DUG Options History — February 2008 In February 2008, DUG traded between $14320.00 and $19156.00. ATM implied volatility averaged 59.0%. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 1.7% (HV 20d: 57.3%). Max pain ranged from $15200.00 to $18000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.37.
Notable Days 2008-02-25 : Highest Volume — 6 contracts2008-02-14 : Largest IV spike — 25.7% change2008-02-05 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $16576.40 $14320.00 $19156.00 $17700.00 $14804.00 Max Pain $17040.00 $15200.00 $18000.00 $16000.00 $15200.00 ATM IV 59.0% 47.8% 80.1% 59.8% 52.3% Expected Move 17.1% 14.8% 20.6% 17.2% 15.0% HV 20d 57.3% 49.4% 66.6% 62.6% 52.7% HV 60d 54.5% 53.5% 56.7% 56.7% 54.9% Term Structure -0.3% -20.6% 16.7% -2.7% 15.7% VWIV 59.8% 53.7% 72.7% 61.8% 53.7% Skew 25d -6.7% -17.2% -0.9% -6.8% -4.3% Skew 10d -8.9% -32.1% 12.3% -10.8% -13.4% Call IV 25d 63.9% 55.4% 84.8% 64.8% 59.2% Put IV 25d 57.2% 43.0% 83.9% 58.0% 54.9% Bid-Ask Spread % 59.49 44.53 90.22 56.42 64.87 Gamma HHI 0.12 0.08 0.21 0.14 0.15 Net GEX 146.0K 32.8K 266.1K 178.5K 262.6K Net DEX -3.2M -8.2M 240.5K -4.6M -5.6M Net VEX -26.0K -49.7K -18.3K -20.6K -49.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.06 1.26 0.77 0.17 Total Volume 2.6 0 6 2 6 Total OI 15.4 9 31 11 31
Daily Data (20 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 2008-02-01 $17700.00 $16000.00 59.8% 17.2% 62.6% 0.0% 61.8% -6.8% -2.7% 178.5K -4.6M -20.6K 0.77 56.42 N/A N/A 1 1 8 3 2008-02-04 $17520.00 $18000.00 60.9% 17.6% 60.2% 0.0% 60.9% -0.9% 4.5% 171.6K -4.1M -22.6K 0.34 90.22 N/A N/A 0 0 9 3 2008-02-05 $18800.00 $18000.00 64.0% 20.6% 63.8% 0.0% 72.7% -5.7% -14.5% 239.7K -6.6M -23.2K 0.09 60.27 N/A N/A 1 0 9 3 2008-02-06 $19156.00 $18000.00 80.1% 19.2% 63.8% 0.0% 67.3% -3.7% -4.0% 260.7K -8.2M -24.6K 0.61 48.73 N/A N/A 1 0 9 4 2008-02-07 $18900.00 $18000.00 72.5% 19.7% 62.4% 0.0% 64.8% -6.5% -6.3% 253.3K -7.7M -24.4K 0.23 55.24 N/A N/A 1 0 9 4 2008-02-08 $18360.00 $18000.00 60.1% 17.6% 64.0% 0.0% 64.4% -9.4% -2.4% 266.1K -6.6M -24.9K 0.06 52.66 N/A N/A 0 0 10 4 2008-02-11 $17476.00 $18000.00 61.1% 19.1% 66.6% 0.0% 65.9% -7.2% -7.7% 197.4K -4.3M -22.2K 0.22 70.51 N/A N/A 1 0 10 4 2008-02-12 $17420.00 $18000.00 60.0% 18.0% 65.2% 0.0% 63.9% -8.3% -2.1% 158.5K -3.4M -21.6K 0.46 44.53 N/A N/A 1 0 10 4 2008-02-13 $16640.00 $18000.00 47.8% 17.1% 63.7% 0.0% 58.9% -1.4% 9.1% 72.2K -1.2M -19.8K 1.26 48.18 N/A N/A 1 1 10 4 2008-02-14 $16560.00 $18000.00 60.0% 17.2% 59.0% 0.0% 59.5% -7.7% -7.1% 48.2K -995.2K -19.4K 0.10 46.31 N/A N/A 1 0 10 4 2008-02-15 $16672.00 $18000.00 57.9% 16.6% 52.4% 0.0% 58.4% -5.7% -6.7% 37.2K -1.3M -19.9K 0.17 46.63 N/A N/A 1 0 10 4 2008-02-19 $15780.00 $17600.00 57.6% 16.5% 55.2% 0.0% 55.2% -7.1% -0.4% 32.8K -638.4K -18.3K 0.08 62.86 N/A N/A 2 0 6 3 2008-02-20 $15400.00 $16400.00 61.4% 17.6% 49.8% 0.0% 54.6% -3.9% -20.6% 50.6K -689.8K -19.2K 0.22 60.23 N/A N/A 2 0 7 3 2008-02-21 $16068.00 $16400.00 55.7% 16.0% 53.4% 0.0% 55.7% -5.0% 3.6% 91.7K -2.3M -23.2K 0.44 49.25 N/A N/A 3 1 8 3 2008-02-22 $15700.00 $16000.00 55.4% 15.9% 49.9% 0.0% 54.2% -7.6% 3.8% 92.2K -2.2M -27.5K 0.11 58.78 N/A N/A 4 1 9 4 2008-02-25 $14960.00 $16000.00 54.4% 15.6% 50.1% 0.0% 56.0% -6.1% 7.4% 105.5K -1.2M -28.5K 0.10 67.02 N/A N/A 5 1 12 5 2008-02-26 $14520.00 $16000.00 51.7% 14.8% 49.4% 0.0% 55.9% -8.1% 16.7% 128.6K -1.1M -32.3K 0.24 67.81 N/A N/A 4 1 16 5 2008-02-27 $14772.00 $15600.00 54.3% 15.6% 50.4% 0.0% 55.1% -11.0% 4.6% 184.5K -2.0M -36.9K 1.21 69.20 N/A N/A 2 3 18 5 2008-02-28 $14320.00 $15600.00 52.4% 15.0% 50.5% 0.0% 56.2% -17.2% 3.7% 89.1K 240.5K -40.4K 0.41 70.01 N/A N/A 4 2 20 8 2008-02-29 $14804.00 $15200.00 52.3% 15.0% 52.7% 0.0% 53.7% -4.3% 15.7% 262.6K -5.6M -49.7K 0.17 64.87 N/A N/A 5 1 23 8
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