UYG Options History — May 2010

In May 2010, UYG traded between $9.00 and $12.11. ATM implied volatility averaged 67.7%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 5.1% (HV 20d: 72.8%). Max pain ranged from $10.83 to $12.33. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2010-05-06: Highest Volume — 75,594 contracts
  • 2010-05-06: Largest IV spike — 31.7% change
  • 2010-05-20: Highest IV Rank — 87.0%
  • 2010-05-20: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.34$9.00$12.11$12.11$9.55
Max Pain$11.86$10.83$12.33$12.00$10.83
ATM IV67.7%48.4%93.8%48.4%63.8%
Expected Move19.5%13.9%26.9%13.9%18.3%
HV 20d72.8%54.5%84.9%54.5%84.2%
HV 60d49.4%38.8%59.1%41.4%59.1%
IV Rank43.3%15.4%87.0%15.4%44.2%
IV Percentile77.8%41.3%99.6%41.3%79.4%
Term Structure-2.9%-12.0%1.7%0.9%0.4%
VWIV70.1%47.8%95.2%47.8%63.6%
Skew 25d17.9%7.9%25.6%10.9%12.8%
Skew 10d38.0%21.7%60.7%21.7%24.7%
Call IV 25d60.9%44.0%82.7%44.0%58.8%
Put IV 25d78.8%55.0%108.2%55.0%71.6%
Bid-Ask Spread %27.818.8545.668.8536.13
Gamma HHI0.100.040.190.090.04
Net GEX-222.3K-1.2M624.0K624.0K-212.9K
Net DEX31.3M-8.1M68.7M-8.1M28.4M
Net VEX-229.0K-283.9K-184.8K-184.8K-247.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.533.050.670.78
Total Volume32,1366,93075,59424,39011,256
Total OI256,764.3178,116343,578178,116233,664

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$12.11$12.0048.4%13.9%54.5%15.4%47.8%10.9%0.9%624.0K-8.1M-184.8K0.678.85N/AN/A14,6169,77486,87491,242
2010-05-04$11.51$12.0057.1%16.4%57.1%24.0%58.6%12.0%-1.6%292.1K9.4M-186.9K1.2014.56N/AN/A11,46613,79497,06296,900
2010-05-05$11.38$12.0059.4%17.0%56.6%26.3%67.9%14.1%-1.1%323.9K11.1M-189.7K3.0513.49N/AN/A13,75241,970103,04498,718
2010-05-06$10.40$11.8378.3%22.4%64.5%45.0%75.6%7.9%-7.5%-585.8K36.4M-191.4K1.7533.51N/AN/A27,49248,102104,352121,242
2010-05-07$10.14$12.3386.6%23.7%64.2%53.3%78.9%17.9%-4.9%-719.6K45.9M-242.2K0.9518.98N/AN/A29,47827,948115,542146,706
2010-05-10$11.25$12.3359.7%17.7%75.5%26.6%61.3%19.5%1.7%4.3K18.8M-273.2K0.7023.85N/AN/A26,95218,840126,894143,238
2010-05-11$11.17$12.3360.2%17.9%75.4%27.1%65.6%16.8%-1.5%192.7K16.6M-273.1K1.2924.45N/AN/A8,84411,448137,142144,498
2010-05-12$11.45$12.1750.9%15.7%76.1%17.9%65.2%16.8%-0.7%489.5K9.2M-283.9K0.7030.09N/AN/A9,7566,816142,242145,812
2010-05-13$11.11$12.1761.1%17.5%74.0%28.0%67.5%14.0%-3.9%258.6K19.1M-267.8K0.8715.98N/AN/A7,4286,474145,068143,640
2010-05-14$10.50$12.1765.3%18.7%71.6%32.1%65.7%16.2%-4.9%-472.3K41.9M-248.9K1.0417.83N/AN/A18,24619,062148,608147,192
2010-05-17$10.49$12.0065.2%18.7%71.2%46.3%66.2%18.6%-4.4%-531.9K42.5M-236.1K0.9231.91N/AN/A13,46412,426157,224145,458
2010-05-18$9.90$12.0076.2%21.9%72.2%61.9%74.3%21.8%-9.1%-787.0K51.3M-232.5K0.6732.42N/AN/A14,5809,708165,894149,070
2010-05-19$9.89$11.8372.8%20.9%72.3%57.0%78.4%23.7%-5.4%-1.1M54.4M-228.4K2.2035.14N/AN/A12,96028,554170,934151,938
2010-05-20$9.00$11.8393.8%26.9%77.3%87.0%95.2%25.6%-12.0%-1.2M68.7M-216.6K1.3936.71N/AN/A15,35421,342174,270156,174
2010-05-21$9.57$11.6777.6%22.2%81.7%63.9%82.3%25.4%-2.8%125.1K56.7M-222.5K1.7845.12N/AN/A17,66431,506182,592160,986
2010-05-24$9.10$11.6777.3%22.2%82.5%63.5%77.5%25.0%-0.5%-305.7K33.5M-203.7K0.5328.65N/AN/A4,5362,39486,91698,934
2010-05-25$9.21$11.6773.2%21.0%80.9%57.6%79.5%23.9%-1.5%-333.9K34.2M-201.5K2.1445.66N/AN/A8,58018,39690,10899,924
2010-05-26$9.12$11.5068.4%19.6%80.0%50.7%68.6%18.8%-0.3%-369.0K34.3M-211.5K1.1836.17N/AN/A11,63413,73496,258108,762
2010-05-27$9.93$10.8359.4%17.0%84.9%37.9%61.5%16.3%0.3%-123.1K22.6M-238.6K1.2726.61N/AN/A9,86412,510105,816114,348
2010-05-28$9.55$10.8363.8%18.3%84.2%44.2%63.6%12.8%0.4%-212.9K28.4M-247.7K0.7836.13N/AN/A6,3184,938111,816121,848