UYG Options History — July 2010

In July 2010, UYG traded between $8.03 and $9.65. ATM implied volatility averaged 55.8%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 3.9% (HV 20d: 59.6%). Max pain ranged from $8.67 to $9.67. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2010-07-15: Highest Volume — 88,464 contracts
2010-07-12: Largest IV spike — 17.0% change
2010-07-14: Highest IV Rank — 51.5%
2010-07-06: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.01	$8.03	$9.65	$8.20	$9.40
Max Pain	$9.26	$8.67	$9.67	$9.50	$9.33
ATM IV	55.8%	50.3%	64.2%	63.3%	50.3%
Expected Move	16.1%	14.4%	18.9%	18.2%	14.4%
HV 20d	59.6%	50.8%	68.1%	59.0%	57.5%
HV 60d	69.1%	67.2%	70.5%	67.3%	68.3%
IV Rank	36.1%	28.6%	51.5%	43.5%	28.6%
IV Percentile	60.7%	41.7%	85.3%	81.7%	41.7%
Term Structure	1.8%	-2.2%	6.2%	3.3%	5.0%
VWIV	56.1%	51.3%	64.0%	63.9%	51.3%
Skew 25d	10.6%	7.8%	14.4%	14.4%	8.6%
Skew 10d	21.9%	15.3%	31.3%	31.3%	15.3%
Call IV 25d	51.2%	45.6%	59.2%	57.1%	46.3%
Put IV 25d	61.8%	54.9%	71.5%	71.5%	54.9%
Bid-Ask Spread %	17.56	10.74	23.50	11.45	20.08
Gamma HHI	0.06	0.04	0.10	0.05	0.06
Net GEX	390.5K	-394.2K	1.8M	-323.3K	1.1M
Net DEX	9.5M	-18.8M	48.5M	37.8M	-14.0M
Net VEX	-297.1K	-374.7K	-226.4K	-236.2K	-374.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.36	2.12	1.08	0.70
Total Volume	36,242.571	11,310	88,464	30,366	11,310
Total OI	302,288.571	224,304	402,762	250,464	340,698

Daily Data (21 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
2010-07-01	$8.20	$9.50	63.3%	18.2%	59.0%	43.5%	63.9%	14.4%	3.3%	-323.3K	37.8M	-236.2K	1.08	11.45	N/A	N/A	14,622	15,744	126,468	123,996
2010-07-02	$8.03	$9.33	58.2%	16.7%	51.9%	36.2%	54.7%	11.8%	6.2%	-394.2K	42.7M	-230.1K	0.42	13.97	N/A	N/A	19,956	8,358	133,302	132,408
2010-07-06	$8.06	$8.67	63.7%	18.9%	50.8%	44.0%	64.0%	12.3%	0.4%	-222.0K	39.1M	-226.4K	1.45	10.74	N/A	N/A	15,900	23,124	142,050	132,696
2010-07-07	$8.76	$9.00	54.4%	16.7%	58.1%	30.7%	59.6%	11.4%	1.1%	3.8K	22.5M	-260.3K	1.38	13.91	N/A	N/A	9,762	13,428	146,202	140,958
2010-07-08	$8.89	$9.00	53.8%	16.8%	58.2%	29.9%	59.2%	10.7%	0.2%	130.5K	17.1M	-272.1K	1.48	17.11	N/A	N/A	17,976	26,658	150,324	146,178
2010-07-09	$9.19	$9.17	53.8%	16.4%	54.9%	29.9%	57.6%	9.6%	-0.1%	240.3K	5.6M	-288.6K	1.26	17.18	N/A	N/A	11,814	14,862	153,192	159,204
2010-07-12	$9.18	$9.33	62.9%	16.6%	54.9%	49.3%	60.2%	7.8%	-0.2%	300.4K	5.5M	-285.6K	0.98	16.80	N/A	N/A	19,374	18,930	155,226	165,090
2010-07-13	$9.65	$9.33	57.7%	16.4%	57.5%	40.8%	57.1%	8.6%	-1.5%	1.2M	-18.8M	-300.7K	0.53	19.77	N/A	N/A	37,356	19,662	165,360	174,552
2010-07-14	$9.50	$9.67	64.2%	17.2%	55.5%	51.5%	61.6%	10.0%	-2.2%	1.8M	-13.6M	-310.4K	1.14	18.06	N/A	N/A	26,880	30,666	185,124	180,420
2010-07-15	$9.45	$9.50	55.6%	15.9%	55.6%	37.3%	53.8%	10.4%	-0.7%	1.5M	-8.7M	-305.6K	0.86	21.73	N/A	N/A	47,574	40,890	191,748	190,518
2010-07-16	$8.65	$9.50	57.3%	16.4%	63.6%	40.1%	55.4%	12.2%	1.9%	878	48.5M	-269.4K	0.94	23.50	N/A	N/A	36,000	33,702	206,424	196,338
2010-07-19	$8.65	$9.50	54.6%	15.6%	63.5%	35.7%	55.8%	12.9%	2.6%	-130.6K	21.6M	-258.7K	0.75	16.17	N/A	N/A	20,208	15,138	110,574	113,730
2010-07-20	$8.85	$9.17	50.6%	14.5%	64.3%	29.2%	57.8%	12.9%	2.8%	-8.9K	18.0M	-273.6K	2.12	16.56	N/A	N/A	6,426	13,638	119,550	118,956
2010-07-21	$8.55	$9.17	54.6%	15.7%	64.4%	35.7%	51.7%	11.3%	2.3%	-146.1K	23.1M	-272.0K	0.67	18.76	N/A	N/A	7,836	5,256	123,066	126,462
2010-07-22	$9.07	$9.17	53.2%	15.2%	68.1%	33.4%	52.5%	10.6%	1.5%	81.2K	11.1M	-292.9K	0.94	18.24	N/A	N/A	19,230	18,078	124,590	129,054
2010-07-23	$9.22	$9.17	52.1%	14.9%	66.7%	31.7%	52.6%	9.5%	2.5%	198.9K	5.8M	-315.4K	0.72	19.95	N/A	N/A	33,012	23,814	132,810	137,760
2010-07-26	$9.52	$9.17	52.6%	15.1%	65.5%	32.5%	51.4%	9.9%	1.5%	568.6K	-10.2M	-351.4K	0.36	20.03	N/A	N/A	20,784	7,536	150,828	149,142
2010-07-27	$9.56	$9.17	52.1%	14.9%	65.1%	31.6%	52.8%	9.0%	2.8%	827.8K	-16.0M	-372.5K	1.00	15.49	N/A	N/A	9,864	9,864	163,092	152,790
2010-07-28	$9.40	$9.33	54.1%	15.5%	58.9%	34.9%	52.3%	9.2%	3.5%	674.5K	-8.2M	-370.9K	0.41	18.69	N/A	N/A	11,676	4,788	167,838	157,986
2010-07-29	$9.41	$9.33	52.0%	14.9%	57.9%	31.4%	51.6%	9.2%	4.5%	827.3K	-9.9M	-371.4K	0.55	20.56	N/A	N/A	12,522	6,876	172,548	158,808
2010-07-30	$9.40	$9.33	50.3%	14.4%	57.5%	28.6%	51.3%	8.6%	5.0%	1.1M	-14.0M	-374.7K	0.70	20.08	N/A	N/A	6,648	4,662	181,194	159,504