UYG Options History — March 2011

In March 2011, UYG traded between $10.82 and $12.02. ATM implied volatility averaged 40.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 2.8% (HV 20d: 37.3%). Max pain ranged from $11.50 to $11.83. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.04.

Notable Days

2011-03-16: Highest Volume — 79,950 contracts
2011-03-16: Largest IV spike — 20.1% change
2011-03-16: Highest IV Rank — 34.6%
2011-03-16: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.52	$10.82	$12.02	$11.68	$11.65
Max Pain	$11.67	$11.50	$11.83	$11.67	$11.50
ATM IV	40.2%	33.1%	53.3%	39.6%	33.2%
Expected Move	11.6%	9.5%	15.3%	11.3%	9.5%
HV 20d	37.3%	31.8%	42.8%	34.3%	31.9%
HV 60d	32.3%	29.7%	33.8%	29.7%	32.6%
IV Rank	13.3%	1.8%	34.6%	12.4%	2.1%
IV Percentile	28.6%	1.2%	75.0%	28.6%	2.0%
Term Structure	1.9%	-1.7%	3.9%	1.6%	1.7%
VWIV	41.0%	32.6%	52.6%	39.8%	33.7%
Skew 25d	7.8%	5.7%	11.3%	6.8%	6.2%
Skew 10d	16.5%	11.7%	21.8%	13.5%	14.7%
Call IV 25d	37.1%	30.7%	48.8%	37.2%	30.8%
Put IV 25d	44.9%	36.4%	58.8%	44.0%	37.0%
Bid-Ask Spread %	31.33	18.33	54.15	39.56	24.48
Gamma HHI	0.10	0.04	0.77	0.06	0.06
Net GEX	-978.2K	-10.2M	705.8K	99.0K	705.8K
Net DEX	-5.8M	-55.4M	74.5M	-27.4M	-24.9M
Net VEX	-535.7K	-585.8K	-503.3K	-536.4K	-520.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.52	1.70	1.32	0.94
Total Volume	28,077.391	8,436	79,950	35,160	14,718
Total OI	401,176.957	272,160	523,920	387,864	342,174

