UYG Options History — June 2012 In June 2012, UYG traded between $7.79 and $9.29. ATM implied volatility averaged 45.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 2.1% (HV 20d: 47.7%). Max pain ranged from $8.33 to $9.33. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.39.
Notable Days 2012-06-04 : Highest Volume — 24,342 contracts2012-06-11 : Largest IV spike — 29.9% change2012-06-04 : Highest IV Rank — 26.2%2012-06-04 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $8.63 $7.79 $9.29 $7.93 $9.29 Max Pain $8.82 $8.33 $9.33 $9.00 $9.00 ATM IV 45.6% 36.9% 58.4% 57.9% 36.9% Expected Move 13.5% 10.6% 16.7% 16.6% 10.6% HV 20d 47.7% 40.6% 52.1% 41.0% 43.2% HV 60d 39.6% 38.1% 41.8% 38.7% 41.8% IV Rank 14.8% 7.0% 26.2% 25.8% 7.0% IV Percentile 42.8% 19.0% 63.5% 62.7% 19.0% Term Structure 1.7% -1.2% 3.6% 0.5% 3.0% VWIV 47.5% 37.8% 59.8% 56.9% 38.1% Skew 25d 12.4% 8.9% 15.7% 12.3% 9.1% Skew 10d 24.8% 17.5% 33.7% 22.6% 18.8% Call IV 25d 41.6% 32.9% 54.2% 54.2% 32.9% Put IV 25d 54.0% 42.0% 67.1% 66.4% 42.0% Bid-Ask Spread % 36.63 22.58 70.00 70.00 41.44 Gamma HHI 0.09 0.06 0.16 0.10 0.08 Net GEX 21.7K -747.7K 514.8K -653.0K 514.8K Net DEX 10.7M -4.4M 34.4M 30.9M -4.4M Net VEX -170.2K -179.8K -151.5K -159.4K -177.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.16 7.81 0.68 0.63 Total Volume 7,784.286 1,206 24,342 7,782 6,180 Total OI 169,744.571 116,766 216,720 177,174 144,798
Daily Data (21 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 2012-06-01 $7.93 $9.00 57.9% 16.6% 41.0% 25.8% 56.9% 12.3% 0.5% -653.0K 30.9M -159.4K 0.68 70.00 N/A N/A 4,626 3,156 71,682 105,492 2012-06-04 $7.79 $9.33 58.4% 16.7% 40.6% 26.2% 55.9% 15.3% 0.2% -747.7K 34.4M -151.5K 0.23 28.12 N/A N/A 19,770 4,572 72,288 107,724 2012-06-05 $8.03 $8.33 52.5% 15.8% 42.6% 21.0% 54.4% 15.2% -0.9% -380.2K 27.0M -169.5K 0.53 22.58 N/A N/A 3,204 1,686 88,824 109,302 2012-06-06 $8.48 $8.33 46.0% 14.6% 48.3% 15.1% 55.1% 14.9% 1.4% -130.2K 15.5M -179.6K 1.07 27.47 N/A N/A 3,600 3,870 89,946 110,190 2012-06-07 $8.45 $8.33 45.9% 14.5% 48.0% 15.0% 57.7% 13.4% 0.5% -102.8K 15.4M -179.8K 2.29 26.56 N/A N/A 3,024 6,912 91,044 112,488 2012-06-08 $8.63 $8.33 42.0% 14.0% 48.8% 11.5% 51.5% 14.1% 2.0% 29.9K 10.7M -179.0K 0.92 40.16 N/A N/A 1,134 1,038 91,458 113,466 2012-06-11 $8.33 $8.33 54.6% 15.6% 49.8% 22.8% 59.8% 13.2% -1.2% -226.3K 19.3M -166.5K 0.70 24.53 N/A N/A 2,322 1,626 91,398 113,934 2012-06-12 $8.56 $8.33 45.6% 14.7% 49.8% 14.8% 47.6% 13.7% 0.2% 123.1K 12.4M -166.4K 1.65 27.70 N/A N/A 3,816 6,312 92,370 114,546 2012-06-13 $8.48 $8.83 45.3% 15.1% 49.7% 14.5% 48.6% 14.5% 2.4% 34.6K 15.5M -167.4K 1.94 23.12 N/A N/A 2,994 5,808 93,474 116,394 2012-06-14 $8.69 $9.00 50.9% 14.6% 49.8% 19.6% 49.5% 15.7% 0.8% 421.3K 7.3M -169.4K 0.58 25.29 N/A N/A 4,392 2,526 94,152 119,586 2012-06-15 $8.89 $9.00 47.3% 13.6% 47.6% 16.3% 42.4% 15.7% 2.5% 263.7K -1.5M -167.9K 0.28 27.72 N/A N/A 12,246 3,426 96,642 120,078 2012-06-18 $8.85 $9.00 43.9% 12.6% 46.8% 13.2% 51.1% 12.8% 1.8% 82.6K 5.1M -168.8K 2.37 32.40 N/A N/A 2,442 5,790 47,688 69,078 2012-06-19 $9.11 $9.00 39.2% 11.2% 47.1% 9.0% 37.8% 11.8% 3.6% 178.9K 1.4M -171.6K 0.29 37.52 N/A N/A 8,256 2,394 49,332 74,004 2012-06-20 $9.15 $9.00 38.4% 11.0% 46.9% 8.4% 39.1% 10.9% 3.1% 253.4K 217.2K -176.7K 2.07 40.38 N/A N/A 2,256 4,680 53,202 75,648 2012-06-21 $8.76 $9.00 42.8% 12.3% 49.7% 12.3% 41.2% 10.8% 2.4% 100.2K 6.3M -173.9K 1.04 45.20 N/A N/A 3,060 3,174 54,852 79,098 2012-06-22 $8.91 $9.00 39.8% 11.4% 50.1% 9.5% 40.0% 9.4% 3.5% 194.2K 3.5M -173.1K 0.92 56.95 N/A N/A 1,398 1,284 56,244 79,278 2012-06-25 $8.57 $9.00 44.2% 12.7% 52.1% 13.6% 43.1% 9.5% 2.1% 24.7K 9.0M -165.0K 2.54 26.53 N/A N/A 1,794 4,560 57,144 80,190 2012-06-26 $8.68 $9.00 43.0% 12.3% 51.3% 12.5% 42.3% 8.9% 2.3% 85.6K 7.9M -167.4K 0.16 50.89 N/A N/A 1,044 162 58,110 83,802 2012-06-27 $8.86 $9.00 41.2% 11.8% 49.2% 10.8% 42.3% 9.4% 2.7% 200.0K 4.8M -171.4K 0.53 65.57 N/A N/A 1,170 618 58,362 83,886 2012-06-28 $8.85 $9.00 41.5% 11.9% 49.1% 11.1% 42.3% 9.2% 2.6% 190.0K 4.7M -173.0K 7.81 29.07 N/A N/A 1,266 9,882 59,118 84,324 2012-06-29 $9.29 $9.00 36.9% 10.6% 43.2% 7.0% 38.1% 9.1% 3.0% 514.8K -4.4M -177.6K 0.63 41.44 N/A N/A 3,786 2,394 59,712 85,086
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