UYG Options History — June 2010

In June 2010, UYG traded between $8.32 and $9.71. ATM implied volatility averaged 61.2%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 12.0% (HV 20d: 73.2%). Max pain ranged from $8.83 to $10.83. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.38.

Notable Days

2010-06-18: Highest Volume — 37,014 contracts
2010-06-29: Largest IV spike — 20.5% change
2010-06-07: Highest IV Rank — 63.9%
2010-06-07: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.19	$8.32	$9.71	$9.13	$8.32
Max Pain	$9.56	$8.83	$10.83	$10.83	$9.50
ATM IV	61.2%	48.5%	77.6%	73.8%	62.6%
Expected Move	17.5%	13.9%	21.4%	21.1%	17.9%
HV 20d	73.2%	58.4%	85.5%	83.4%	59.0%
HV 60d	64.0%	59.7%	67.6%	59.7%	67.5%
IV Rank	40.5%	22.4%	63.9%	58.4%	42.5%
IV Percentile	70.7%	41.7%	96.4%	91.3%	79.0%
Term Structure	0.8%	-4.0%	4.6%	-2.0%	3.2%
VWIV	62.2%	49.1%	88.7%	78.0%	60.7%
Skew 25d	14.2%	10.2%	20.8%	13.3%	11.0%
Skew 10d	29.7%	21.1%	42.6%	22.3%	21.1%
Call IV 25d	54.9%	44.1%	68.3%	68.3%	58.2%
Put IV 25d	69.1%	54.7%	85.7%	81.6%	69.2%
Bid-Ask Spread %	18.06	11.22	41.98	41.98	12.13
Gamma HHI	0.07	0.04	0.41	0.05	0.05
Net GEX	-348.2K	-997.0K	94.6K	-315.9K	-272.1K
Net DEX	24.7M	3.8M	51.7M	36.0M	34.4M
Net VEX	-240.6K	-278.3K	-205.8K	-231.7K	-242.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.52	4.95	2.11	0.91
Total Volume	22,171.091	8,610	37,014	8,610	14,976
Total OI	266,466.818	173,310	355,812	239,622	246,216