Daily Data (23 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
2011-03-01	$11.68	$11.67	39.6%	11.3%	34.3%	12.4%	39.8%	6.8%	1.6%	99.0K	-27.4M	-536.4K	1.32	39.56	N/A	N/A	15,162	19,998	180,138	207,726
2011-03-02	$11.56	$11.67	39.5%	11.3%	31.8%	12.3%	39.2%	6.8%	1.8%	-463.3K	-11.1M	-542.2K	1.21	25.06	N/A	N/A	11,082	13,398	182,796	218,268
2011-03-03	$12.00	$11.67	36.8%	10.5%	34.5%	7.8%	37.9%	6.3%	1.6%	397.2K	-49.5M	-562.0K	0.83	29.26	N/A	N/A	14,544	12,048	186,384	222,708
2011-03-04	$11.75	$11.67	38.3%	11.5%	35.3%	10.3%	40.3%	7.2%	2.8%	-281.5K	-25.9M	-565.6K	1.30	25.39	N/A	N/A	12,066	15,708	194,982	230,364
2011-03-07	$11.57	$11.83	45.2%	12.5%	35.7%	21.4%	43.7%	7.9%	1.4%	-567.8K	-10.5M	-558.3K	1.08	24.51	N/A	N/A	19,038	20,640	199,632	238,578
2011-03-08	$12.02	$11.83	38.4%	11.4%	37.0%	10.4%	41.3%	7.4%	2.7%	193.7K	-55.4M	-577.4K	0.68	24.26	N/A	N/A	20,010	13,698	206,712	250,872
2011-03-09	$12.02	$11.83	39.3%	11.9%	36.7%	12.0%	42.0%	7.7%	2.5%	217.0K	-51.5M	-585.8K	0.74	28.97	N/A	N/A	11,958	8,862	210,660	253,596
2011-03-10	$11.55	$11.83	45.1%	12.9%	39.1%	21.3%	44.4%	7.9%	2.3%	-974.0K	-771.8K	-575.5K	0.92	32.05	N/A	N/A	14,586	13,392	213,690	255,864
2011-03-11	$11.67	$11.83	42.6%	12.2%	39.4%	17.3%	42.5%	8.0%	2.1%	-931.4K	-14.7M	-570.3K	0.82	34.67	N/A	N/A	12,654	10,404	216,888	259,644
2011-03-14	$11.48	$11.83	44.1%	12.7%	38.3%	19.7%	45.0%	8.3%	0.9%	-1.6M	6.8M	-527.5K	0.93	30.92	N/A	N/A	12,078	11,238	217,116	259,752
2011-03-15	$11.22	$11.83	44.4%	12.7%	38.8%	20.2%	46.7%	8.1%	2.5%	-2.6M	38.0M	-509.1K	1.09	26.53	N/A	N/A	28,122	30,630	220,002	264,936
2011-03-16	$10.82	$11.67	53.3%	15.3%	40.2%	34.6%	52.6%	10.1%	-1.7%	-2.7M	74.5M	-503.3K	1.51	32.24	N/A	N/A	31,830	48,120	221,178	276,600
2011-03-17	$11.07	$11.67	49.0%	14.0%	41.1%	27.5%	50.3%	11.3%	0.2%	-3.7M	54.3M	-516.8K	1.68	21.09	N/A	N/A	11,838	19,944	229,206	287,568
2011-03-18	$11.32	$11.67	44.0%	12.6%	42.3%	19.5%	45.2%	10.4%	3.9%	-10.2M	28.4M	-506.9K	0.96	37.20	N/A	N/A	19,728	18,918	226,644	297,276
2011-03-21	$11.49	$11.67	38.9%	11.1%	42.8%	11.2%	40.5%	9.2%	2.2%	-136.2K	-5.4M	-510.0K	0.87	41.96	N/A	N/A	13,518	11,808	118,776	153,384
2011-03-22	$11.36	$11.67	37.2%	10.7%	38.6%	8.6%	39.6%	7.0%	3.3%	-98.9K	-3.8M	-520.0K	1.27	27.75	N/A	N/A	4,824	6,132	127,362	160,392
2011-03-23	$11.28	$11.67	37.1%	10.6%	38.5%	8.4%	39.6%	8.1%	3.2%	-216.0K	1.4M	-519.2K	1.70	51.85	N/A	N/A	11,466	19,548	130,044	164,922
2011-03-24	$11.39	$11.50	36.8%	10.5%	38.7%	7.8%	37.2%	8.0%	2.2%	-228.5K	-3.5M	-528.1K	0.52	53.03	N/A	N/A	8,520	4,392	135,318	175,266
2011-03-25	$11.45	$11.50	35.4%	10.2%	37.4%	5.7%	35.5%	7.4%	2.0%	-129.8K	-8.8M	-531.6K	0.85	54.15	N/A	N/A	6,282	5,322	138,384	177,774
2011-03-28	$11.41	$11.50	37.1%	10.6%	37.1%	8.4%	36.9%	7.3%	1.3%	97.6K	-9.8M	-522.5K	1.03	18.33	N/A	N/A	4,158	4,278	143,490	178,044
2011-03-29	$11.45	$11.50	35.4%	10.1%	34.3%	5.6%	36.3%	6.5%	2.0%	115.0K	-9.6M	-518.7K	1.10	18.40	N/A	N/A	6,078	6,678	144,534	178,578
2011-03-30	$11.65	$11.50	33.1%	9.5%	34.7%	1.8%	32.6%	5.7%	1.7%	575.1K	-25.0M	-513.7K	0.53	18.90	N/A	N/A	17,268	9,096	146,154	182,694
2011-03-31	$11.65	$11.50	33.2%	9.5%	31.9%	2.1%	33.7%	6.2%	1.7%	705.8K	-24.9M	-520.3K	0.94	24.48	N/A	N/A	7,602	7,116	155,436	186,738