UYG Options History — September 2010

In September 2010, UYG traded between $8.62 and $9.63. ATM implied volatility averaged 48.3%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 0.1% (HV 20d: 48.1%). Max pain ranged from $8.50 to $9.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-09-13: Highest Volume — 59,400 contracts
  • 2010-09-07: Largest IV spike — 14.0% change
  • 2010-09-09: Highest IV Rank — 31.5%
  • 2010-09-07: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.13$8.62$9.63$8.62$9.06
Max Pain$9.12$8.50$9.33$8.67$9.17
ATM IV48.3%44.1%52.0%47.9%47.0%
Expected Move14.0%12.8%15.4%13.7%13.5%
HV 20d48.1%42.2%52.4%47.5%42.2%
HV 60d51.2%47.2%52.4%52.3%47.2%
IV Rank25.3%18.4%31.5%24.7%23.2%
IV Percentile41.3%27.4%51.6%39.3%39.3%
Term Structure3.5%0.1%6.3%6.3%5.2%
VWIV49.2%44.6%56.3%48.0%47.3%
Skew 25d9.3%5.9%10.8%9.8%5.9%
Skew 10d19.7%11.6%23.1%23.1%11.6%
Call IV 25d44.7%40.7%49.8%44.2%44.1%
Put IV 25d54.1%49.9%59.9%53.9%49.9%
Bid-Ask Spread %9.796.7712.6611.4710.74
Gamma HHI0.090.060.320.060.07
Net GEX1.2M19.6K3.3M19.6K713.0K
Net DEX-10.5M-41.0M13.7M13.7M-2.7M
Net VEX-336.0K-374.9K-297.3K-297.3K-370.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.281.780.860.83
Total Volume32,408.28610,62059,40053,30426,886
Total OI350,438.571225,282463,158321,054313,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$8.62$8.6747.9%13.7%47.5%24.7%48.0%9.8%6.3%19.6K13.7M-297.3K0.8611.47N/AN/A28,62624,678149,172171,882
2010-09-02$8.78$8.6746.6%13.4%48.2%22.6%47.4%9.4%5.4%236.2K6.4M-319.8K0.738.88N/AN/A15,75011,460162,372184,158
2010-09-03$9.13$8.5044.1%14.6%50.6%18.4%50.9%10.8%3.3%656.7K-12.6M-327.1K0.987.53N/AN/A27,33626,808167,490189,324
2010-09-07$8.75$9.1750.2%15.4%52.3%28.5%56.3%10.2%1.7%303.1K12.6M-315.9K0.549.77N/AN/A14,2927,686176,880205,134
2010-09-08$8.88$9.1751.6%15.3%52.4%30.9%56.1%10.1%0.1%608.2K5.8M-317.2K1.386.77N/AN/A12,61217,376180,426203,382
2010-09-09$9.03$9.1752.0%14.9%46.6%31.5%50.7%9.9%1.1%1.2M-7.2M-327.4K0.677.88N/AN/A15,99010,764186,390209,964
2010-09-10$9.07$9.1750.9%14.6%46.2%29.7%49.9%9.9%1.7%1.3M-10.0M-326.2K0.3311.34N/AN/A21,1087,050192,054212,148
2010-09-13$9.44$9.1748.4%13.9%47.9%25.5%49.1%9.9%2.9%2.4M-41.0M-314.2K0.807.65N/AN/A32,98226,418201,864211,824
2010-09-14$9.31$9.1748.4%13.9%48.3%25.6%49.2%8.8%3.2%2.8M-32.1M-330.0K0.748.95N/AN/A15,10811,166221,802221,436
2010-09-15$9.39$9.1749.1%14.1%48.1%26.7%48.8%8.7%3.0%2.8M-38.4M-332.1K0.6011.82N/AN/A26,28615,816221,040223,608
2010-09-16$9.32$9.3347.7%13.7%48.2%24.4%48.0%8.6%3.7%3.2M-33.5M-326.9K0.666.86N/AN/A9,6186,342230,958231,150
2010-09-17$9.26$9.3347.4%13.6%44.9%23.9%46.9%8.7%4.5%3.3M-25.2M-312.8K0.777.32N/AN/A28,89622,350231,714231,444
2010-09-20$9.63$9.3344.5%12.8%46.2%19.2%44.6%9.3%4.1%558.5K-16.5M-314.5K0.3811.18N/AN/A35,64013,584112,662112,620
2010-09-21$9.45$9.1747.4%13.6%46.6%23.9%48.3%9.7%2.9%826.0K-16.6M-346.4K1.0511.90N/AN/A15,94816,776132,312121,566
2010-09-22$9.17$9.3349.8%14.3%46.6%27.8%49.0%10.4%3.1%615.3K-5.6M-352.5K0.7010.20N/AN/A15,75011,052139,350129,138
2010-09-23$8.84$9.1751.0%14.6%49.1%29.9%51.7%10.3%3.8%456.8K5.1M-345.1K1.1011.71N/AN/A18,61220,496147,282131,772
2010-09-24$9.31$9.1746.9%13.4%51.2%23.0%45.4%9.5%3.9%793.1K-10.5M-374.9K0.2810.08N/AN/A17,5024,980150,450138,894
2010-09-27$9.12$9.1748.8%14.0%50.8%26.2%48.9%9.7%3.6%788.3K-5.7M-368.0K1.1911.16N/AN/A4,8605,760157,896139,842
2010-09-28$9.17$9.1746.5%13.3%48.1%22.3%48.0%8.5%4.9%840.1K-6.2M-368.5K1.1212.66N/AN/A10,53011,760159,732143,088
2010-09-29$9.06$9.1747.1%13.5%48.5%23.4%48.7%8.1%5.8%690.7K-1.3M-368.9K1.789.64N/AN/A5,0108,910163,620147,564
2010-09-30$9.06$9.1747.0%13.5%42.2%23.2%47.3%5.9%5.2%713.0K-2.7M-370.2K0.8310.74N/AN/A14,70012,186165,084148,722