UYG Options History — March 2012

In March 2012, UYG traded between $8.94 and $10.69. ATM implied volatility averaged 34.9%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 1.8% (HV 20d: 33.1%). Max pain ranged from $8.50 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.30.

Notable Days

2012-03-01: Highest Volume — 30,300 contracts
2012-03-13: Largest IV spike — 16.7% change
2012-03-06: Highest IV Rank — 12.3%
2012-03-06: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.01	$8.94	$10.69	$9.49	$10.47
Max Pain	$9.41	$8.50	$10.00	$8.50	$10.00
ATM IV	34.9%	31.4%	40.4%	33.7%	33.3%
Expected Move	10.2%	9.5%	11.6%	9.7%	9.5%
HV 20d	33.1%	22.3%	37.7%	27.3%	37.2%
HV 60d	33.2%	29.6%	38.3%	37.6%	29.6%
IV Rank	7.5%	4.5%	12.3%	6.5%	6.1%
IV Percentile	20.3%	7.9%	39.3%	14.7%	13.1%
Term Structure	3.0%	1.3%	3.9%	3.8%	3.3%
VWIV	36.9%	32.6%	45.3%	34.2%	33.8%
Skew 25d	7.6%	5.7%	10.0%	6.4%	6.0%
Skew 10d	16.3%	11.7%	22.4%	15.3%	11.7%
Call IV 25d	32.5%	30.9%	37.0%	31.4%	31.2%
Put IV 25d	40.0%	37.2%	46.8%	37.8%	37.2%
Bid-Ask Spread %	30.36	18.67	56.20	43.84	18.67
Gamma HHI	0.09	0.07	0.30	0.07	0.07
Net GEX	560.6K	-62.3K	1.8M	726.4K	241.6K
Net DEX	-21.5M	-57.6M	-1.1M	-23.7M	-15.7M
Net VEX	-193.9K	-220.9K	-160.1K	-160.1K	-216.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.34	9.86	9.86	0.99
Total Volume	9,481.091	1,428	30,300	30,300	5,802
Total OI	188,281.364	129,042	233,442	181,602	173,130

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
2012-03-01	$9.49	$8.50	33.7%	9.7%	27.3%	6.5%	34.2%	6.4%	3.8%	726.4K	-23.7M	-160.1K	9.86	43.84	N/A	N/A	2,790	27,510	83,544	98,058
2012-03-02	$9.40	$8.50	33.9%	9.7%	27.5%	6.6%	32.8%	6.5%	3.5%	376.1K	-15.1M	-200.0K	0.34	32.55	N/A	N/A	1,986	678	84,744	124,824
2012-03-05	$9.34	$9.17	35.2%	10.8%	22.3%	7.8%	45.3%	9.6%	3.4%	390.7K	-14.7M	-193.3K	1.11	40.93	N/A	N/A	2,370	2,622	85,944	124,968
2012-03-06	$8.94	$9.17	40.4%	11.6%	27.3%	12.3%	43.2%	9.8%	2.5%	-62.3K	-1.1M	-198.1K	0.67	40.38	N/A	N/A	6,252	4,182	87,036	126,558
2012-03-07	$9.14	$9.17	35.3%	11.2%	28.5%	7.9%	37.6%	10.0%	3.0%	266.8K	-8.5M	-196.2K	0.44	31.96	N/A	N/A	3,078	1,368	88,656	127,584
2012-03-08	$9.31	$9.17	34.2%	10.8%	29.1%	6.9%	38.6%	9.5%	2.9%	558.1K	-14.5M	-193.0K	1.22	37.29	N/A	N/A	642	786	89,910	128,454
2012-03-09	$9.45	$9.17	31.4%	10.3%	29.5%	4.5%	39.7%	8.8%	3.7%	808.5K	-20.6M	-188.8K	1.63	37.25	N/A	N/A	1,776	2,886	90,048	128,652
2012-03-12	$9.42	$9.17	33.0%	10.0%	28.7%	5.9%	36.5%	8.7%	3.7%	694.5K	-18.0M	-182.0K	0.43	56.20	N/A	N/A	2,298	978	90,564	128,058
2012-03-13	$10.07	$9.17	38.5%	10.3%	36.6%	10.7%	37.1%	8.4%	1.3%	1.4M	-43.4M	-171.8K	0.54	40.07	N/A	N/A	10,830	5,820	91,164	128,520
2012-03-14	$10.07	$9.17	33.9%	10.1%	35.7%	6.6%	32.6%	8.8%	2.6%	1.8M	-46.2M	-169.0K	1.14	28.28	N/A	N/A	7,488	8,568	95,808	129,402
2012-03-15	$10.37	$9.17	35.5%	10.2%	36.2%	8.0%	37.0%	8.0%	2.6%	1.6M	-57.6M	-172.4K	0.74	26.24	N/A	N/A	12,654	9,330	97,770	132,132
2012-03-16	$10.42	$9.33	34.6%	9.9%	35.6%	7.2%	37.0%	7.7%	3.9%	1.4M	-53.7M	-176.0K	0.80	29.19	N/A	N/A	6,558	5,214	94,986	138,456
2012-03-19	$10.54	$9.33	35.2%	10.1%	35.6%	7.8%	36.7%	6.8%	3.2%	156.3K	-14.8M	-184.5K	0.84	19.44	N/A	N/A	9,018	7,572	47,130	81,912
2012-03-20	$10.57	$9.50	36.4%	10.4%	35.4%	8.8%	37.1%	7.0%	2.4%	211.1K	-16.3M	-201.1K	1.03	19.28	N/A	N/A	2,580	2,646	53,562	87,810
2012-03-21	$10.47	$9.67	35.6%	10.2%	34.3%	8.1%	37.1%	6.5%	2.1%	244.0K	-15.8M	-196.3K	1.12	19.90	N/A	N/A	3,918	4,380	55,038	89,496
2012-03-22	$10.21	$9.83	36.6%	10.5%	35.9%	9.0%	37.2%	6.9%	2.4%	125.7K	-9.5M	-212.0K	0.82	27.90	N/A	N/A	5,220	4,278	57,510	92,712
2012-03-23	$10.38	$9.83	34.2%	9.8%	36.0%	6.9%	34.5%	6.6%	3.0%	213.9K	-13.1M	-214.8K	1.25	24.41	N/A	N/A	2,226	2,784	59,958	96,438
2012-03-26	$10.69	$10.00	33.3%	9.5%	36.9%	6.1%	36.5%	6.5%	2.8%	349.2K	-20.5M	-205.5K	0.89	23.14	N/A	N/A	3,510	3,108	60,708	98,010
2012-03-27	$10.53	$10.00	34.7%	10.0%	37.7%	7.3%	34.5%	5.9%	2.5%	288.1K	-17.3M	-206.3K	0.44	24.18	N/A	N/A	2,904	1,290	61,506	99,558
2012-03-28	$10.58	$10.00	34.0%	9.8%	37.3%	6.7%	34.8%	6.1%	3.6%	333.1K	-18.2M	-206.8K	1.00	25.89	N/A	N/A	4,842	4,830	62,664	100,146
2012-03-29	$10.40	$10.00	35.0%	10.0%	37.6%	7.6%	37.0%	5.7%	3.2%	194.2K	-13.7M	-220.9K	1.40	20.91	N/A	N/A	3,756	5,256	65,646	103,416
2012-03-30	$10.47	$10.00	33.3%	9.5%	37.2%	6.1%	33.8%	6.0%	3.3%	241.6K	-15.7M	-216.7K	0.99	18.67	N/A	N/A	2,916	2,886	66,474	106,656