UYG Options History — August 2010

In August 2010, UYG traded between $7.93 and $9.83. ATM implied volatility averaged 51.9%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 6.5% (HV 20d: 45.4%). Max pain ranged from $8.67 to $9.33. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2010-08-20: Highest Volume — 79,008 contracts
2010-08-11: Largest IV spike — 18.1% change
2010-08-19: Highest IV Rank — 39.2%
2010-08-19: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.76	$7.93	$9.83	$9.83	$8.04
Max Pain	$9.18	$8.67	$9.33	$9.33	$8.67
ATM IV	51.9%	42.9%	56.8%	48.7%	54.3%
Expected Move	15.0%	12.9%	16.3%	14.0%	15.6%
HV 20d	45.4%	36.4%	58.8%	57.9%	38.4%
HV 60d	58.7%	50.7%	66.6%	66.6%	50.7%
IV Rank	31.3%	16.5%	39.2%	26.0%	35.1%
IV Percentile	52.0%	24.2%	69.4%	40.1%	60.3%
Term Structure	6.3%	4.1%	9.2%	4.1%	5.9%
VWIV	53.5%	45.4%	59.0%	49.8%	53.2%
Skew 25d	9.9%	8.3%	12.6%	9.6%	9.8%
Skew 10d	19.7%	16.3%	25.5%	19.2%	21.3%
Call IV 25d	48.5%	41.9%	53.3%	44.7%	50.6%
Put IV 25d	58.4%	50.5%	63.4%	54.2%	60.4%
Bid-Ask Spread %	16.84	9.84	30.41	12.74	12.23
Gamma HHI	0.11	0.05	0.77	0.07	0.06
Net GEX	-24.4K	-4.7M	2.1M	1.6M	-489.6K
Net DEX	17.1M	-35.7M	59.8M	-35.7M	35.3M
Net VEX	-301.0K	-378.8K	-246.5K	-378.8K	-277.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.46	2.79	0.89	1.35
Total Volume	30,978.545	11,106	79,008	22,560	11,280
Total OI	350,132.455	235,038	431,616	343,440	316,596

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
2010-08-02	$9.83	$9.33	48.7%	14.0%	57.9%	26.0%	49.8%	9.6%	4.1%	1.6M	-35.7M	-378.8K	0.89	12.74	N/A	N/A	11,934	10,626	182,592	160,848
2010-08-03	$9.65	$9.33	46.7%	13.4%	58.8%	22.7%	48.5%	9.2%	5.5%	1.5M	-24.9M	-375.5K	0.79	17.30	N/A	N/A	8,568	6,780	187,860	165,282
2010-08-04	$9.70	$9.33	46.7%	13.4%	52.0%	22.7%	47.3%	8.3%	5.7%	1.8M	-29.8M	-369.4K	1.22	9.84	N/A	N/A	9,618	11,730	191,418	165,096
2010-08-05	$9.60	$9.33	44.8%	12.9%	52.1%	19.7%	45.4%	8.6%	5.3%	1.7M	-22.2M	-370.1K	0.67	11.03	N/A	N/A	6,660	4,446	195,336	167,694
2010-08-06	$9.49	$9.33	42.9%	13.7%	51.2%	16.5%	51.4%	9.7%	8.0%	1.6M	-14.5M	-351.6K	1.55	16.96	N/A	N/A	12,438	19,332	196,980	167,388
2010-08-09	$9.60	$9.33	45.5%	14.2%	51.3%	20.8%	49.0%	9.0%	6.2%	2.1M	-23.5M	-347.6K	0.81	21.86	N/A	N/A	12,180	9,834	197,592	165,516
2010-08-10	$9.43	$9.33	48.0%	14.3%	48.6%	24.9%	51.3%	8.7%	6.3%	1.7M	-12.9M	-334.6K	0.81	30.41	N/A	N/A	16,524	13,458	199,350	165,822
2010-08-11	$8.80	$9.33	56.7%	16.0%	54.2%	39.2%	57.4%	9.5%	5.9%	304.6K	21.7M	-307.1K	1.23	20.22	N/A	N/A	16,854	20,676	204,210	169,530
2010-08-12	$8.67	$9.33	56.6%	16.2%	54.3%	39.1%	59.0%	9.8%	5.4%	-18.0K	30.1M	-290.2K	2.79	19.79	N/A	N/A	9,726	27,102	206,292	171,102
2010-08-13	$8.62	$9.33	56.8%	16.3%	44.4%	39.2%	57.3%	9.8%	5.7%	-521.8K	35.7M	-291.6K	1.67	27.50	N/A	N/A	7,308	12,234	205,692	182,610
2010-08-16	$8.59	$9.33	56.1%	16.1%	44.4%	38.1%	55.8%	10.6%	6.2%	-1.0M	39.8M	-270.5K	0.46	19.36	N/A	N/A	24,144	11,166	205,218	186,978
2010-08-17	$8.74	$9.17	54.2%	15.5%	44.0%	35.1%	52.1%	9.7%	6.9%	-354.2K	29.9M	-271.3K	1.24	19.82	N/A	N/A	22,248	27,612	213,372	188,220
2010-08-18	$8.79	$9.33	51.0%	14.6%	42.2%	29.8%	53.8%	9.3%	8.0%	-547.5K	32.1M	-273.2K	0.94	16.99	N/A	N/A	17,352	16,224	219,714	200,394
2010-08-19	$8.41	$9.33	56.8%	16.3%	39.6%	39.2%	56.1%	10.0%	7.0%	-2.4M	58.5M	-258.3K	1.71	22.50	N/A	N/A	16,782	28,716	224,232	206,064
2010-08-20	$8.34	$9.17	53.7%	15.4%	38.9%	34.3%	58.1%	11.3%	9.2%	-4.7M	59.8M	-246.5K	2.34	16.47	N/A	N/A	23,664	55,344	226,416	205,200
2010-08-23	$8.23	$9.17	53.1%	15.2%	36.4%	33.2%	54.0%	11.5%	5.2%	-300.1K	27.0M	-247.7K	1.27	11.26	N/A	N/A	15,870	20,124	113,724	121,314
2010-08-24	$7.99	$9.17	55.8%	16.0%	37.0%	37.6%	58.4%	12.6%	6.0%	-453.9K	33.9M	-255.2K	1.48	20.38	N/A	N/A	12,030	17,808	120,732	134,802
2010-08-25	$8.05	$9.00	53.8%	15.4%	37.4%	34.4%	54.9%	11.5%	6.1%	-582.1K	34.9M	-263.8K	0.87	11.10	N/A	N/A	19,410	16,980	123,864	147,402
2010-08-26	$7.93	$8.83	56.1%	16.1%	37.3%	38.1%	56.1%	10.2%	6.1%	-554.5K	36.1M	-276.4K	0.65	10.21	N/A	N/A	17,772	11,598	133,314	155,952
2010-08-27	$8.24	$8.83	49.8%	14.3%	40.9%	27.8%	51.0%	8.9%	7.4%	-398.7K	28.5M	-287.1K	0.86	12.02	N/A	N/A	17,118	14,748	138,768	162,372
2010-08-30	$7.93	$8.67	54.7%	15.7%	37.6%	35.9%	57.6%	10.2%	5.9%	-546.3K	37.2M	-276.9K	1.31	10.60	N/A	N/A	6,726	8,784	145,146	164,910
2010-08-31	$8.04	$8.67	54.3%	15.6%	38.4%	35.1%	53.2%	9.8%	5.9%	-489.6K	35.3M	-277.7K	1.35	12.23	N/A	N/A	4,800	6,480	148,044	168,552