DUG Options History — January 2008

In January 2008, DUG traded between $13896.00 and $19508.00. ATM implied volatility averaged 59.5%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 5.4% (HV 20d: 54.1%). Max pain ranged from $12000.00 to $16000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2008-01-16: Highest Volume — 4 contracts
  • 2008-01-10: Largest IV spike — 52.2% change
  • 2008-01-24: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16778.67$13896.00$19508.00$14204.00$17968.00
Max Pain$14552.38$12000.00$16000.00$14000.00$16000.00
ATM IV59.5%40.3%76.6%50.0%63.2%
Expected Move17.4%12.0%22.0%14.3%18.1%
HV 20d54.1%42.4%63.9%43.0%63.0%
HV 60d55.1%52.2%57.7%53.2%56.6%
Term Structure0.1%-17.8%21.7%1.2%-12.3%
VWIV60.7%44.9%78.5%48.4%65.4%
Skew 25d-4.6%-27.2%21.4%-6.0%-5.4%
Skew 10d-2.4%-33.2%45.3%0.5%-14.2%
Call IV 25d62.5%46.3%83.9%51.8%67.2%
Put IV 25d58.0%28.6%89.2%45.8%61.9%
Bid-Ask Spread %89.6245.63138.1485.8697.12
Gamma HHI0.170.130.300.150.16
Net GEX213.3K68.4K417.8K83.4K192.5K
Net DEX-5.7M-15.8M-197.0K-541.8K-5.8M
Net VEX-17.1K-22.4K-8.7K-9.1K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.030.720.490.10
Total Volume1.3810400
Total OI9.762614611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$14204.00$14000.0050.0%14.3%43.0%0.0%48.4%-6.0%1.2%83.4K-541.8K-9.1K0.4985.86N/AN/A0051
2008-01-03$13896.00$14000.0044.8%12.8%42.4%0.0%44.9%-8.3%5.0%68.4K-197.0K-8.7K0.0585.70N/AN/A1051
2008-01-04$14780.00$12000.0049.9%15.4%48.2%0.0%53.1%-0.8%5.9%130.8K-1.3M-10.5K0.14138.14N/AN/A2051
2008-01-07$15180.00$14000.0047.0%14.5%46.1%0.0%49.9%-21.0%8.2%188.2K-2.8M-13.6K0.07111.86N/AN/A1072
2008-01-08$15500.00$12000.0052.8%15.4%46.7%0.0%50.1%-0.5%8.5%262.9K-3.3M-13.4K0.10108.40N/AN/A1072
2008-01-09$15000.00$14000.0040.3%15.9%48.0%0.0%55.4%-1.7%4.7%236.7K-3.1M-13.2K0.0868.40N/AN/A1072
2008-01-10$15152.00$14000.0061.4%17.6%46.6%0.0%50.6%3.8%-10.4%237.8K-3.2M-14.3K0.37107.27N/AN/A1082
2008-01-11$15672.00$14000.0057.9%16.6%46.1%0.0%56.7%3.5%1.5%304.0K-4.4M-15.7K0.05103.40N/AN/A1082
2008-01-14$15168.00$14400.0052.6%15.1%47.6%0.0%52.5%-17.8%7.1%247.6K-3.2M-15.0K0.12118.64N/AN/A1082
2008-01-15$16220.00$14400.0042.0%12.0%52.8%0.0%56.6%-1.1%21.7%375.4K-6.3M-15.9K0.0490.42N/AN/A2092
2008-01-16$17320.00$14400.0058.9%16.9%55.6%0.0%56.9%-3.2%2.3%417.8K-11.0M-18.7K0.1471.80N/AN/A31102
2008-01-17$18600.00$14400.0061.5%17.6%59.4%0.0%59.7%-3.0%2.3%280.2K-15.2M-19.3K0.7262.86N/AN/A21112
2008-01-18$18420.00$14400.0066.7%19.1%59.5%0.0%67.3%-6.8%-1.3%349.7K-15.8M-20.0K0.0945.63N/AN/A20113
2008-01-22$19508.00$14800.0071.0%20.3%60.1%0.0%68.7%-1.9%0.1%151.2K-8.4M-19.5K0.2875.53N/AN/A1072
2008-01-23$19320.00$15600.0075.9%21.8%56.4%0.0%75.9%-27.2%0.6%151.8K-8.1M-21.4K0.17109.92N/AN/A1072
2008-01-24$18144.00$15600.0076.6%22.0%62.2%0.0%69.8%3.6%-17.4%154.4K-6.3M-21.3K0.1983.09N/AN/A3172
2008-01-25$18664.00$15600.0075.5%21.6%61.0%0.0%71.1%-9.4%-2.8%163.6K-6.2M-22.0K0.3770.22N/AN/A1073
2008-01-28$17940.00$16000.0068.0%19.5%63.9%0.0%78.5%-13.4%-5.1%142.8K-5.3M-22.4K0.0681.64N/AN/A1073
2008-01-29$17760.00$16000.0069.0%19.8%63.7%0.0%69.2%-0.7%-0.1%171.8K-4.9M-21.6K0.0372.73N/AN/A0083
2008-01-30$17936.00$16000.0065.5%18.8%63.5%0.0%74.0%21.4%-17.8%167.7K-4.7M-21.4K0.0993.42N/AN/A1083
2008-01-31$17968.00$16000.0063.2%18.1%63.0%0.0%65.4%-5.4%-12.3%192.5K-5.8M-21.1K0.1097.12N/AN/A0083