UYG Options History — December 2009

In December 2009, UYG traded between $8.93 and $9.57. ATM implied volatility averaged 44.4%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 3.6% (HV 20d: 40.8%). Max pain ranged from $6.67 to $8.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2009-12-21: Highest Volume — 10,746 contracts
  • 2009-12-03: Largest IV spike — 25.1% change
  • 2009-12-03: Highest IV Rank — 10.5%
  • 2009-12-03: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.30$8.93$9.57$9.47$9.38
Max Pain$8.03$6.67$8.33$8.33$8.33
ATM IV44.4%35.4%56.4%42.6%40.8%
Expected Move12.9%10.1%16.2%12.2%11.7%
HV 20d40.8%30.9%49.1%48.5%31.2%
HV 60d54.4%48.8%57.2%56.5%48.8%
IV Rank3.9%0.0%10.5%2.1%3.2%
IV Percentile6.0%0.0%21.4%1.2%3.2%
Term Structure5.4%0.1%9.6%6.9%1.3%
VWIV45.6%35.9%54.7%45.6%43.4%
Skew 25d6.9%4.4%13.2%7.4%7.6%
Skew 10d10.9%-3.0%33.0%6.4%-3.0%
Call IV 25d44.5%32.7%51.8%44.7%40.8%
Put IV 25d51.4%45.9%58.9%52.1%48.4%
Bid-Ask Spread %2.892.024.002.532.02
Gamma HHI0.410.210.540.410.53
Net GEX802.0K445.6K1.0M934.1K916.7K
Net DEX-49.2M-62.5M-42.7M-60.2M-44.5M
Net VEX-342.4K-388.6K-303.8K-382.9K-305.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.231.330.520.63
Total Volume5,835.2732,16610,7469,8942,166
Total OI298,372.364253,554324,510317,100261,648

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$9.47$8.3342.6%12.2%48.5%2.1%45.6%7.4%6.9%934.1K-60.2M-382.9K0.522.53N/AN/A6,5043,390207,888109,212
2009-12-02$9.47$8.3345.1%12.9%48.4%3.7%45.6%4.9%5.0%962.5K-62.5M-388.6K1.012.64N/AN/A2,4602,478210,072110,124
2009-12-03$9.13$8.3356.4%16.2%49.1%10.5%52.7%5.4%0.1%780.1K-51.2M-368.6K0.404.00N/AN/A7,1942,910210,198110,874
2009-12-04$9.43$6.6745.2%14.2%47.2%3.7%52.3%7.3%7.4%1.0M-57.7M-380.2K0.412.70N/AN/A3,3361,380210,576109,914
2009-12-07$9.18$6.6745.7%14.3%48.1%4.0%52.9%8.2%5.5%876.0K-51.6M-378.2K0.382.75N/AN/A2,604984211,434110,832
2009-12-08$9.05$6.6755.1%15.8%41.6%9.8%54.7%7.1%3.4%786.9K-47.9M-368.8K0.963.95N/AN/A3,3483,222211,692111,024
2009-12-09$9.10$6.6753.7%15.5%41.7%8.9%52.6%6.0%6.2%784.6K-47.4M-353.4K0.373.30N/AN/A3,1261,170211,062111,282
2009-12-10$9.08$8.3353.5%15.3%40.5%8.8%50.8%5.6%5.0%747.8K-47.5M-365.1K0.532.42N/AN/A1,686900211,170111,642
2009-12-11$9.20$8.3345.6%13.1%39.4%4.0%48.6%5.5%7.7%808.5K-50.3M-361.0K0.632.98N/AN/A3,7562,376211,236111,864
2009-12-14$9.35$8.3344.6%12.8%39.9%3.4%47.2%4.8%7.7%1.0M-54.5M-344.5K0.293.90N/AN/A4,1341,200211,302111,678
2009-12-15$9.10$8.3352.0%14.9%40.0%7.9%48.7%8.4%5.5%624.5K-45.8M-332.0K1.332.97N/AN/A2,9703,954212,016111,942
2009-12-16$9.22$8.3343.4%12.4%40.3%2.6%45.9%5.8%9.6%763.8K-48.0M-329.9K0.703.80N/AN/A2,9162,052210,084112,932
2009-12-17$8.93$8.3347.8%13.7%41.0%5.3%46.5%5.4%9.4%445.6K-42.7M-318.5K0.752.72N/AN/A3,8942,928210,054112,998
2009-12-18$9.18$8.3342.3%12.1%40.8%2.0%43.6%4.4%7.8%492.6K-46.2M-336.6K0.234.00N/AN/A7,6201,728210,258114,252
2009-12-21$9.40$8.3339.5%11.3%41.6%0.3%41.8%5.7%4.9%608.3K-49.0M-328.9K0.592.47N/AN/A6,7563,990170,66483,562
2009-12-22$9.47$8.3336.4%10.4%40.7%0.0%38.0%9.2%6.3%723.3K-45.5M-322.5K0.452.09N/AN/A5,1062,304169,39284,162
2009-12-23$9.43$8.3336.8%10.5%40.5%0.2%38.4%7.7%5.9%767.7K-44.6M-323.2K0.502.51N/AN/A4,7642,376170,04084,348
2009-12-24$9.57$8.3335.4%10.1%40.8%0.0%35.9%13.2%5.7%827.4K-47.2M-316.5K0.392.61N/AN/A3,6841,446170,62284,318
2009-12-28$9.57$8.3338.1%10.9%35.3%1.6%38.1%7.1%3.7%900.5K-47.1M-312.6K0.432.34N/AN/A2,5621,098173,01684,114
2009-12-29$9.50$8.3339.2%11.2%31.0%2.3%38.3%5.7%1.9%911.2K-46.0M-303.8K0.342.71N/AN/A1,962672174,40284,114
2009-12-30$9.48$8.3338.0%10.9%30.9%1.6%41.2%8.2%2.9%946.2K-45.5M-312.3K0.362.24N/AN/A2,406864175,58484,594
2009-12-31$9.38$8.3340.8%11.7%31.2%3.2%43.4%7.6%1.3%916.7K-44.5M-305.1K0.632.02N/AN/A1,326840176,65884,990