UYG Options History — October 2010

In October 2010, UYG traded between $9.11 and $9.70. ATM implied volatility averaged 44.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 7.6% (HV 20d: 36.5%). Max pain ranged from $9.17 to $9.33. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-10-15: Highest Volume — 106,110 contracts
  • 2010-10-14: Largest IV spike — 30.0% change
  • 2010-10-12: Highest IV Rank — 30.9%
  • 2010-10-14: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.42$9.11$9.70$9.22$9.36
Max Pain$9.27$9.17$9.33$9.17$9.33
ATM IV44.1%39.1%51.7%43.7%42.3%
Expected Move13.0%11.7%14.6%12.5%12.1%
HV 20d36.5%30.0%42.1%42.1%30.0%
HV 60d43.1%40.4%47.6%47.2%40.4%
IV Rank18.5%10.3%30.9%17.9%15.5%
IV Percentile30.7%15.9%58.7%27.0%25.0%
Term Structure1.7%-0.2%7.4%7.4%1.2%
VWIV46.0%41.2%51.6%43.6%42.6%
Skew 25d8.6%5.1%10.5%5.1%8.6%
Skew 10d18.1%11.3%22.3%11.3%22.3%
Call IV 25d41.7%36.9%47.2%41.6%38.5%
Put IV 25d50.3%46.5%56.2%46.7%47.1%
Bid-Ask Spread %16.327.1832.0811.0332.08
Gamma HHI0.100.050.700.070.06
Net GEX923.4K-6.3M2.6M998.5K1.4M
Net DEX-18.3M-47.6M14.3M-9.5M-13.2M
Net VEX-402.2K-449.0K-362.9K-381.2K-423.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.351.500.540.88
Total Volume37,6585,982106,11018,3788,916
Total OI369,874300,696448,326324,084400,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$9.22$9.1743.7%12.5%42.1%17.9%43.6%5.1%7.4%998.5K-9.5M-381.2K0.5411.03N/AN/A11,8986,480172,134151,950
2010-10-04$9.11$9.1745.5%14.5%40.0%20.7%51.1%8.6%1.2%833.8K-4.3M-362.9K0.747.18N/AN/A19,93214,748171,912153,150
2010-10-05$9.51$9.1743.5%13.7%39.5%17.5%48.3%7.9%0.9%1.4M-25.9M-379.8K0.759.19N/AN/A21,63016,248175,878160,152
2010-10-06$9.48$9.1742.2%13.5%39.4%15.4%46.6%7.9%1.0%1.3M-22.8M-382.9K0.619.65N/AN/A17,95810,896178,002165,540
2010-10-07$9.41$9.1744.3%13.8%39.2%18.8%48.4%7.6%1.0%1.3M-19.4M-390.9K0.928.30N/AN/A12,83411,868184,824169,626
2010-10-08$9.44$9.1739.3%13.2%39.2%10.5%46.1%7.2%0.8%1.4M-22.6M-385.2K0.359.72N/AN/A17,1365,952189,372173,826
2010-10-11$9.44$9.1744.7%13.5%36.6%19.5%48.3%8.0%0.4%1.3M-23.3M-375.9K0.8712.14N/AN/A10,7109,336193,416176,406
2010-10-12$9.62$9.1751.7%13.4%36.9%30.9%47.3%7.6%1.1%1.7M-37.9M-381.5K0.7213.45N/AN/A36,00026,052197,928180,552
2010-10-13$9.70$9.3339.1%13.0%36.9%10.3%45.3%7.2%1.2%2.6M-47.6M-381.0K0.5313.69N/AN/A29,77215,678220,554192,900
2010-10-14$9.43$9.3350.9%14.6%38.2%29.6%51.6%9.0%-0.2%733.1K-19.7M-382.1K1.3313.71N/AN/A39,33652,386228,060198,666
2010-10-15$9.14$9.3350.1%14.4%39.8%28.4%50.9%10.0%1.3%-6.3M14.3M-370.0K1.0223.37N/AN/A52,57853,532233,766214,560
2010-10-18$9.50$9.3344.2%12.7%39.6%18.6%44.0%10.4%3.3%670.6K-13.9M-389.4K0.4314.07N/AN/A44,01619,056157,344143,352
2010-10-19$9.29$9.3350.3%14.4%39.8%28.7%50.1%10.5%1.1%787.4K-11.9M-416.2K0.6619.07N/AN/A37,58424,642179,322154,194
2010-10-20$9.50$9.3344.4%12.7%39.2%19.0%45.0%9.7%1.7%1.3M-23.1M-436.6K0.5217.78N/AN/A32,10616,566194,748162,816
2010-10-21$9.46$9.3343.8%12.6%36.5%18.0%44.6%9.5%1.4%1.3M-20.9M-438.8K1.5023.45N/AN/A13,01419,536198,576165,108
2010-10-22$9.47$9.3341.7%11.9%31.7%14.5%44.1%9.8%1.5%1.4M-19.8M-449.0K1.3717.57N/AN/A2,5263,456205,242173,964
2010-10-25$9.41$9.3342.0%12.1%30.8%15.1%41.5%9.1%2.3%1.3M-16.7M-431.8K0.6321.71N/AN/A14,7489,354205,584176,022
2010-10-26$9.44$9.3341.2%11.8%30.8%13.7%41.2%8.9%2.1%1.3M-16.0M-430.1K0.4514.15N/AN/A8,0583,636206,508179,058
2010-10-27$9.44$9.3340.7%11.7%30.4%12.9%43.3%9.2%2.1%1.4M-16.9M-432.3K0.8926.95N/AN/A11,1129,870208,908180,258
2010-10-28$9.39$9.3341.3%11.8%30.5%13.8%41.3%9.6%1.9%1.3M-13.3M-425.1K0.7824.41N/AN/A11,0648,598209,844183,042
2010-10-29$9.36$9.3342.3%12.1%30.0%15.5%42.6%8.6%1.2%1.4M-13.2M-423.4K0.8832.08N/AN/A4,7404,176215,142185,148