UYG Options History — February 2010

In February 2010, UYG traded between $8.40 and $9.62. ATM implied volatility averaged 43.8%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 6.1% (HV 20d: 49.9%). Max pain ranged from $8.33 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.77.

Notable Days

  • 2010-02-05: Highest Volume — 17,880 contracts
  • 2010-02-04: Largest IV spike — 38.8% change
  • 2010-02-04: Highest IV Rank — 12.6%
  • 2010-02-09: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.10$8.40$9.62$9.30$9.62
Max Pain$8.68$8.33$10.00$10.00$8.33
ATM IV43.8%33.9%56.5%40.2%33.9%
Expected Move13.0%9.7%16.9%11.5%9.7%
HV 20d49.9%44.3%54.1%45.8%45.4%
HV 60d42.1%40.2%44.0%41.8%40.2%
IV Rank5.1%0.0%12.6%2.9%0.0%
IV Percentile13.8%0.0%37.3%5.2%0.0%
Term Structure1.6%-3.2%5.5%5.5%4.0%
VWIV45.8%34.4%58.1%42.1%36.0%
Skew 25d10.7%-9.0%16.9%14.2%8.4%
Skew 10d22.7%-16.7%40.4%35.1%-6.4%
Call IV 25d43.5%31.2%58.6%39.8%39.7%
Put IV 25d54.2%45.3%68.3%54.0%48.1%
Bid-Ask Spread %4.742.7713.725.114.93
Gamma HHI0.380.200.610.550.58
Net GEX579.0K317.4K1.1M918.3K960.2K
Net DEX-25.1M-34.9M-13.3M-31.1M-32.8M
Net VEX-316.1K-335.2K-289.0K-335.2K-324.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.242.100.460.24
Total Volume6,8401,84817,8804,4287,428
Total OI232,161.158204,798249,168226,998218,844

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$9.30$10.0040.2%11.5%45.8%2.9%42.1%14.2%5.5%918.3K-31.1M-335.2K0.465.11N/AN/A3,0241,404160,00266,996
2010-02-02$9.48$10.0039.3%11.3%44.5%2.3%40.0%13.4%4.2%1.1M-34.9M-324.8K0.526.43N/AN/A3,3721,770160,95667,278
2010-02-03$9.28$10.0040.7%11.7%44.3%3.2%45.3%8.7%2.5%954.1K-29.5M-319.8K0.514.36N/AN/A1,224624161,68867,872
2010-02-04$8.53$10.0056.5%16.2%52.6%12.6%55.9%-9.0%1.8%436.3K-15.1M-289.0K1.025.53N/AN/A4,5904,674161,74867,836
2010-02-05$8.72$8.3351.7%16.5%51.2%9.7%54.6%16.8%-0.0%475.7K-17.5M-316.4K0.705.69N/AN/A10,5007,380163,24869,258
2010-02-08$8.40$8.3353.5%16.7%52.2%10.8%56.2%13.0%-1.7%317.4K-13.3M-299.2K2.103.96N/AN/A3,0066,312165,19870,680
2010-02-09$8.53$8.3351.8%16.9%52.8%9.8%58.1%11.9%-3.2%323.9K-14.2M-316.0K0.6113.72N/AN/A3,6542,226166,09874,370
2010-02-10$8.68$8.3346.4%15.8%53.2%6.5%53.0%13.3%-1.0%356.6K-17.2M-323.8K0.323.94N/AN/A2,472786166,99275,300
2010-02-11$8.72$8.3352.8%15.1%52.3%10.4%52.6%10.8%1.6%332.8K-16.8M-312.4K0.403.59N/AN/A2,9761,176167,08875,600
2010-02-12$8.75$8.3352.4%15.0%52.1%10.1%52.3%12.1%0.4%327.7K-18.1M-311.8K1.552.77N/AN/A1,7702,736168,72675,774
2010-02-16$9.12$8.3351.2%14.7%54.1%9.4%44.8%10.5%-0.8%359.5K-24.1M-309.6K0.484.16N/AN/A4,1461,992169,45276,956
2010-02-17$9.20$8.3340.8%11.7%53.4%3.2%49.6%12.0%2.5%393.5K-25.6M-321.4K0.433.38N/AN/A4,7762,076169,49476,884
2010-02-18$9.30$8.3341.4%11.9%53.7%3.6%44.1%8.9%1.1%471.9K-27.2M-313.4K0.374.01N/AN/A3,9481,476170,26278,180
2010-02-19$9.37$8.3337.8%10.8%51.2%1.4%39.1%9.8%2.7%493.8K-28.3M-310.3K1.593.92N/AN/A4,8247,644170,88678,282
2010-02-22$9.57$8.3335.4%10.1%46.8%0.0%36.4%7.5%1.8%613.0K-34.4M-314.0K0.263.66N/AN/A9,0962,334138,04866,750
2010-02-23$9.27$8.3338.3%11.0%48.3%1.8%40.4%8.8%2.0%607.9K-29.3M-318.5K0.934.10N/AN/A3,2703,048143,20267,920
2010-02-24$9.55$8.3333.9%9.7%47.9%0.0%34.4%16.9%3.0%796.2K-34.6M-322.3K1.153.45N/AN/A2,3642,724145,57270,116
2010-02-25$9.52$8.3334.1%9.8%45.7%0.1%35.9%15.0%3.0%774.7K-32.5M-323.3K0.943.30N/AN/A1,6141,524145,97471,532
2010-02-26$9.62$8.3333.9%9.7%45.4%0.0%36.0%8.4%4.0%960.2K-32.8M-324.7K0.244.93N/AN/A5,9821,446146,35872,486