UYG Options History — May 2012 In May 2012, UYG traded between $8.22 and $10.37. ATM implied volatility averaged 44.2%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 11.7% (HV 20d: 32.5%). Max pain ranged from $9.00 to $10.17. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.12.
Notable Days 2012-05-25 : Highest Volume — 49,224 contracts2012-05-21 : Largest IV drop — 15.3% change2012-05-18 : Highest IV Rank — 25.9%2012-05-18 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.13 $8.22 $10.37 $10.37 $8.53 Max Pain $9.33 $9.00 $10.17 $10.00 $9.00 ATM IV 44.2% 33.5% 56.6% 33.5% 48.8% Expected Move 12.8% 9.6% 16.2% 9.6% 14.0% HV 20d 32.5% 27.0% 38.1% 37.5% 34.3% HV 60d 34.8% 33.0% 37.2% 33.0% 36.2% IV Rank 14.9% 5.5% 25.9% 5.5% 17.6% IV Percentile 44.1% 11.1% 62.7% 11.1% 55.6% Term Structure 2.3% -0.5% 5.2% 3.9% 2.9% VWIV 44.9% 33.6% 53.6% 33.9% 48.8% Skew 25d 11.1% 6.4% 15.4% 6.4% 11.2% Skew 10d 22.5% 13.7% 30.6% 13.7% 21.5% Call IV 25d 40.3% 30.5% 49.9% 30.5% 43.9% Put IV 25d 51.3% 36.9% 65.3% 36.9% 55.1% Bid-Ask Spread % 29.92 13.67 71.52 18.99 38.60 Gamma HHI 0.10 0.06 0.18 0.06 0.09 Net GEX -542.7K -1.3M 531.4K 531.4K -499.0K Net DEX 14.9M -13.1M 41.8M -13.1M 20.7M Net VEX -173.6K -192.9K -148.6K -192.8K -177.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.26 3.16 0.80 0.46 Total Volume 10,864.636 2,292 49,224 6,312 2,292 Total OI 177,666.818 148,662 196,566 173,358 176,100
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 2012-05-01 $10.37 $10.00 33.5% 9.6% 37.5% 5.5% 33.9% 6.4% 3.9% 531.4K -13.1M -192.8K 0.80 18.99 N/A N/A 3,504 2,808 68,310 105,048 2012-05-02 $10.22 $10.17 33.8% 9.7% 37.8% 5.8% 34.5% 6.6% 2.8% 372.3K -8.4M -188.7K 1.22 17.92 N/A N/A 1,950 2,376 69,084 105,564 2012-05-03 $10.04 $10.17 34.7% 9.9% 36.9% 6.6% 33.6% 7.3% 3.8% 144.4K -3.9M -191.0K 0.52 20.73 N/A N/A 1,734 900 69,192 105,780 2012-05-04 $9.75 $9.17 34.8% 10.9% 38.1% 6.7% 36.2% 9.3% 3.0% -257.7K 4.3M -184.9K 0.42 18.79 N/A N/A 4,128 1,740 70,146 106,440 2012-05-07 $9.84 $9.17 36.4% 11.3% 36.9% 8.1% 38.8% 9.8% 0.9% -177.6K 2.3M -180.5K 0.45 23.12 N/A N/A 3,288 1,476 71,124 107,298 2012-05-08 $9.75 $9.17 37.2% 11.4% 33.5% 8.8% 44.1% 10.3% 1.7% -241.4K 4.1M -177.3K 0.50 17.71 N/A N/A 6,300 3,144 72,426 107,454 2012-05-09 $9.55 $9.17 41.7% 12.4% 32.6% 12.7% 44.3% 10.4% 1.4% -479.4K 8.6M -175.1K 1.41 20.13 N/A N/A 2,628 3,696 72,936 107,196 2012-05-10 $9.64 $9.33 41.6% 11.9% 29.9% 12.7% 42.0% 10.4% 1.6% -401.3K 6.1M -181.2K 1.16 15.89 N/A N/A 1,488 1,728 73,890 108,228 2012-05-11 $9.47 $9.33 42.0% 12.0% 27.0% 13.0% 44.6% 9.6% 2.6% -683.7K 11.2M -170.1K 1.96 28.08 N/A N/A 1,872 3,666 74,682 108,588 2012-05-14 $9.13 $9.33 47.0% 13.5% 29.2% 17.4% 46.6% 10.7% 1.4% -1.2M 21.0M -164.8K 0.87 48.51 N/A N/A 4,710 4,098 75,390 109,644 2012-05-15 $9.03 $9.33 48.4% 13.9% 27.0% 18.6% 46.0% 11.9% 2.5% -1.3M 23.3M -161.0K 0.48 19.98 N/A N/A 4,530 2,178 76,584 111,150 2012-05-16 $8.80 $9.33 49.4% 14.2% 27.8% 19.6% 48.6% 10.6% 1.3% -1.3M 30.1M -157.9K 1.29 38.48 N/A N/A 5,490 7,062 78,360 112,098 2012-05-17 $8.41 $9.33 53.8% 15.4% 31.0% 23.4% 49.5% 12.6% -0.1% -1.1M 39.2M -150.0K 1.42 16.90 N/A N/A 6,222 8,808 79,704 114,246 2012-05-18 $8.22 $9.33 56.6% 16.2% 31.4% 25.9% 53.6% 15.4% -0.5% -970.6K 41.8M -148.6K 1.60 13.67 N/A N/A 5,700 9,120 81,780 114,786 2012-05-21 $8.42 $9.33 47.9% 13.7% 33.3% 18.2% 47.1% 14.1% 0.3% -897.7K 24.1M -149.1K 0.51 44.37 N/A N/A 6,174 3,126 53,940 94,722 2012-05-22 $8.55 $9.17 49.1% 14.1% 32.8% 19.3% 47.0% 12.3% 0.9% -803.1K 21.4M -153.8K 0.79 53.14 N/A N/A 11,322 8,994 56,082 96,636 2012-05-23 $8.62 $9.00 48.3% 13.9% 31.5% 18.6% 47.5% 13.6% 1.8% -677.9K 19.9M -177.9K 3.16 18.59 N/A N/A 7,062 22,308 64,350 104,310 2012-05-24 $8.65 $9.00 47.9% 13.7% 30.4% 18.2% 50.6% 13.6% 4.6% -590.1K 18.8M -192.9K 1.33 24.66 N/A N/A 5,958 7,944 69,666 109,842 2012-05-25 $8.59 $9.17 46.8% 13.4% 30.2% 17.2% 50.6% 12.9% 5.2% -718.2K 21.8M -191.3K 1.18 61.98 N/A N/A 22,572 26,652 68,508 113,616 2012-05-29 $8.81 $9.00 44.3% 12.7% 32.6% 15.0% 49.5% 12.3% 5.1% -287.8K 13.3M -182.4K 0.26 26.38 N/A N/A 2,094 552 70,914 101,472 2012-05-30 $8.43 $9.17 49.5% 14.2% 33.5% 19.6% 50.5% 11.6% 2.7% -497.5K 20.7M -171.9K 2.88 71.52 N/A N/A 1,452 4,176 69,732 101,652 2012-05-31 $8.53 $9.00 48.8% 14.0% 34.3% 17.6% 48.8% 11.2% 2.9% -499.0K 20.7M -177.3K 0.46 38.60 N/A N/A 1,572 720 70,788 105,312
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