Daily Data (22 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
2010-06-01	$9.13	$10.83	73.8%	21.1%	83.4%	58.4%	78.0%	13.3%	-2.0%	-315.9K	36.0M	-231.7K	2.11	41.98	N/A	N/A	2,766	5,844	114,996	124,626
2010-06-02	$9.63	$10.67	63.2%	18.1%	85.5%	43.3%	63.1%	16.3%	-1.2%	-258.7K	29.8M	-239.7K	0.71	16.35	N/A	N/A	8,460	6,042	116,718	128,136
2010-06-03	$9.57	$10.67	64.3%	18.4%	85.5%	44.9%	70.8%	16.6%	-0.9%	-233.3K	28.7M	-240.7K	2.31	19.42	N/A	N/A	4,848	11,184	120,288	128,922
2010-06-04	$8.79	$9.50	75.1%	21.2%	84.9%	60.3%	88.7%	20.8%	-4.0%	-510.1K	43.6M	-221.2K	4.95	20.40	N/A	N/A	4,860	24,060	122,424	133,086
2010-06-07	$8.50	$9.50	77.6%	21.4%	85.1%	63.9%	76.8%	19.4%	-3.7%	-840.8K	51.7M	-205.8K	0.85	25.23	N/A	N/A	7,548	6,438	122,136	146,250
2010-06-08	$8.77	$9.00	68.3%	19.6%	75.8%	50.6%	70.7%	19.2%	-1.1%	-849.2K	46.9M	-210.5K	1.67	17.27	N/A	N/A	13,380	22,404	125,262	150,552
2010-06-09	$8.67	$8.83	71.3%	20.9%	75.8%	55.0%	73.5%	19.9%	-2.8%	-997.0K	48.8M	-216.9K	0.95	12.78	N/A	N/A	12,180	11,610	132,504	162,630
2010-06-10	$9.22	$9.17	65.5%	18.8%	79.3%	46.6%	66.1%	19.0%	0.0%	-603.5K	30.9M	-238.4K	1.62	12.53	N/A	N/A	13,038	21,186	139,260	166,416
2010-06-11	$9.30	$9.17	61.8%	17.7%	79.2%	41.4%	64.3%	16.9%	1.7%	-487.5K	27.1M	-252.1K	1.14	14.60	N/A	N/A	4,056	4,626	147,282	176,490
2010-06-14	$9.23	$9.17	62.5%	17.9%	77.2%	42.3%	64.5%	15.8%	1.1%	-606.9K	29.9M	-240.5K	2.56	14.10	N/A	N/A	4,608	11,808	148,662	178,080
2010-06-15	$9.66	$9.17	56.5%	16.2%	79.3%	33.7%	57.4%	13.5%	1.4%	42.6K	8.6M	-239.9K	1.74	14.54	N/A	N/A	12,816	22,272	149,730	174,882
2010-06-16	$9.65	$9.33	57.4%	16.4%	76.7%	35.0%	56.2%	12.8%	0.2%	-130.7K	10.0M	-245.3K	1.56	14.87	N/A	N/A	7,728	12,036	151,302	177,576
2010-06-17	$9.63	$9.33	54.3%	15.6%	76.7%	30.7%	52.7%	10.8%	0.7%	-344.7K	13.3M	-238.1K	0.86	22.65	N/A	N/A	19,056	16,398	154,842	184,548
2010-06-18	$9.71	$9.33	48.5%	13.9%	68.4%	22.4%	49.1%	10.6%	3.6%	-934.6K	3.8M	-233.0K	1.17	33.16	N/A	N/A	17,088	19,926	166,104	189,708
2010-06-21	$9.67	$9.67	50.4%	14.4%	65.0%	25.1%	50.2%	11.2%	3.9%	-62.7K	5.2M	-238.6K	0.52	17.65	N/A	N/A	15,126	7,920	82,596	90,714
2010-06-22	$9.36	$9.67	54.2%	15.5%	63.5%	30.5%	52.6%	11.1%	3.0%	-19.8K	9.7M	-252.0K	1.04	11.38	N/A	N/A	11,202	11,622	94,968	97,134
2010-06-23	$9.29	$9.67	52.9%	15.2%	63.4%	28.6%	51.8%	10.2%	3.1%	-28.2K	12.4M	-259.6K	0.71	15.50	N/A	N/A	8,724	6,156	103,488	103,686
2010-06-24	$8.92	$9.67	56.8%	16.3%	65.0%	34.1%	55.5%	11.3%	3.4%	-124.3K	20.2M	-253.6K	0.78	13.81	N/A	N/A	14,976	11,664	107,040	106,878
2010-06-25	$9.36	$9.50	52.1%	14.9%	59.7%	27.5%	52.4%	11.2%	4.6%	94.6K	9.8M	-278.3K	0.67	20.27	N/A	N/A	10,686	7,146	112,884	111,366
2010-06-28	$9.20	$9.50	53.0%	15.2%	58.4%	28.9%	51.7%	10.6%	2.7%	42.5K	13.5M	-268.6K	0.58	11.22	N/A	N/A	10,026	5,820	118,362	114,696
2010-06-29	$8.53	$9.50	63.9%	18.3%	62.4%	44.4%	62.2%	12.0%	1.4%	-220.1K	30.1M	-246.6K	0.91	15.41	N/A	N/A	12,282	11,172	121,014	117,816
2010-06-30	$8.32	$9.50	62.6%	17.9%	59.0%	42.5%	60.7%	11.0%	3.2%	-272.1K	34.4M	-242.8K	0.91	12.13	N/A	N/A	7,824	7,152	124,668	121,548