UYG Options History — September 2009 In September 2009, UYG traded between $8.45 and $10.40. ATM implied volatility averaged 58.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 1.1% (HV 20d: 57.6%). Max pain ranged from $6.67 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2009-09-16 : Highest Volume — 30,102 contracts2009-09-09 : Largest IV drop — 11.9% change2009-09-03 : Highest IV Rank — 10.9%2009-09-08 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $9.58 $8.45 $10.40 $8.65 $9.85 Max Pain $8.73 $6.67 $10.00 $6.67 $10.00 ATM IV 58.7% 52.3% 65.3% 61.3% 58.0% Expected Move 17.0% 15.0% 19.4% 17.6% 16.6% HV 20d 57.6% 48.2% 67.4% 67.4% 48.2% HV 60d 60.6% 57.6% 64.5% 64.0% 57.9% IV Rank 8.2% 5.5% 10.9% 9.2% 7.9% IV Percentile 11.1% 6.0% 17.1% 11.9% 13.5% Term Structure 3.4% -3.0% 10.1% 10.1% 5.6% VWIV 59.9% 51.8% 66.6% 60.6% 57.8% Skew 25d 13.0% -15.4% 29.2% -7.6% 26.5% Skew 10d 24.1% -24.3% 44.3% -11.9% 44.2% Call IV 25d 53.8% 36.8% 71.1% 65.4% 43.5% Put IV 25d 66.7% 55.8% 74.1% 57.8% 70.0% Bid-Ask Spread % 11.31 4.54 21.34 7.89 14.63 Gamma HHI 0.35 0.21 0.58 0.25 0.27 Net GEX 1.1M 721.4K 1.8M 939.4K 862.9K Net DEX -98.2M -142.7M -65.5M -85.7M -76.1M Net VEX -501.0K -514.1K -481.8K -484.9K -495.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.20 1.15 0.77 1.15 Total Volume 12,671.714 4,410 30,102 17,682 7,476 Total OI 347,701.429 289,890 390,480 361,482 312,552
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 2009-09-01 $8.65 $6.67 61.3% 17.6% 67.4% 9.2% 60.6% -7.6% 10.1% 939.4K -85.7M -484.9K 0.77 7.89 N/A N/A 9,978 7,704 252,774 108,708 2009-09-02 $8.45 $6.67 62.7% 18.0% 64.9% 9.8% 66.4% -15.4% 8.4% 890.5K -80.1M -496.2K 0.63 4.54 N/A N/A 8,166 5,160 254,622 110,640 2009-09-03 $8.82 $6.67 65.3% 18.7% 66.7% 10.9% 61.3% 28.9% 3.5% 953.9K -89.5M -508.3K 0.40 5.69 N/A N/A 6,888 2,784 254,982 111,900 2009-09-04 $8.92 $10.00 60.5% 19.1% 63.4% 8.9% 66.6% 4.3% -0.2% 1.0M -93.8M -508.7K 0.50 10.31 N/A N/A 3,348 1,662 255,738 112,302 2009-09-08 $9.07 $8.33 64.5% 19.4% 63.6% 10.6% 65.5% 17.8% -1.4% 1.1M -99.5M -501.0K 0.81 9.34 N/A N/A 2,436 1,974 256,950 113,100 2009-09-09 $9.32 $8.33 56.9% 17.1% 59.8% 7.4% 63.7% 13.9% 2.5% 1.2M -107.7M -503.5K 1.06 13.41 N/A N/A 5,544 5,892 256,260 114,192 2009-09-10 $9.47 $8.33 57.5% 16.5% 59.2% 7.7% 57.6% 13.4% 4.4% 1.2M -111.7M -497.2K 0.60 10.56 N/A N/A 6,972 4,164 256,764 117,234 2009-09-11 $9.35 $8.33 61.6% 17.7% 58.5% 9.4% 62.4% 7.2% 0.0% 1.2M -110.0M -511.2K 0.28 13.61 N/A N/A 6,030 1,680 259,650 119,196 2009-09-14 $9.58 $8.33 63.8% 18.3% 58.8% 10.3% 64.7% 7.8% -3.0% 1.4M -116.5M -492.9K 0.46 14.90 N/A N/A 4,236 1,950 260,370 119,364 2009-09-15 $9.65 $8.33 61.7% 17.7% 50.3% 9.4% 63.3% 13.3% 0.5% 1.4M -119.1M -500.9K 0.98 10.93 N/A N/A 8,424 8,292 259,704 119,994 2009-09-16 $10.28 $8.33 59.8% 17.2% 53.7% 8.6% 58.6% 12.1% 0.4% 1.8M -142.7M -498.5K 0.53 13.94 N/A N/A 19,722 10,380 261,408 124,416 2009-09-17 $10.18 $8.33 59.5% 17.1% 54.0% 8.5% 62.1% 6.6% 1.0% 1.8M -137.3M -503.7K 0.49 21.34 N/A N/A 19,128 9,378 259,980 126,996 2009-09-18 $10.15 $8.33 56.9% 16.3% 52.2% 7.4% 57.1% 10.7% 3.7% 1.8M -135.6M -508.0K 0.48 9.83 N/A N/A 12,588 6,084 260,100 130,380 2009-09-21 $9.98 $8.33 52.9% 15.2% 51.0% 5.8% 53.5% 6.2% 7.4% 796.5K -80.8M -503.3K 0.69 9.68 N/A N/A 7,014 4,818 195,426 94,464 2009-09-22 $10.40 $10.00 57.4% 16.5% 51.9% 7.6% 56.6% 16.3% -0.7% 843.0K -90.1M -508.4K 0.20 7.51 N/A N/A 8,376 1,662 197,478 96,600 2009-09-23 $10.02 $10.00 52.9% 15.2% 53.7% 5.7% 55.8% 7.8% 7.1% 893.2K -83.8M -496.8K 0.71 10.07 N/A N/A 7,398 5,280 200,568 97,140 2009-09-24 $9.60 $10.00 55.0% 15.8% 56.1% 6.6% 56.8% 25.9% 5.8% 783.5K -70.9M -481.8K 0.48 13.84 N/A N/A 11,664 5,610 203,052 99,030 2009-09-25 $9.45 $10.00 55.9% 16.0% 56.0% 7.0% 58.7% 19.5% 5.0% 721.4K -65.5M -496.6K 0.54 14.02 N/A N/A 6,162 3,324 204,576 100,950 2009-09-28 $10.07 $10.00 52.3% 15.0% 60.4% 5.5% 51.8% 29.2% 7.0% 943.6K -83.0M -514.1K 0.40 11.29 N/A N/A 4,980 1,980 207,396 102,618 2009-09-29 $9.97 $10.00 56.3% 16.1% 60.5% 7.2% 56.6% 27.7% 3.8% 938.0K -82.4M -509.4K 0.65 10.12 N/A N/A 5,922 3,876 208,938 103,218 2009-09-30 $9.85 $10.00 58.0% 16.6% 48.2% 7.9% 57.8% 26.5% 5.6% 862.9K -76.1M -495.7K 1.15 14.63 N/A N/A 3,486 3,990 208,548 104,004
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