UYG Options History — June 2011

In June 2011, UYG traded between $9.68 and $10.54. ATM implied volatility averaged 39.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.2% (HV 20d: 36.6%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2011-06-16: Highest Volume — 31,494 contracts
2011-06-06: Largest IV spike — 20.3% change
2011-06-16: Highest IV Rank — 56.4%
2011-06-16: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.05	$9.68	$10.54	$10.47	$10.54
Max Pain	$10.42	$10.00	$11.00	$11.00	$10.00
ATM IV	39.8%	32.1%	47.7%	36.5%	32.1%
Expected Move	11.4%	9.2%	13.7%	10.5%	9.2%
HV 20d	36.6%	34.1%	38.9%	34.5%	34.5%
HV 60d	27.9%	26.4%	30.1%	28.8%	30.1%
IV Rank	33.6%	15.2%	56.4%	19.8%	15.2%
IV Percentile	41.6%	8.3%	72.2%	23.0%	8.3%
Term Structure	0.4%	-4.4%	3.3%	-0.6%	2.9%
VWIV	40.3%	34.1%	47.9%	35.9%	34.1%
Skew 25d	8.4%	5.9%	11.0%	6.5%	8.8%
Skew 10d	18.0%	10.7%	24.0%	10.7%	19.0%
Call IV 25d	36.4%	28.3%	43.6%	33.9%	28.3%
Put IV 25d	44.8%	37.0%	53.2%	40.5%	37.0%
Bid-Ask Spread %	20.13	11.64	39.73	18.07	19.98
Gamma HHI	0.07	0.04	0.29	0.05	0.07
Net GEX	-629.3K	-1.7M	911.4K	-297.6K	766.6K
Net DEX	36.5M	-9.4M	69.7M	29.1M	-9.4M
Net VEX	-361.3K	-414.4K	-327.4K	-383.3K	-414.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.45	2.51	0.75	0.61
Total Volume	18,574.364	9,672	31,494	19,602	14,280
Total OI	298,263.273	199,020	378,534	310,974	265,074

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
2011-06-01	$10.47	$11.00	36.5%	10.5%	34.5%	19.8%	35.9%	6.5%	-0.6%	-297.6K	29.1M	-383.3K	0.75	18.07	N/A	N/A	11,190	8,412	147,414	163,560
2011-06-02	$10.51	$11.00	35.9%	10.3%	34.4%	18.6%	37.0%	5.9%	0.4%	-237.9K	26.3M	-391.0K	2.51	18.50	N/A	N/A	4,152	10,428	152,100	166,740
2011-06-03	$10.35	$11.00	35.2%	10.5%	34.1%	17.3%	37.5%	7.0%	1.9%	-629.3K	36.2M	-376.8K	0.45	37.96	N/A	N/A	8,832	3,972	153,300	168,894
2011-06-06	$9.98	$11.00	42.4%	11.6%	35.7%	31.3%	41.7%	8.1%	0.2%	-1.1M	52.9M	-348.2K	1.18	16.01	N/A	N/A	10,938	12,942	155,280	169,944
2011-06-07	$9.98	$10.83	38.5%	11.2%	35.7%	27.0%	39.5%	6.9%	1.0%	-1.3M	54.6M	-349.4K	0.72	19.70	N/A	N/A	9,948	7,146	158,736	176,910
2011-06-08	$9.78	$10.83	41.6%	12.5%	34.6%	34.0%	41.4%	8.2%	-4.4%	-1.5M	62.8M	-336.8K	2.04	19.60	N/A	N/A	4,530	9,228	159,774	178,260
2011-06-09	$9.96	$10.50	39.0%	11.2%	35.3%	32.4%	41.0%	6.9%	0.6%	-1.4M	56.9M	-338.5K	0.72	23.52	N/A	N/A	9,024	6,534	160,872	180,150
2011-06-10	$9.77	$10.50	41.0%	11.7%	35.5%	38.6%	42.4%	8.6%	0.6%	-1.5M	64.2M	-334.3K	1.00	20.76	N/A	N/A	15,396	15,444	165,042	181,554
2011-06-13	$9.94	$10.33	40.6%	11.7%	35.7%	37.8%	41.1%	7.9%	0.3%	-1.3M	57.9M	-342.3K	0.75	11.64	N/A	N/A	8,466	6,312	168,132	186,528
2011-06-14	$10.09	$10.33	38.3%	11.0%	36.3%	31.7%	38.3%	7.8%	1.3%	-1.0M	49.7M	-340.3K	0.88	11.92	N/A	N/A	8,376	7,380	170,202	187,602
2011-06-15	$9.68	$10.33	44.3%	12.7%	38.0%	47.5%	43.2%	9.4%	-0.3%	-1.7M	69.7M	-327.4K	1.49	14.01	N/A	N/A	12,666	18,822	172,824	188,784
2011-06-16	$9.77	$10.33	47.7%	13.7%	38.0%	56.4%	47.9%	9.6%	-2.4%	-1.4M	62.9M	-344.6K	0.62	20.36	N/A	N/A	19,488	12,006	174,180	191,022
2011-06-17	$9.93	$10.33	43.4%	12.5%	38.7%	45.2%	47.0%	9.8%	0.6%	911.4K	52.0M	-349.4K	1.93	19.81	N/A	N/A	7,842	15,138	183,126	195,408
2011-06-20	$9.94	$10.33	41.5%	11.9%	38.0%	40.0%	41.3%	9.9%	1.0%	-669.0K	23.7M	-348.0K	1.04	18.16	N/A	N/A	9,612	10,002	80,712	118,308
2011-06-21	$10.19	$10.17	39.8%	11.4%	38.4%	35.7%	39.7%	11.0%	1.0%	-445.0K	16.0M	-368.9K	1.06	26.84	N/A	N/A	8,424	8,946	87,660	124,866
2011-06-22	$10.08	$10.17	40.1%	11.5%	38.5%	36.3%	39.2%	8.3%	3.3%	-386.5K	17.3M	-368.1K	0.59	17.97	N/A	N/A	7,632	4,488	93,372	127,698
2011-06-23	$9.88	$10.17	40.4%	11.6%	38.9%	37.1%	40.6%	9.0%	-0.3%	-430.9K	24.5M	-359.9K	0.97	17.98	N/A	N/A	10,050	9,744	98,958	129,360
2011-06-24	$9.76	$10.00	43.3%	12.4%	38.5%	44.8%	43.3%	9.2%	-1.0%	-415.5K	25.0M	-364.5K	0.52	15.43	N/A	N/A	6,384	3,288	104,502	131,922
2011-06-27	$9.94	$10.00	41.1%	11.8%	38.8%	38.9%	40.5%	8.6%	-0.3%	-203.3K	18.7M	-375.8K	0.52	39.73	N/A	N/A	7,254	3,762	108,666	133,362
2011-06-28	$10.03	$10.00	39.8%	11.4%	38.0%	35.7%	38.8%	9.1%	0.5%	-81.3K	15.3M	-381.1K	0.90	18.74	N/A	N/A	7,536	6,762	112,416	135,246
2011-06-29	$10.50	$10.00	33.3%	9.5%	34.5%	18.3%	35.0%	8.2%	2.5%	536.7K	-3.9M	-405.1K	0.59	16.15	N/A	N/A	16,272	9,588	114,912	138,420
2011-06-30	$10.54	$10.00	32.1%	9.2%	34.5%	15.2%	34.1%	8.8%	2.9%	766.6K	-9.4M	-414.4K	0.61	19.98	N/A	N/A	8,862	5,418	122,514	142,560