UYG Options History — August 2009

In August 2009, UYG traded between $8.05 and $9.62. ATM implied volatility averaged 59.0%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 2.9% (HV 20d: 56.2%). Max pain ranged from $5.00 to $6.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-08-07: Highest Volume — 40,224 contracts
  • 2009-08-10: Largest IV spike — 24.2% change
  • 2009-08-12: Highest IV Rank — 12.5%
  • 2009-08-10: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.98$8.05$9.62$8.05$9.53
Max Pain$5.71$5.00$6.67$6.67$6.67
ATM IV59.0%46.1%69.3%46.8%46.1%
Expected Move17.0%13.2%19.4%13.4%13.2%
HV 20d56.2%46.3%60.2%58.9%57.5%
HV 60d65.5%60.4%78.4%78.4%60.4%
IV Rank8.3%2.9%12.5%3.2%2.9%
IV Percentile8.3%1.2%14.7%1.6%1.2%
Term Structure2.5%-5.8%16.3%6.5%16.3%
VWIV61.0%50.1%66.9%56.3%50.3%
Skew 25d8.2%-5.0%22.0%-4.0%15.1%
Skew 10d19.1%-5.3%57.3%-3.6%24.2%
Call IV 25d56.2%41.6%69.9%44.2%43.2%
Put IV 25d64.3%40.2%73.3%40.2%58.4%
Bid-Ask Spread %8.476.0012.798.087.15
Gamma HHI0.280.220.380.330.30
Net GEX1.1M996.5K1.3M1.3M1.2M
Net DEX-127.3M-152.3M-106.2M-115.3M-114.8M
Net VEX-494.5K-515.7K-461.4K-466.9K-503.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.180.940.300.61
Total Volume18,165.1436,90040,22426,4607,380
Total OI386,847.143337,014417,894376,488359,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$8.05$6.6746.8%13.4%58.9%3.2%56.3%-4.0%6.5%1.3M-115.3M-466.9K0.308.08N/AN/A20,3826,078277,48899,000
2009-08-04$8.37$6.6750.6%14.5%56.4%4.8%50.1%5.2%9.4%1.1M-126.3M-461.4K0.187.76N/AN/A28,6445,208277,320101,334
2009-08-05$8.83$6.6755.1%15.8%54.3%6.7%55.6%-5.0%6.1%1.1M-139.5M-469.9K0.377.99N/AN/A26,4669,900276,000103,284
2009-08-06$8.73$6.6765.8%18.9%55.5%11.1%64.0%-3.9%-1.5%1.1M-134.1M-489.2K0.306.23N/AN/A26,4187,914280,020108,708
2009-08-07$9.25$5.0050.5%17.2%54.5%4.8%64.8%7.8%2.4%1.1M-152.3M-515.7K0.3012.79N/AN/A30,8289,396282,324111,444
2009-08-10$9.12$5.0062.8%19.4%46.3%9.8%64.6%8.6%-5.3%1.1M-146.0M-514.9K0.557.76N/AN/A13,8367,656285,276113,310
2009-08-11$8.57$5.0069.1%18.3%53.7%12.5%65.9%-2.5%2.3%1.1M-124.2M-503.6K0.298.56N/AN/A17,5085,034287,760117,000
2009-08-12$8.83$5.0069.3%18.8%49.5%12.5%65.1%7.1%-2.1%1.2M-133.7M-515.4K0.468.67N/AN/A10,3024,746291,354118,002
2009-08-13$9.12$5.0066.8%19.2%49.8%11.5%64.8%6.2%-2.4%1.2M-143.5M-504.3K0.447.45N/AN/A6,0902,652291,402120,012
2009-08-14$9.02$5.0066.7%19.1%49.3%11.5%66.9%5.7%-1.0%1.2M-137.7M-493.6K0.487.40N/AN/A5,1182,466290,226120,624
2009-08-17$8.33$5.0062.6%18.0%59.5%9.8%66.8%-0.9%-0.2%1.1M-110.9M-487.7K0.4110.15N/AN/A10,9504,440291,054121,686
2009-08-18$8.57$5.0064.1%18.4%59.3%10.4%64.2%7.6%-0.8%1.1M-119.1M-487.9K0.479.45N/AN/A4,7342,214293,508121,452
2009-08-19$8.58$5.0067.1%19.2%59.2%11.6%65.4%8.3%-5.8%1.3M-120.6M-473.7K0.389.80N/AN/A5,2562,004294,384121,170
2009-08-20$9.00$5.0062.7%18.0%58.7%9.8%60.0%14.0%0.1%1.0M-139.1M-478.4K0.949.15N/AN/A5,2264,926293,652120,672
2009-08-21$9.38$5.0060.1%17.2%59.4%8.8%64.4%21.1%-1.4%1.0M-152.1M-494.2K0.457.38N/AN/A11,8265,340294,666123,228
2009-08-24$9.20$5.0060.8%17.4%60.2%9.0%62.7%12.0%0.6%996.5K-106.2M-499.5K0.608.32N/AN/A15,3609,150240,16896,846
2009-08-25$9.42$6.6756.2%16.1%59.9%7.1%60.0%16.6%7.9%1.0M-110.9M-507.0K0.718.40N/AN/A6,9664,968245,03499,690
2009-08-26$9.40$6.6755.2%15.8%59.8%6.7%58.7%16.6%5.0%1.1M-111.6M-507.8K0.5210.26N/AN/A4,5542,346247,290101,886
2009-08-27$9.57$6.6751.1%14.7%59.0%5.0%57.5%22.0%7.8%1.1M-116.3M-495.9K0.519.10N/AN/A5,9043,006248,532103,272
2009-08-28$9.62$6.6750.5%14.5%59.0%4.8%53.9%13.8%8.1%1.1M-118.7M-514.5K0.476.00N/AN/A12,4505,826249,594104,634
2009-08-31$9.53$6.6746.1%13.2%57.5%2.9%50.3%15.1%16.3%1.2M-114.8M-503.7K0.617.15N/AN/A4,5962,784252,120107,364