UYG Options History — December 2010

In December 2010, UYG traded between $9.53 and $11.11. ATM implied volatility averaged 39.5%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.1% (HV 20d: 35.4%). Max pain ranged from $9.33 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2010-12-02: Highest Volume — 53,760 contracts
2010-12-13: Largest IV spike — 17.8% change
2010-12-14: Highest IV Rank — 24.7%
2010-12-07: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.56	$9.53	$11.11	$9.53	$11.06
Max Pain	$9.67	$9.33	$10.00	$9.50	$10.00
ATM IV	39.5%	34.6%	47.9%	43.1%	39.6%
Expected Move	11.5%	9.9%	12.6%	12.3%	11.3%
HV 20d	35.4%	21.6%	48.0%	45.5%	21.6%
HV 60d	36.2%	33.5%	38.3%	37.2%	33.5%
IV Rank	11.0%	2.9%	24.7%	16.8%	11.1%
IV Percentile	20.9%	6.3%	55.6%	31.3%	21.8%
Term Structure	3.7%	1.9%	5.7%	1.9%	4.0%
VWIV	40.4%	34.9%	43.3%	42.8%	39.4%
Skew 25d	4.9%	2.8%	7.4%	7.4%	4.5%
Skew 10d	10.3%	4.8%	17.0%	14.4%	8.9%
Call IV 25d	38.3%	32.9%	42.3%	40.1%	38.2%
Put IV 25d	43.2%	37.5%	47.5%	47.5%	42.7%
Bid-Ask Spread %	37.36	8.77	62.40	28.76	8.77
Gamma HHI	0.08	0.05	0.10	0.05	0.08
Net GEX	2.3M	380.6K	3.7M	380.6K	2.5M
Net DEX	-71.9M	-107.6M	-8.0M	-8.0M	-81.7M
Net VEX	-440.9K	-511.8K	-378.2K	-378.2K	-504.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.22	2.16	0.83	0.60
Total Volume	26,165.182	6,108	53,760	18,282	6,108
Total OI	404,585.455	278,376	503,700	383,868	368,802

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
2010-12-01	$9.53	$9.50	43.1%	12.3%	45.5%	16.8%	42.8%	7.4%	1.9%	380.6K	-8.0M	-378.2K	0.83	28.76	N/A	N/A	10,014	8,268	189,552	194,316
2010-12-02	$9.99	$9.50	41.5%	11.9%	48.0%	14.2%	41.7%	7.0%	2.6%	1.1M	-37.6M	-391.2K	0.71	32.01	N/A	N/A	31,470	22,290	192,702	197,790
2010-12-03	$10.06	$9.50	39.4%	11.3%	43.2%	10.8%	40.2%	6.2%	3.8%	1.7M	-48.1M	-401.1K	1.16	40.83	N/A	N/A	14,874	17,310	207,036	205,374
2010-12-06	$10.05	$9.33	38.8%	12.2%	40.7%	9.8%	42.4%	6.0%	5.3%	1.8M	-47.9M	-394.7K	0.46	35.05	N/A	N/A	21,726	10,038	212,586	213,372
2010-12-07	$10.04	$9.33	40.5%	12.6%	40.5%	12.6%	43.1%	5.0%	4.0%	2.1M	-52.3M	-423.1K	0.49	34.85	N/A	N/A	20,622	10,122	226,902	217,944
2010-12-08	$10.30	$9.33	37.3%	11.6%	39.2%	7.3%	40.9%	5.1%	4.5%	2.9M	-76.8M	-415.2K	0.76	37.30	N/A	N/A	12,252	9,372	231,360	220,512
2010-12-09	$10.53	$9.50	37.9%	12.1%	39.2%	8.3%	42.3%	4.5%	4.2%	3.1M	-95.7M	-416.8K	0.35	33.56	N/A	N/A	30,804	10,854	233,286	223,788
2010-12-10	$10.73	$9.50	37.5%	12.2%	39.0%	7.6%	43.0%	5.2%	2.8%	3.1M	-107.4M	-408.6K	0.93	33.57	N/A	N/A	13,608	12,624	230,004	227,244
2010-12-13	$10.72	$9.50	44.1%	12.3%	36.9%	18.5%	42.5%	4.7%	2.3%	3.2M	-107.6M	-402.3K	0.40	35.80	N/A	N/A	15,888	6,342	232,542	232,944
2010-12-14	$10.56	$9.67	47.9%	12.1%	37.6%	24.7%	42.6%	4.0%	3.2%	3.3M	-94.2M	-405.4K	0.22	40.78	N/A	N/A	30,414	6,630	237,582	235,644
2010-12-15	$10.39	$9.67	42.7%	12.2%	35.3%	16.2%	43.3%	2.8%	3.3%	3.7M	-80.3M	-438.1K	0.59	49.21	N/A	N/A	18,984	11,148	254,568	238,428
2010-12-16	$10.36	$9.67	39.7%	11.4%	35.0%	11.2%	39.8%	3.4%	4.5%	3.6M	-76.6M	-424.4K	1.05	23.59	N/A	N/A	12,756	13,374	254,340	242,544
2010-12-17	$10.42	$9.67	37.2%	10.7%	34.3%	7.2%	37.3%	3.6%	5.7%	1.2M	-83.6M	-419.5K	0.51	22.22	N/A	N/A	22,182	11,208	256,536	247,164
2010-12-20	$10.48	$9.67	36.3%	10.4%	34.3%	5.6%	36.5%	3.4%	3.6%	1.5M	-45.3M	-417.5K	0.88	55.78	N/A	N/A	18,042	15,876	147,984	130,392
2010-12-21	$10.81	$9.83	34.6%	9.9%	33.9%	2.9%	34.9%	4.7%	3.8%	1.9M	-61.1M	-441.5K	0.84	56.35	N/A	N/A	18,858	15,900	157,920	141,048
2010-12-22	$11.04	$9.83	36.6%	10.5%	31.1%	6.2%	37.8%	5.3%	4.0%	2.2M	-76.4M	-475.9K	0.67	27.28	N/A	N/A	18,990	12,762	170,340	148,794
2010-12-23	$10.90	$9.83	38.1%	10.9%	31.1%	8.6%	38.8%	3.9%	4.2%	2.1M	-70.1M	-500.9K	0.76	42.15	N/A	N/A	12,924	9,834	179,694	157,788
2010-12-27	$11.09	$10.00	40.0%	11.5%	29.0%	11.8%	41.3%	6.3%	2.4%	2.3M	-81.8M	-511.6K	0.70	62.12	N/A	N/A	8,082	5,664	189,462	163,344
2010-12-28	$11.11	$10.00	39.5%	11.3%	29.1%	10.9%	39.9%	4.7%	2.9%	2.4M	-85.5M	-511.8K	0.74	62.40	N/A	N/A	4,578	3,378	192,900	166,146
2010-12-29	$11.08	$10.00	39.5%	11.3%	28.1%	11.0%	39.2%	4.8%	3.8%	2.4M	-84.0M	-511.1K	0.49	28.41	N/A	N/A	6,360	3,102	194,736	168,390
2010-12-30	$11.02	$10.00	37.7%	10.8%	26.3%	8.0%	38.9%	4.6%	4.4%	2.6M	-80.8M	-507.3K	2.16	31.23	N/A	N/A	3,162	6,840	197,736	169,344
2010-12-31	$11.06	$10.00	39.6%	11.3%	21.6%	11.1%	39.4%	4.5%	4.0%	2.5M	-81.7M	-504.2K	0.60	8.77	N/A	N/A	3,816	2,292	197,394	171,408