UYG Options History — April 2010

In April 2010, UYG traded between $11.50 and $12.92. ATM implied volatility averaged 42.6%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 10.1% (HV 20d: 32.5%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-04-30: Highest Volume — 40,272 contracts
  • 2010-04-16: Largest IV spike — 24.1% change
  • 2010-04-27: Highest IV Rank — 21.5%
  • 2010-04-27: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.14$11.50$12.92$11.50$11.71
Max Pain$11.74$10.00$12.00$10.00$12.00
ATM IV42.6%33.1%54.5%33.8%54.3%
Expected Move12.3%9.7%15.6%9.7%15.6%
HV 20d32.5%18.8%53.5%21.1%53.5%
HV 60d38.4%36.8%41.3%37.8%41.3%
IV Rank9.7%0.3%21.5%0.9%21.3%
IV Percentile24.3%1.2%54.0%2.0%53.6%
Term Structure1.1%-1.6%3.7%2.3%0.2%
VWIV43.9%34.2%55.2%34.2%55.2%
Skew 25d9.2%5.0%14.2%5.0%14.2%
Skew 10d20.1%6.2%31.8%6.2%27.3%
Call IV 25d39.6%33.1%50.6%37.9%47.9%
Put IV 25d48.8%41.9%62.1%42.9%62.1%
Bid-Ask Spread %5.451.9810.653.3610.65
Gamma HHI0.220.070.440.370.07
Net GEX554.5K-1.4K1.1M930.4K214.8K
Net DEX-37.3M-99.7M4.4M-60.8M3.1M
Net VEX-215.5K-369.5K0-360.1K-171.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.201.420.200.96
Total Volume16,222.84,49440,2724,49440,272
Total OI152,792.70241,386223,608149,934

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$11.50$10.0033.8%9.7%21.1%0.9%34.2%5.0%2.3%930.4K-60.8M-360.1K0.203.36N/AN/A3,762732151,06872,540
2010-04-05$11.77$11.6733.1%10.1%18.8%0.3%40.0%9.2%3.0%1.1M-68.9M-343.1K0.362.18N/AN/A7,6262,724152,62872,990
2010-04-06$12.02$11.6734.1%10.2%19.4%1.2%35.9%8.8%3.7%1.1M-75.2M-354.5K0.391.98N/AN/A6,9362,718154,05673,488
2010-04-07$11.88$11.6733.9%11.0%20.5%1.1%38.1%7.2%2.9%1.1M-73.3M-357.6K0.822.32N/AN/A6,3605,202155,73675,126
2010-04-08$12.08$11.6734.5%11.4%20.2%1.6%38.5%7.2%1.9%1.1M-78.2M-355.2K0.443.19N/AN/A4,6202,046155,73675,126
2010-04-09$12.17$11.6738.1%11.4%19.8%5.2%38.8%7.2%1.4%1.0M-78.9M-369.5K0.772.78N/AN/A3,2762,538158,67676,920
2010-04-12$12.27$11.6743.8%11.6%19.3%10.8%41.2%6.8%0.2%1.0M-83.3M-349.3K0.752.06N/AN/A3,0242,262159,67878,048
2010-04-13$12.30$11.6747.8%11.8%19.2%14.8%40.4%6.8%-0.6%999.2K-85.5M-343.7K0.402.69N/AN/A3,3841,368160,59078,936
2010-04-14$12.92$11.6737.6%10.6%23.6%4.7%39.3%7.8%0.0%1.1M-99.7M-352.0K0.412.71N/AN/A14,6346,030161,71879,668
2010-04-16$11.94$0.0046.6%13.4%38.2%13.6%52.2%8.8%-0.0%0001.348.87N/AN/A14,99420,11800
2010-04-19$12.14$11.6745.1%12.9%38.2%12.1%47.9%10.3%0.6%49.2K-2.9M-31.0K1.4210.61N/AN/A13,17018,68413,96216,740
2010-04-20$12.45$12.0041.4%11.9%38.2%8.4%41.6%12.9%1.3%-1.4K-4.4M-70.4K0.726.30N/AN/A10,4887,56624,86432,628
2010-04-21$12.38$12.0042.9%12.3%38.3%9.9%43.7%11.3%1.5%82.4K-5.0M-86.7K1.426.73N/AN/A7,20610,23632,55037,476
2010-04-22$12.56$12.0043.3%12.4%38.4%10.3%44.6%10.4%1.8%130.4K-8.6M-102.8K0.696.44N/AN/A9,9846,85237,28445,600
2010-04-23$12.68$12.0043.0%12.3%38.3%10.1%44.9%9.7%1.5%271.6K-13.0M-117.5K0.366.92N/AN/A5,2681,91445,21050,430
2010-04-26$12.29$12.0046.2%13.2%40.6%13.2%47.9%11.2%0.2%266.9K-7.2M-119.3K1.096.55N/AN/A5,2805,74848,81651,984
2010-04-27$11.53$12.0054.5%15.6%47.1%21.5%54.5%10.0%-1.6%82.7K4.4M-116.1K1.099.14N/AN/A14,06415,28253,04656,160
2010-04-28$11.78$12.0051.0%14.6%47.7%18.0%50.3%9.0%1.6%108.5K2.1M-145.8K0.738.69N/AN/A12,3489,00061,13466,162
2010-04-29$12.33$12.0047.8%13.7%49.8%14.8%48.7%10.1%-0.2%413.6K-10.2M-164.4K0.584.82N/AN/A10,6266,11467,12272,024
2010-04-30$11.71$12.0054.3%15.6%53.5%21.3%55.2%14.2%0.2%214.8K3.1M-171.1K0.9610.65N/AN/A20,59219,68073,96875,966