UYG Options History — January 2010

In January 2010, UYG traded between $8.92 and $10.33. ATM implied volatility averaged 45.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 11.3% (HV 20d: 33.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2010-01-15: Highest Volume — 20,160 contracts
  • 2010-01-22: Largest IV spike — 42.6% change
  • 2010-01-22: Highest IV Rank — 15.1%
  • 2010-01-22: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.78$8.92$10.33$9.72$9.05
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV45.3%35.4%60.8%40.1%57.2%
Expected Move12.8%10.1%17.4%11.6%16.4%
HV 20d33.9%27.2%44.7%30.6%44.7%
HV 60d47.4%41.5%49.8%49.3%41.5%
IV Rank5.9%0.0%15.1%2.8%12.9%
IV Percentile13.0%0.0%41.3%3.2%37.7%
Term Structure2.1%-1.6%5.8%3.9%-0.1%
VWIV44.2%35.4%53.2%43.0%50.8%
Skew 25d8.1%4.0%14.6%6.3%10.5%
Skew 10d17.3%5.8%35.6%15.0%32.2%
Call IV 25d41.7%36.2%47.9%41.3%46.9%
Put IV 25d49.8%40.6%61.6%47.6%57.3%
Bid-Ask Spread %5.133.2210.474.275.25
Gamma HHI0.580.360.810.600.49
Net GEX1.2M590.7K2.8M1.1M736.5K
Net DEX-50.3M-75.4M-22.0M-52.1M-27.4M
Net VEX-314.4K-336.9K-298.9K-302.8K-325.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.292.290.420.52
Total Volume9,786.9473,37820,1605,4303,378
Total OI244,956.316190,020290,796262,008225,804

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$9.72$10.0040.1%11.6%30.6%2.8%43.0%6.3%3.9%1.1M-52.1M-302.8K0.424.27N/AN/A3,8101,620176,90485,104
2010-01-05$9.92$10.0038.9%11.3%29.4%2.1%39.7%5.2%3.1%1.4M-58.7M-309.8K0.356.32N/AN/A4,9981,734178,62085,338
2010-01-06$9.97$10.0041.0%11.4%27.2%3.3%40.2%6.9%2.3%1.4M-60.2M-299.7K0.293.22N/AN/A5,7421,668180,12685,602
2010-01-07$10.33$10.0045.8%12.3%28.5%6.2%43.2%6.8%0.3%1.4M-74.8M-310.4K0.293.79N/AN/A12,8763,732183,18086,004
2010-01-08$10.25$10.0043.2%12.0%29.0%4.7%42.0%7.2%1.9%1.6M-72.2M-318.5K1.504.14N/AN/A2,7364,104186,13286,760
2010-01-11$10.27$10.0046.2%11.9%28.9%6.4%45.2%7.7%0.7%1.7M-73.3M-298.9K0.404.35N/AN/A5,9222,358186,58287,420
2010-01-12$10.00$10.0042.8%11.9%31.0%4.4%41.6%5.9%1.0%2.1M-63.6M-307.2K0.656.25N/AN/A4,2422,742188,67688,680
2010-01-13$10.22$10.0045.3%12.0%31.3%5.9%42.0%5.5%2.1%1.9M-72.6M-306.6K0.614.52N/AN/A3,9602,406188,48490,120
2010-01-14$10.32$10.0042.5%12.2%29.0%4.3%43.3%8.1%1.7%1.6M-75.4M-305.5K2.294.46N/AN/A5,80813,326189,09090,858
2010-01-15$9.98$10.0039.3%11.3%32.0%2.3%39.2%6.6%3.8%2.8M-56.8M-315.6K0.635.18N/AN/A12,3907,770190,272100,524
2010-01-19$10.20$10.0036.4%10.4%29.7%0.6%36.4%4.9%5.8%675.7K-45.3M-307.0K0.433.91N/AN/A11,6525,034135,09054,930
2010-01-20$10.17$10.0035.4%10.1%28.9%0.0%35.4%4.0%4.7%919.5K-47.8M-317.1K0.594.80N/AN/A3,1801,866144,37258,002
2010-01-21$9.68$10.0042.6%12.2%33.7%4.3%43.1%6.1%1.3%817.3K-38.3M-318.4K0.713.53N/AN/A7,8305,556146,26858,632
2010-01-22$9.12$10.0060.8%17.4%40.1%15.1%53.2%13.7%-1.6%630.2K-27.8M-324.6K0.875.43N/AN/A9,9668,688148,94461,278
2010-01-25$9.20$10.0046.4%13.3%40.3%6.6%52.3%9.7%3.5%694.0K-28.3M-325.5K0.737.64N/AN/A4,0262,934153,13265,982
2010-01-26$8.92$10.0056.2%16.1%41.2%12.4%46.7%13.2%0.9%590.7K-22.0M-311.9K0.3310.47N/AN/A4,3201,422154,46466,840
2010-01-27$9.30$10.0043.5%12.5%44.3%4.8%52.8%14.6%4.8%777.8K-30.2M-336.9K0.355.22N/AN/A5,4661,920155,83866,804
2010-01-28$9.17$10.0056.3%16.1%44.5%12.4%49.9%11.7%-1.1%754.1K-28.8M-332.1K0.484.69N/AN/A3,2281,542156,81066,504
2010-01-29$9.05$10.0057.2%16.4%44.7%12.9%50.8%10.5%-0.1%736.5K-27.4M-325.5K0.525.25N/AN/A2,2261,152159,08466,720