UYG Options History — August 2011

In August 2011, UYG traded between $6.45 and $9.78. ATM implied volatility averaged 82.9%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded below realized volatility by 21.8% (HV 20d: 104.8%). Max pain ranged from $8.00 to $10.50. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.95.

Notable Days

2011-08-08: Highest Volume — 94,740 contracts
2011-08-08: Largest IV spike — 81.1% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 32.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.62	$6.45	$9.78	$9.78	$7.90
Max Pain	$9.16	$8.00	$10.50	$10.33	$8.00
ATM IV	82.9%	47.3%	140.8%	50.7%	65.9%
Expected Move	22.9%	13.5%	32.8%	14.5%	18.9%
HV 20d	104.8%	37.3%	133.0%	37.3%	132.1%
HV 60d	68.4%	35.8%	81.5%	35.8%	81.4%
IV Rank	62.1%	33.3%	100.0%	80.2%	34.6%
IV Percentile	96.4%	81.0%	100.0%	91.3%	92.9%
Term Structure	-6.6%	-27.7%	8.7%	-2.9%	-1.6%
VWIV	81.6%	47.1%	109.2%	51.8%	64.6%
Skew 25d	28.5%	9.4%	42.6%	10.5%	21.9%
Skew 10d	57.2%	17.4%	94.3%	17.5%	48.9%
Call IV 25d	67.7%	43.8%	94.0%	47.1%	55.2%
Put IV 25d	96.2%	53.2%	136.1%	57.7%	77.1%
Bid-Ask Spread %	35.01	18.28	58.12	23.90	55.94
Gamma HHI	0.06	0.04	0.21	0.05	0.05
Net GEX	-288.4K	-1.1M	814.3K	-480.6K	814.3K
Net DEX	56.1M	14.9M	85.6M	25.0M	14.9M
Net VEX	-356.4K	-402.7K	-282.1K	-402.7K	-398.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.36	2.76	0.88	0.36
Total Volume	34,964.609	8,550	94,740	12,900	13,662
Total OI	416,086.174	296,166	503,592	296,166	464,982

