UYG Options History — October 2009 In October 2009, UYG traded between $8.70 and $10.75. ATM implied volatility averaged 58.2%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 0.2% (HV 20d: 58.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.59.
Notable Days 2009-10-14 : Highest Volume — 22,368 contracts2009-10-30 : Largest IV spike — 46.2% change2009-10-13 : Highest IV Rank — 18.3%2009-10-30 : Largest Expected Move — 21.6%Monthly Statistics Metric Avg Min Max Open Close Price $9.80 $8.70 $10.75 $9.07 $8.70 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 58.2% 44.2% 78.4% 69.9% 75.3% Expected Move 16.7% 12.7% 21.6% 20.0% 21.6% HV 20d 58.4% 55.0% 67.1% 56.9% 67.1% HV 60d 57.6% 55.1% 62.2% 60.2% 62.2% IV Rank 8.5% 2.4% 18.3% 12.8% 16.9% IV Percentile 15.6% 0.4% 38.5% 27.8% 38.5% Term Structure 1.3% -5.0% 8.8% -3.1% -5.0% VWIV 58.5% 46.4% 74.0% 67.3% 74.0% Skew 25d 4.8% -16.7% 25.7% 3.4% -5.8% Skew 10d 9.2% -22.1% 39.3% 10.6% 3.6% Call IV 25d 55.4% 41.6% 72.6% 66.5% 72.6% Put IV 25d 60.2% 34.3% 71.3% 69.9% 66.9% Bid-Ask Spread % 10.67 6.35 16.62 15.59 11.05 Gamma HHI 0.25 0.15 0.50 0.26 0.17 Net GEX 857.5K 447.1K 2.0M 646.4K 447.1K Net DEX -73.8M -113.7M -39.2M -56.0M -39.2M Net VEX -487.4K -514.9K -443.5K -491.5K -457.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.30 1.30 0.53 0.99 Total Volume 11,369.182 4,932 22,368 18,168 14,730 Total OI 327,129 308,328 344,616 315,462 335,622
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 2009-10-01 $9.07 $10.00 69.9% 20.0% 56.9% 12.8% 67.3% 3.4% -3.1% 646.4K -56.0M -491.5K 0.53 15.59 N/A N/A 11,892 6,276 209,196 106,266 2009-10-02 $9.05 $10.00 68.2% 19.6% 55.0% 12.1% 71.3% -4.2% 0.6% 648.3K -53.9M -492.7K 0.34 16.62 N/A N/A 9,402 3,150 211,788 107,034 2009-10-05 $9.57 $10.00 57.9% 17.5% 58.2% 7.8% 63.2% 9.3% 1.8% 767.7K -67.4M -508.3K 0.91 10.58 N/A N/A 3,558 3,252 210,780 108,660 2009-10-06 $9.78 $10.00 61.5% 17.0% 58.5% 9.3% 60.4% 14.3% 1.2% 836.0K -72.5M -505.1K 0.30 7.89 N/A N/A 10,080 2,982 212,148 109,116 2009-10-07 $9.95 $10.00 62.9% 17.5% 58.0% 9.9% 61.7% 14.7% 1.3% 968.3K -80.2M -513.8K 1.10 12.04 N/A N/A 4,920 5,436 214,446 109,410 2009-10-08 $10.00 $10.00 59.9% 17.7% 57.8% 8.6% 61.7% 9.3% 0.7% 1.0M -82.4M -505.1K 0.37 11.64 N/A N/A 5,772 2,124 215,412 113,334 2009-10-09 $10.17 $10.00 61.9% 17.7% 57.7% 9.5% 61.0% 8.6% 0.2% 1.1M -87.3M -514.9K 0.40 12.91 N/A N/A 3,534 1,398 217,140 112,818 2009-10-12 $10.30 $10.00 73.8% 18.1% 57.3% 15.2% 63.1% 9.9% -3.2% 1.2M -95.4M -511.5K 0.38 11.41 N/A N/A 6,174 2,376 218,586 113,538 2009-10-13 $10.13 $10.00 78.4% 18.6% 57.8% 18.3% 64.9% 11.9% -4.8% 1.3M -89.1M -508.6K 0.97 14.80 N/A N/A 4,356 4,230 219,834 113,718 2009-10-14 $10.75 $10.00 44.2% 18.6% 57.1% 2.4% 62.0% 25.7% -2.2% 872.1K -113.7M -503.6K 0.34 11.32 N/A N/A 16,698 5,670 220,644 115,614 2009-10-15 $10.62 $10.00 61.1% 17.5% 57.2% 10.3% 58.8% 7.5% -0.9% 1.0M -110.0M -505.2K 0.57 15.21 N/A N/A 7,512 4,296 224,454 118,218 2009-10-16 $10.13 $10.00 54.4% 15.6% 59.8% 7.1% 54.4% 3.1% 2.0% 2.0M -90.0M -512.4K 0.34 11.00 N/A N/A 10,836 3,702 223,782 120,834 2009-10-19 $10.23 $10.00 47.3% 13.6% 59.5% 3.8% 48.9% 3.1% 7.0% 755.5K -79.9M -485.6K 0.43 7.84 N/A N/A 7,728 3,354 202,392 105,936 2009-10-20 $10.07 $10.00 49.1% 14.1% 57.9% 4.7% 49.4% -12.7% 4.6% 775.4K -76.4M -472.1K 0.42 6.35 N/A N/A 6,414 2,724 205,470 106,368 2009-10-21 $9.72 $10.00 44.4% 12.7% 57.8% 2.5% 46.9% 1.3% 8.8% 694.5K -66.8M -443.5K 0.94 7.21 N/A N/A 5,754 5,436 209,274 107,394 2009-10-22 $10.22 $10.00 46.4% 13.3% 58.4% 3.4% 46.4% -9.4% 5.4% 834.7K -79.6M -480.8K 0.66 7.00 N/A N/A 8,436 5,592 210,204 109,356 2009-10-23 $9.95 $10.00 46.4% 13.3% 59.0% 3.4% 46.6% -16.7% 3.7% 688.0K -69.8M -453.8K 0.42 8.74 N/A N/A 3,594 1,518 210,240 112,530 2009-10-26 $9.50 $10.00 48.4% 13.9% 56.8% 4.3% 48.9% 10.9% 5.9% 606.5K -58.8M -472.0K 0.55 7.28 N/A N/A 8,556 4,692 211,452 112,746 2009-10-27 $9.37 $10.00 52.1% 15.0% 56.9% 6.1% 56.8% 15.6% 0.2% 630.0K -57.4M -467.4K 1.30 10.49 N/A N/A 4,536 5,904 221,358 115,050 2009-10-28 $8.82 $10.00 65.2% 18.7% 60.4% 12.2% 64.9% -5.9% -1.9% 456.0K -41.1M -450.5K 0.49 9.90 N/A N/A 9,180 4,500 223,044 117,336 2009-10-29 $9.48 $10.00 51.5% 14.8% 59.3% 5.8% 54.5% 12.4% 5.8% 603.5K -57.6M -466.9K 0.31 7.87 N/A N/A 6,006 1,842 217,584 116,712 2009-10-30 $8.70 $10.00 75.3% 21.6% 67.1% 16.9% 74.0% -5.8% -5.0% 447.1K -39.2M -457.3K 0.99 11.05 N/A N/A 7,416 7,314 219,084 116,538
« Sep 2009 | All History | Nov 2009 » Home UYG History October 2009