UYG Options History — March 2010

In March 2010, UYG traded between $9.67 and $11.43. ATM implied volatility averaged 36.5%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.0% (HV 20d: 27.4%). Max pain ranged from $8.33 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.51.

Notable Days

2010-03-17: Highest Volume — 18,366 contracts
2010-03-16: Largest IV drop — 20.0% change
2010-03-11: Highest IV Rank — 8.9%
2010-03-11: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.77	$9.67	$11.43	$9.67	$11.32
Max Pain	$9.71	$8.33	$10.00	$8.33	$10.00
ATM IV	36.5%	32.8%	45.2%	35.1%	33.8%
Expected Move	10.5%	9.4%	13.0%	10.1%	9.7%
HV 20d	27.4%	19.8%	45.1%	45.1%	21.1%
HV 60d	39.0%	37.8%	40.3%	40.2%	37.8%
IV Rank	2.4%	0.0%	8.9%	0.7%	0.9%
IV Percentile	5.5%	0.0%	19.8%	1.2%	2.0%
Term Structure	2.4%	-2.0%	5.3%	2.5%	4.3%
VWIV	37.3%	33.1%	41.8%	35.7%	34.3%
Skew 25d	9.6%	3.6%	19.1%	19.1%	8.3%
Skew 10d	18.1%	3.2%	31.6%	30.1%	7.8%
Call IV 25d	35.6%	28.5%	39.5%	31.4%	37.4%
Put IV 25d	45.3%	40.2%	50.5%	50.5%	45.7%
Bid-Ask Spread %	3.54	2.71	5.98	2.71	3.36
Gamma HHI	0.42	0.21	0.68	0.58	0.33
Net GEX	1.1M	628.0K	1.7M	974.0K	858.6K
Net DEX	-62.5M	-91.2M	-35.9M	-35.9M	-57.4M
Net VEX	-337.5K	-370.0K	-308.0K	-316.5K	-356.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.21	1.45	0.32	0.86
Total Volume	8,688.522	3,486	18,366	4,404	3,654
Total OI	234,698.609	203,922	265,482	221,628	222,576

