DUG Options History — November 2007

In November 2007, DUG traded between $15544.00 and $17900.00. ATM implied volatility averaged 58.7%. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 4.7% (HV 20d: 63.5%). Max pain ranged from $14800.00 to $16000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2007-11-07: Highest Volume — 2 contracts
  • 2007-11-12: Largest IV spike — 34.0% change
  • 2007-11-23: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16941.33$15544.00$17900.00$16308.00$16800.00
Max Pain$15676.19$14800.00$16000.00$16000.00$16000.00
ATM IV58.7%44.2%66.7%46.3%57.1%
Expected Move17.2%13.3%19.1%13.3%16.4%
HV 20d63.5%60.0%67.4%67.4%60.0%
Term Structure2.7%-6.9%10.7%9.7%3.4%
VWIV59.3%55.6%62.6%57.4%55.6%
Skew 25d-5.1%-15.7%34.8%34.8%-7.3%
Skew 10d-6.7%-31.0%21.5%21.5%-2.2%
Call IV 25d62.6%53.4%79.7%79.7%61.9%
Put IV 25d57.5%41.9%114.5%114.5%54.5%
Bid-Ask Spread %59.6118.34141.66141.6644.10
Gamma HHI0.220.150.510.510.17
Net GEX79.8K35.7K147.0K39.2K147.0K
Net DEX-2.8M-5.4M-775.4K-841.1K-4.2M
Net VEX-9.8K-17.5K-1.9K-1.9K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.000.900.320.51
Total Volume0.810210
Total OI4.9051818

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$16308.00$16000.0046.3%13.3%0.0%0.0%57.4%34.8%9.7%39.2K-841.1K-1.9K0.32141.66N/AN/A1010
2007-11-02$16204.00$16000.0059.2%17.0%0.0%0.0%61.4%-7.1%1.7%35.7K-936.3K-3.0K0.1938.48N/AN/A0010
2007-11-05$16312.00$14800.0056.9%17.0%0.0%0.0%58.6%-7.6%8.5%42.3K-1.1M-3.4K0.1718.34N/AN/A1020
2007-11-06$15544.00$14800.0044.2%16.3%0.0%0.0%56.7%-8.4%3.7%40.4K-775.4K-4.2K0.2018.36N/AN/A1021
2007-11-07$16368.00$14800.0050.5%17.3%0.0%0.0%60.1%-3.8%-4.6%72.0K-1.8M-5.3K0.9067.38N/AN/A1121
2007-11-08$15792.00$14800.0057.2%16.9%0.0%0.0%58.2%-5.6%6.6%110.6K-1.4M-9.0K0.2170.36N/AN/A1031
2007-11-09$16560.00$14800.0048.5%17.4%0.0%0.0%61.0%-4.5%1.8%102.5K-2.3M-9.4K0.0969.41N/AN/A1031
2007-11-12$17900.00$15200.0065.0%17.5%0.0%0.0%60.6%-4.5%2.8%67.5K-3.9M-8.3K0.2271.91N/AN/A1032
2007-11-13$17116.00$16000.0059.2%16.8%0.0%0.0%59.5%-12.4%7.4%63.0K-3.1M-8.9K0.1174.43N/AN/A1032
2007-11-14$17216.00$16000.0066.5%17.0%0.0%0.0%59.1%-6.7%4.2%100.9K-3.3M-10.3K0.0527.45N/AN/A1042
2007-11-15$17872.00$16000.0064.6%18.5%0.0%0.0%62.6%-1.6%-2.3%114.6K-4.4M-9.7K0.0556.96N/AN/A1042
2007-11-16$17480.00$16000.0059.3%17.0%0.0%0.0%55.9%3.0%2.3%46.3K-3.8M-10.0K0.1941.89N/AN/A1042
2007-11-19$17800.00$16000.0061.5%17.6%0.0%0.0%59.3%-0.2%0.0%43.9K-2.4M-9.9K0.3924.37N/AN/A0032
2007-11-20$16792.00$16000.0061.5%17.6%67.4%0.0%60.7%-6.9%2.2%52.1K-1.9M-10.7K0.2881.47N/AN/A0032
2007-11-21$17188.00$16000.0060.2%17.3%65.7%0.0%59.5%-9.0%2.3%55.9K-2.4M-10.7K0.0527.44N/AN/A1032
2007-11-23$16800.00$16000.0066.7%19.1%64.4%0.0%61.5%-15.7%-6.9%64.7K-2.1M-11.5K0.0088.63N/AN/A1032
2007-11-26$17540.00$16000.0063.5%18.2%64.3%0.0%60.7%-4.3%4.5%74.8K-3.1M-12.0K0.0157.92N/AN/A2042
2007-11-27$17856.00$16000.0065.5%18.8%62.7%0.0%62.1%-13.7%-1.1%116.7K-5.4M-15.1K0.1775.45N/AN/A1052
2007-11-28$17440.00$16000.0062.7%18.0%61.9%0.0%57.6%-13.1%-0.2%142.3K-5.2M-17.0K0.0263.74N/AN/A0062
2007-11-29$16880.00$16000.0057.6%16.5%61.3%0.0%57.1%-13.1%10.7%142.7K-4.4M-17.3K0.4492.11N/AN/A0062
2007-11-30$16800.00$16000.0057.1%16.4%60.0%0.0%55.6%-7.3%3.4%147.0K-4.2M-17.5K0.5144.10N/AN/A0062