UYG Options History — November 2010

In November 2010, UYG traded between $9.12 and $10.59. ATM implied volatility averaged 44.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 7.1% (HV 20d: 37.0%). Max pain ranged from $9.33 to $9.67. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2010-11-05: Highest Volume — 58,326 contracts
  • 2010-11-09: Largest IV spike — 10.1% change
  • 2010-11-16: Highest IV Rank — 26.3%
  • 2010-11-16: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.68$9.12$10.59$9.37$9.17
Max Pain$9.53$9.33$9.67$9.33$9.50
ATM IV44.1%38.3%48.9%47.2%48.3%
Expected Move12.7%11.0%14.0%13.5%13.9%
HV 20d37.0%25.5%43.2%29.7%43.2%
HV 60d40.1%37.4%41.2%40.3%37.4%
IV Rank18.5%9.0%26.3%23.5%25.4%
IV Percentile35.7%15.5%55.6%45.2%54.8%
Term Structure2.7%-1.1%6.5%-1.1%-0.4%
VWIV45.2%40.8%49.4%47.5%49.4%
Skew 25d6.1%4.2%10.5%10.5%7.1%
Skew 10d13.4%8.7%22.0%21.5%12.2%
Call IV 25d42.3%35.4%47.3%42.5%46.1%
Put IV 25d48.4%43.0%53.2%53.0%53.2%
Bid-Ask Spread %37.0118.9760.8524.4329.25
Gamma HHI0.080.050.350.060.05
Net GEX2.1M-109.9K3.6M1.4M-109.9K
Net DEX-33.9M-114.8M13.1M-15.4M13.1M
Net VEX-407.5K-449.6K-362.5K-420.3K-374.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.432.720.801.16
Total Volume29,244.2867,79458,32628,69815,510
Total OI424,582.571332,016503,088404,202379,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$9.37$9.3347.2%13.5%29.7%23.5%47.5%10.5%-1.1%1.4M-15.4M-420.3K0.8024.43N/AN/A15,96012,738218,352185,850
2010-11-02$9.44$9.3342.7%12.2%25.5%16.1%42.2%9.7%1.5%1.7M-20.5M-414.1K0.5221.81N/AN/A9,5344,956220,344186,696
2010-11-03$9.61$9.3340.0%11.5%26.3%11.7%41.2%8.3%1.7%2.2M-29.4M-409.8K0.6918.97N/AN/A13,4769,354220,260186,450
2010-11-04$10.20$9.3338.3%11.0%33.2%9.0%41.3%7.5%5.0%3.0M-77.4M-418.8K0.5326.94N/AN/A36,69019,368223,002187,290
2010-11-05$10.59$9.3339.4%12.3%35.3%10.8%44.7%6.4%2.8%3.4M-114.8M-427.0K0.8428.82N/AN/A31,62026,706232,980190,656
2010-11-08$10.44$9.5043.0%12.7%35.9%16.7%45.1%4.6%2.7%3.3M-103.1M-440.4K0.7252.04N/AN/A19,27813,956240,216201,420
2010-11-09$10.05$9.5047.3%13.4%38.7%23.8%46.4%4.7%3.8%2.9M-68.8M-449.6K0.6851.41N/AN/A24,81016,776243,732206,370
2010-11-10$10.27$9.6744.0%12.6%39.3%18.4%45.3%5.7%1.7%3.2M-86.0M-444.2K0.5632.05N/AN/A20,11811,220246,690209,922
2010-11-11$10.09$9.6744.6%12.8%38.3%19.3%44.9%5.3%3.6%3.4M-72.7M-446.4K0.5430.24N/AN/A10,8125,784250,674213,162
2010-11-12$9.79$9.6747.9%13.7%38.3%24.8%48.2%5.9%1.5%2.8M-42.9M-436.7K0.6545.23N/AN/A23,71215,486250,392213,486
2010-11-15$9.83$9.6746.9%13.4%36.1%23.0%48.0%5.0%3.4%3.3M-47.7M-423.7K0.6649.34N/AN/A14,8029,798256,398221,454
2010-11-16$9.47$9.6748.9%14.0%37.7%26.3%49.4%5.8%1.9%2.1M-11.4M-414.2K0.6653.14N/AN/A16,96211,112261,492224,178
2010-11-17$9.38$9.6747.5%13.6%36.9%24.1%47.3%5.0%4.9%1.7M-1.8M-408.1K0.5732.10N/AN/A18,86410,674263,340226,260
2010-11-18$9.61$9.6742.9%12.3%37.9%16.5%42.7%5.3%6.5%3.6M-27.1M-410.1K0.4354.66N/AN/A14,3826,222268,338229,704
2010-11-19$9.62$9.6740.2%11.5%37.9%12.1%40.8%4.5%6.3%3.6M-22.1M-386.6K1.1853.41N/AN/A11,93414,022271,140231,948
2010-11-22$9.40$9.6741.9%12.0%38.8%14.8%42.4%4.2%3.0%560.0K-3.5M-365.7K1.0660.85N/AN/A22,62023,964174,924157,092
2010-11-23$9.12$9.5045.3%13.0%40.3%20.4%46.7%5.7%2.3%192.1K10.8M-366.1K1.6423.38N/AN/A7,92013,014179,004166,848
2010-11-24$9.40$9.5040.9%11.7%41.8%13.2%41.2%5.5%2.5%410.7K-1.9M-372.1K0.7128.56N/AN/A11,9168,412180,462172,224
2010-11-26$9.18$9.5044.4%12.7%42.6%18.9%45.6%5.3%2.4%175.6K6.8M-367.7K2.7225.70N/AN/A2,0945,700183,192176,508
2010-11-29$9.30$9.5045.2%12.9%42.9%20.2%48.1%6.4%-0.2%197.4K4.8M-362.5K1.6534.83N/AN/A12,02419,830184,062180,504
2010-11-30$9.17$9.5048.3%13.9%43.2%25.4%49.4%7.1%-0.4%-109.9K13.1M-374.1K1.1629.25N/AN/A7,1948,316187,512191,706