Daily Data (23 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
2010-03-01	$9.67	$8.33	35.1%	10.1%	45.1%	0.7%	35.7%	19.1%	2.5%	974.0K	-35.9M	-316.5K	0.32	2.71	N/A	N/A	3,330	1,074	148,578	73,050
2010-03-02	$9.75	$8.33	34.7%	9.9%	44.2%	0.5%	34.9%	18.5%	4.3%	1.1M	-38.8M	-308.0K	0.25	3.53	N/A	N/A	4,662	1,164	150,132	73,542
2010-03-03	$9.73	$8.33	35.3%	10.1%	43.8%	0.8%	35.6%	16.0%	3.4%	1.2M	-39.0M	-313.5K	0.52	3.73	N/A	N/A	3,396	1,752	152,346	73,824
2010-03-04	$9.88	$8.33	33.0%	9.5%	43.2%	0.0%	33.1%	18.9%	4.6%	1.4M	-43.3M	-309.4K	0.59	3.38	N/A	N/A	6,450	3,792	154,284	74,796
2010-03-05	$10.27	$10.00	34.4%	10.6%	30.3%	0.9%	37.2%	10.7%	2.0%	1.5M	-55.6M	-330.7K	0.21	2.89	N/A	N/A	11,592	2,478	158,406	77,250
2010-03-08	$10.35	$10.00	35.8%	11.0%	29.9%	2.0%	39.4%	10.0%	0.8%	1.7M	-61.5M	-338.0K	0.34	2.86	N/A	N/A	6,564	2,232	163,662	77,958
2010-03-09	$10.40	$10.00	38.3%	11.2%	24.7%	3.7%	38.8%	8.2%	0.6%	1.6M	-63.5M	-330.7K	0.39	3.76	N/A	N/A	7,566	2,916	165,546	79,086
2010-03-10	$10.62	$10.00	41.8%	12.5%	24.9%	6.2%	40.4%	8.2%	-1.6%	1.4M	-71.1M	-333.8K	0.26	4.42	N/A	N/A	9,186	2,352	168,654	80,172
2010-03-11	$10.80	$10.00	45.2%	13.0%	24.9%	8.9%	41.3%	9.5%	-2.0%	1.3M	-77.3M	-337.8K	0.28	3.07	N/A	N/A	6,516	1,824	170,496	81,480
2010-03-12	$10.73	$10.00	44.6%	12.8%	25.5%	8.4%	41.0%	9.7%	-1.6%	1.3M	-78.3M	-331.9K	0.66	3.88	N/A	N/A	5,172	3,432	174,228	81,756
2010-03-15	$10.73	$10.00	44.6%	12.8%	25.7%	8.5%	41.8%	8.6%	-1.2%	1.3M	-76.8M	-326.8K	0.44	5.98	N/A	N/A	4,794	2,136	174,144	82,992
2010-03-16	$11.00	$10.00	35.7%	10.2%	23.6%	2.0%	38.2%	8.0%	0.8%	1.1M	-82.9M	-342.5K	0.34	4.55	N/A	N/A	4,776	1,632	174,384	83,808
2010-03-17	$11.25	$10.00	36.0%	10.3%	24.1%	2.2%	37.3%	8.3%	3.4%	1.0M	-91.2M	-338.2K	0.51	3.28	N/A	N/A	12,126	6,240	175,668	84,210
2010-03-18	$11.15	$10.00	36.2%	10.4%	25.0%	2.3%	40.1%	6.9%	2.4%	1.1M	-87.4M	-336.5K	0.51	3.64	N/A	N/A	4,818	2,442	179,784	85,698
2010-03-19	$10.98	$10.00	37.1%	10.6%	26.4%	3.0%	39.5%	5.4%	2.7%	628.0K	-80.7M	-335.4K	0.41	3.34	N/A	N/A	6,144	2,520	176,694	86,946
2010-03-22	$11.12	$10.00	32.9%	9.4%	26.0%	0.0%	39.4%	8.0%	4.1%	695.0K	-53.1M	-338.1K	1.45	2.95	N/A	N/A	3,138	4,560	139,866	64,056
2010-03-23	$11.27	$10.00	32.8%	9.4%	21.5%	0.0%	33.8%	5.5%	3.1%	679.6K	-56.4M	-332.6K	0.60	2.81	N/A	N/A	3,246	1,938	141,540	67,044
2010-03-24	$11.28	$10.00	34.8%	10.0%	20.3%	1.4%	37.4%	12.5%	3.3%	746.6K	-55.3M	-349.2K	0.83	3.21	N/A	N/A	4,680	3,912	142,038	67,332
2010-03-25	$11.37	$10.00	33.6%	9.6%	19.8%	0.6%	33.9%	3.6%	4.4%	721.9K	-58.7M	-357.8K	0.36	3.26	N/A	N/A	12,006	4,266	142,914	69,102
2010-03-26	$11.38	$10.00	34.4%	9.9%	20.0%	1.2%	35.4%	5.6%	5.3%	741.1K	-57.8M	-364.2K	0.43	3.48	N/A	N/A	8,964	3,894	145,950	70,800
2010-03-29	$11.43	$10.00	34.8%	10.0%	20.0%	1.5%	35.5%	4.4%	4.0%	763.8K	-58.3M	-370.0K	0.63	3.29	N/A	N/A	4,308	2,706	147,336	72,732
2010-03-30	$11.30	$10.00	33.7%	9.7%	21.2%	0.6%	34.5%	7.6%	5.1%	815.6K	-56.4M	-365.8K	0.54	3.90	N/A	N/A	2,262	1,224	149,316	71,892
2010-03-31	$11.32	$10.00	33.8%	9.7%	21.1%	0.9%	34.3%	8.3%	4.3%	858.6K	-57.4M	-356.1K	0.86	3.36	N/A	N/A	1,962	1,692	150,468	72,108