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
2011-08-01	$9.78	$10.33	50.7%	14.5%	37.3%	80.2%	51.8%	10.5%	-2.9%	-480.6K	25.0M	-402.7K	0.88	23.90	N/A	N/A	6,864	6,036	132,624	163,542
2011-08-02	$9.26	$10.33	50.8%	14.6%	41.1%	80.3%	50.4%	9.7%	8.7%	-972.3K	46.2M	-362.5K	0.71	22.16	N/A	N/A	18,708	13,338	133,848	164,652
2011-08-03	$9.39	$10.17	47.3%	13.5%	41.8%	68.8%	47.1%	9.4%	1.2%	-1.0M	44.3M	-372.9K	1.03	22.67	N/A	N/A	14,508	14,880	131,418	171,360
2011-08-04	$8.46	$10.17	69.8%	20.0%	52.2%	100.0%	71.1%	14.1%	-7.2%	-991.7K	66.9M	-336.1K	1.40	20.69	N/A	N/A	18,144	25,488	134,028	175,098
2011-08-05	$8.14	$10.50	75.8%	20.0%	52.8%	100.0%	72.3%	17.0%	-3.1%	-913.3K	71.9M	-346.3K	0.77	27.35	N/A	N/A	42,216	32,658	139,998	186,942
2011-08-08	$6.61	$10.17	137.3%	32.8%	86.0%	100.0%	106.3%	42.1%	-27.4%	-483.3K	81.4M	-282.1K	0.87	22.57	N/A	N/A	50,700	44,040	167,400	203,112
2011-08-09	$7.60	$10.00	86.2%	22.3%	103.2%	54.0%	81.3%	33.9%	-5.2%	-585.5K	79.3M	-349.1K	1.04	20.30	N/A	N/A	31,914	33,048	195,642	220,002
2011-08-10	$6.67	$9.83	140.8%	31.6%	110.8%	100.0%	109.2%	39.7%	-27.7%	-419.6K	84.2M	-308.5K	0.86	18.28	N/A	N/A	36,768	31,578	207,516	225,480
2011-08-11	$7.41	$9.33	95.2%	27.3%	119.6%	60.2%	101.0%	40.3%	-17.2%	-305.1K	69.6M	-388.7K	1.81	32.35	N/A	N/A	13,368	24,234	223,962	236,346
2011-08-12	$7.30	$9.33	91.2%	26.1%	119.5%	56.6%	97.9%	34.8%	-16.2%	-349.5K	70.7M	-388.2K	0.80	35.95	N/A	N/A	7,416	5,898	230,910	246,702
2011-08-15	$7.75	$9.33	73.3%	21.0%	122.5%	41.0%	92.6%	28.9%	-6.2%	-220.5K	62.4M	-389.0K	2.76	32.82	N/A	N/A	3,486	9,606	232,500	247,206
2011-08-16	$7.51	$9.17	78.2%	22.4%	121.8%	45.3%	84.6%	27.5%	-4.5%	-381.0K	68.5M	-368.6K	0.54	35.01	N/A	N/A	8,352	4,488	233,370	252,222
2011-08-17	$7.56	$9.17	70.9%	20.3%	121.5%	38.9%	70.4%	24.8%	-2.4%	-381.4K	68.2M	-365.0K	0.41	24.89	N/A	N/A	6,060	2,490	238,284	252,270
2011-08-18	$6.83	$9.17	95.2%	27.3%	123.3%	60.2%	89.0%	33.4%	-12.2%	-528.8K	81.9M	-320.1K	0.55	35.93	N/A	N/A	24,978	13,728	236,460	248,370
2011-08-19	$6.58	$8.67	97.8%	28.0%	123.2%	62.4%	103.3%	35.9%	-15.8%	-1.1M	85.6M	-303.9K	1.29	41.06	N/A	N/A	12,900	16,632	250,800	252,792
2011-08-22	$6.45	$8.67	101.1%	29.0%	123.2%	65.3%	101.8%	34.9%	-6.1%	-199.6K	58.0M	-288.0K	0.43	33.22	N/A	N/A	34,464	14,880	172,836	197,562
2011-08-23	$6.86	$8.33	92.6%	26.5%	126.6%	57.9%	90.1%	42.6%	-1.8%	-19.7K	51.2M	-336.2K	0.42	45.47	N/A	N/A	23,010	9,768	194,064	210,090
2011-08-24	$7.20	$8.00	82.0%	23.5%	128.5%	48.6%	90.6%	33.5%	-2.0%	179.2K	40.3M	-367.3K	1.50	46.53	N/A	N/A	10,374	15,582	206,988	214,578
2011-08-25	$7.10	$8.00	94.8%	27.2%	128.3%	59.8%	92.6%	39.0%	-3.6%	127.8K	39.5M	-370.3K	0.53	51.12	N/A	N/A	19,620	10,320	210,270	219,894
2011-08-26	$7.25	$8.00	78.5%	22.5%	129.0%	45.5%	76.7%	33.8%	2.8%	235.2K	40.2M	-368.8K	0.84	45.64	N/A	N/A	13,602	11,382	216,618	224,034
2011-08-29	$7.81	$8.00	67.3%	19.3%	133.0%	35.8%	65.1%	26.3%	-0.1%	572.2K	20.6M	-389.1K	0.98	53.20	N/A	N/A	16,944	16,668	220,638	225,282
2011-08-30	$7.74	$8.00	64.5%	18.5%	132.0%	33.3%	66.0%	21.2%	-0.3%	757.3K	18.8M	-395.1K	1.14	58.12	N/A	N/A	9,078	10,308	230,274	227,016
2011-08-31	$7.90	$8.00	65.9%	18.9%	132.1%	34.6%	64.6%	21.9%	-1.6%	814.3K	14.9M	-398.2K	0.36	55.94	N/A	N/A	10,044	3,618	233,130	231,852