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2009-07-15: Highest Volume — 49,962 contracts
  • 2009-07-13: Largest IV spike — 91.2% change
  • 2009-07-08: Highest IV Rank — 23.0%
  • 2009-07-08: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.64$5.68$7.65$6.50$7.65
Max Pain$6.67$6.67$6.67$6.67$6.67
ATM IV59.4%39.1%102.9%50.1%39.1%
Expected Move17.2%11.2%24.5%14.4%11.2%
HV 20d66.4%57.3%78.2%62.5%57.3%
HV 60d97.5%78.5%118.4%118.4%78.5%
IV Rank5.5%0.0%23.0%0.0%0.0%
IV Percentile6.1%0.0%36.5%0.0%0.0%
Term Structure3.6%-5.5%10.8%10.3%8.1%
VWIV60.3%45.4%80.1%50.1%51.6%
Skew 25d17.2%-12.7%35.7%2.9%6.6%
Skew 10d26.3%-14.0%52.9%4.7%17.4%
Call IV 25d47.1%29.6%64.3%49.0%49.8%
Put IV 25d64.3%44.2%86.8%52.0%56.3%
Bid-Ask Spread %8.945.6612.199.266.19
Gamma HHI0.420.240.800.400.35
Net GEX1.1M413.1K3.6M771.1K1.3M
Net DEX-58.9M-99.0M-22.8M-47.9M-99.0M
Net VEX-436.0K-475.1K-375.0K-401.9K-469.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.171.140.330.35
Total Volume15,809.7275,70649,9629,2046,444
Total OI358,640.455323,766397,050323,766377,538

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$6.50$6.6750.1%14.4%62.5%0.0%50.1%2.9%10.3%771.1K-47.9M-401.9K0.339.26N/AN/A6,9302,274232,37491,392
2009-07-02$6.08$6.6763.6%18.2%62.7%5.9%63.5%-12.7%0.4%638.6K-36.5M-386.6K0.375.66N/AN/A9,5763,510235,57291,362
2009-07-06$6.10$6.6773.3%18.2%62.8%10.1%65.1%24.5%5.2%695.0K-36.9M-396.2K0.4110.25N/AN/A11,6944,752239,97692,322
2009-07-07$5.88$6.6789.0%18.4%63.3%16.9%66.1%14.9%2.6%613.4K-32.4M-391.1K0.2411.45N/AN/A8,1181,926247,83694,104
2009-07-08$5.68$6.67102.9%24.5%63.6%23.0%80.1%22.4%-5.5%414.2K-23.8M-381.7K0.7311.38N/AN/A11,6408,514252,31895,016
2009-07-09$5.83$6.6752.4%23.9%64.8%1.0%76.4%24.3%2.4%542.0K-27.6M-400.2K0.347.98N/AN/A4,2541,452253,96898,208
2009-07-10$5.70$6.6746.2%22.7%64.7%0.0%74.2%19.1%-0.8%413.1K-22.8M-375.0K0.739.79N/AN/A3,4142,502254,59298,130
2009-07-13$6.35$6.6788.3%19.6%76.8%18.0%71.9%35.7%3.7%846.9K-44.1M-423.8K0.1912.19N/AN/A28,3745,460255,37298,592
2009-07-14$6.30$6.6746.0%19.0%74.1%0.0%70.9%33.9%4.6%1.0M-40.3M-439.0K0.249.62N/AN/A8,4962,058273,24099,954
2009-07-15$6.78$6.6766.2%18.6%78.2%8.6%65.9%16.4%-1.3%1.5M-69.2M-473.1K0.577.49N/AN/A31,77018,192277,476100,302
2009-07-16$6.82$6.6760.6%17.4%76.0%6.2%60.8%12.3%3.7%1.8M-75.5M-475.1K0.299.74N/AN/A12,9483,804289,464107,586
2009-07-17$6.70$6.6754.7%15.7%75.4%3.7%55.0%32.9%2.2%3.6M-66.7M-454.7K0.178.62N/AN/A16,9682,874288,084105,696
2009-07-20$6.82$6.6751.2%14.7%74.7%2.2%51.1%9.7%9.2%1.0M-62.0M-449.0K0.377.82N/AN/A15,8645,922248,83881,444
2009-07-21$6.75$6.6747.1%13.5%62.2%0.4%47.1%6.2%10.8%1.1M-58.3M-439.4K0.327.16N/AN/A10,9863,540257,82085,446
2009-07-22$6.73$6.6745.4%13.0%62.0%0.0%45.4%6.8%9.8%1.1M-60.8M-451.7K0.5510.62N/AN/A10,8726,000262,75887,582
2009-07-23$7.10$6.6748.3%13.9%64.2%1.3%48.3%17.0%10.2%1.2M-75.8M-460.9K0.319.69N/AN/A17,6885,472268,15289,670
2009-07-24$7.08$6.6756.1%16.1%63.2%4.6%55.7%21.4%3.1%1.3M-74.8M-451.0K1.147.54N/AN/A6,2527,128275,29891,626
2009-07-27$7.30$6.6758.9%16.9%63.8%5.8%58.7%29.0%0.3%1.3M-84.7M-472.4K0.349.87N/AN/A7,0802,382277,16496,360
2009-07-28$7.25$6.6758.1%16.7%63.7%5.4%57.9%26.5%-0.6%1.3M-83.0M-472.9K0.179.89N/AN/A5,784966276,62495,040
2009-07-29$7.22$6.6757.6%16.5%62.3%5.2%55.1%23.4%0.5%1.3M-80.6M-459.3K0.848.18N/AN/A4,5003,768275,93495,400
2009-07-30$7.52$6.6752.0%14.9%63.5%2.8%54.9%5.0%0.7%1.3M-94.2M-468.4K0.426.23N/AN/A11,0404,626277,06897,392
2009-07-31$7.65$6.6739.1%11.2%57.3%0.0%51.6%6.6%8.1%1.3M-99.0M-469.4K0.356.19N/AN/A4,7761,668278,86898,670