UYG Options History — November 2009

In November 2009, UYG traded between $8.65 and $9.83. ATM implied volatility averaged 53.9%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 10.1% (HV 20d: 64.0%). Max pain ranged from $8.33 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-11-02: Highest Volume — 18,156 contracts
  • 2009-11-27: Largest IV spike — 35.9% change
  • 2009-11-02: Highest IV Rank — 16.6%
  • 2009-11-02: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.37$8.65$9.83$8.80$9.42
Max Pain$8.67$8.33$10.00$10.00$8.33
ATM IV53.9%41.7%74.8%74.8%45.1%
Expected Move15.7%12.0%21.4%21.4%12.9%
HV 20d64.0%48.6%70.6%63.8%48.6%
HV 60d59.1%55.4%61.7%61.0%56.6%
IV Rank7.1%1.3%16.6%16.6%3.7%
IV Percentile13.6%0.4%38.1%38.1%2.4%
Term Structure3.1%-4.9%7.8%-4.9%7.8%
VWIV55.8%42.6%73.1%73.1%47.9%
Skew 25d8.6%4.7%13.0%11.2%10.3%
Skew 10d24.4%12.9%39.9%12.9%29.0%
Call IV 25d54.2%44.1%70.6%70.6%47.4%
Put IV 25d62.7%52.6%81.8%81.8%57.7%
Bid-Ask Spread %5.052.7510.737.923.65
Gamma HHI0.280.180.430.190.34
Net GEX751.0K413.9K1.3M457.4K819.0K
Net DEX-56.2M-72.3M-35.5M-41.2M-59.0M
Net VEX-433.3K-464.7K-397.5K-459.8K-397.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.181.130.350.59
Total Volume6,821.42,40618,15618,1566,924
Total OI340,890.9304,818360,762341,526315,168

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$8.80$10.0074.8%21.4%63.8%16.6%73.1%11.2%-4.9%457.4K-41.2M-459.8K0.357.92N/AN/A13,4584,698220,914120,612
2009-11-03$8.90$10.0070.2%20.1%63.3%14.5%69.2%13.0%-2.0%486.2K-43.0M-464.7K0.885.11N/AN/A3,1082,730222,834120,948
2009-11-04$8.65$10.0071.3%20.4%63.3%15.0%69.1%13.0%-1.5%413.9K-35.5M-444.6K0.5910.73N/AN/A3,3421,962222,486121,806
2009-11-05$9.10$10.0063.3%18.1%66.5%11.3%59.5%7.0%-0.4%509.7K-46.9M-449.8K0.347.46N/AN/A2,9341,008223,512122,088
2009-11-06$9.00$8.3362.0%17.8%66.0%10.7%58.1%8.9%1.4%504.0K-45.1M-443.5K0.315.77N/AN/A1,836570224,226122,226
2009-11-09$9.62$8.3348.1%15.1%70.6%4.2%55.5%8.5%3.5%703.2K-63.6M-448.6K0.274.83N/AN/A6,1441,656224,538122,250
2009-11-10$9.55$8.3348.2%15.9%70.5%4.3%57.8%6.9%2.3%696.3K-62.7M-453.2K0.316.48N/AN/A5,1301,608225,282122,556
2009-11-11$9.78$8.3349.7%15.6%67.4%5.0%57.9%8.3%2.8%856.2K-70.8M-451.9K0.185.60N/AN/A7,1941,314227,286122,850
2009-11-12$9.47$8.3354.4%15.6%68.1%7.1%58.7%9.7%3.4%744.8K-57.6M-443.4K1.055.88N/AN/A1,5481,626228,330123,396
2009-11-13$9.45$8.3352.5%15.1%66.4%6.3%59.3%6.9%4.6%783.2K-58.5M-452.0K0.596.67N/AN/A2,1301,260228,828123,882
2009-11-16$9.67$8.3353.3%15.3%66.9%6.7%56.0%5.9%3.3%932.8K-66.0M-438.6K0.774.16N/AN/A5,6404,326229,212124,206
2009-11-17$9.70$8.3350.5%14.5%66.7%5.3%52.8%5.7%4.1%1.1M-65.5M-436.3K1.133.42N/AN/A3,2223,642230,934125,448
2009-11-18$9.83$8.3348.9%14.0%65.7%4.6%49.6%9.2%5.2%1.3M-72.3M-431.8K0.433.32N/AN/A3,4321,476232,230127,212
2009-11-19$9.48$8.3351.5%14.8%64.2%5.8%55.6%5.3%4.6%793.4K-53.3M-416.4K0.624.05N/AN/A4,6382,892233,034127,452
2009-11-20$9.38$8.3349.8%14.3%63.7%5.0%51.7%4.7%3.1%739.1K-50.6M-407.5K0.963.10N/AN/A4,2124,044232,896127,866
2009-11-23$9.62$8.3341.9%12.0%62.2%1.3%42.6%10.8%7.2%817.4K-62.5M-404.6K0.543.47N/AN/A6,3663,420200,292104,526
2009-11-24$9.50$8.3343.6%12.5%62.2%2.8%45.6%8.0%6.3%830.8K-61.0M-420.0K0.692.75N/AN/A3,4862,412204,216105,930
2009-11-25$9.47$8.3341.7%12.0%57.9%1.6%42.6%8.2%7.2%894.9K-61.8M-403.0K0.553.49N/AN/A1,698936205,386107,034
2009-11-27$8.97$8.3356.7%16.2%55.2%10.7%53.8%9.8%3.3%646.6K-47.3M-399.3K0.383.10N/AN/A6,1022,304206,328107,598
2009-11-30$9.42$8.3345.1%12.9%48.6%3.7%47.9%10.3%7.8%819.0K-59.0M-397.5K0.593.65N/AN/A4,3682,556206,574108,594