DUG Options History — March 2008

In March 2008, DUG traded between $14920.00 and $16796.00. ATM implied volatility averaged 63.5%. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 2.6% (HV 20d: 60.9%). Max pain ranged from $14800.00 to $15200.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2008-03-19: Highest Volume — 20 contracts
  • 2008-03-13: Largest IV spike — 12.8% change
  • 2008-03-19: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15683.00$14920.00$16796.00$14936.00$15400.00
Max Pain$14960.00$14800.00$15200.00$15200.00$15200.00
ATM IV63.5%57.5%70.7%57.9%64.0%
Expected Move18.5%16.5%20.3%16.6%18.3%
HV 20d60.9%47.0%70.5%53.1%65.4%
HV 60d58.4%54.0%61.8%54.8%61.2%
Term Structure1.6%-7.6%11.5%3.7%7.9%
VWIV65.6%59.0%71.2%60.9%66.2%
Skew 25d-7.7%-18.7%0.6%-11.3%-9.1%
Skew 10d-14.7%-26.5%5.1%-23.2%-26.5%
Call IV 25d68.9%61.8%76.8%64.6%70.8%
Put IV 25d61.3%53.2%69.9%53.2%61.7%
Bid-Ask Spread %45.5931.2573.2963.9736.32
Gamma HHI0.170.120.290.160.16
Net GEX619.7K274.4K2.2M274.4K537.2K
Net DEX-12.8M-31.5M-5.0M-5.0M-11.3M
Net VEX-64.5K-88.7K-48.5K-48.7K-88.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.030.850.180.29
Total Volume7.6522038
Total OI42.0532603251

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$14936.00$15200.0057.9%16.6%53.1%0.0%60.9%-11.3%3.7%274.4K-5.0M-48.7K0.1863.97N/AN/A21248
2008-03-04$15368.00$15200.0059.7%17.1%54.7%0.0%60.5%-6.4%3.8%327.2K-7.1M-51.8K0.0966.74N/AN/A40258
2008-03-05$14920.00$15200.0057.5%16.5%47.0%0.0%59.0%-10.3%3.5%292.7K-5.1M-49.8K0.2370.60N/AN/A21258
2008-03-06$15572.00$15200.0059.1%17.0%49.7%0.0%62.2%-6.9%6.4%391.9K-8.7M-54.6K0.1573.29N/AN/A20278
2008-03-07$16100.00$14800.0059.0%18.2%52.0%0.0%64.4%-5.6%-3.1%540.9K-14.5M-58.6K0.1351.01N/AN/A51288
2008-03-10$16592.00$14800.0064.7%19.0%53.1%0.0%64.8%-4.9%-5.2%632.6K-17.2M-55.3K0.0345.18N/AN/A30288
2008-03-11$15140.00$14800.0057.9%18.6%59.5%0.0%67.3%-10.7%-6.3%394.5K-7.0M-48.5K0.1345.38N/AN/A41288
2008-03-12$15448.00$14800.0062.2%20.0%60.3%0.0%70.3%-6.9%-7.6%509.6K-10.2M-53.3K0.2035.36N/AN/A51309
2008-03-13$15012.00$14800.0070.1%20.1%59.1%0.0%69.8%-10.2%-6.7%468.5K-8.6M-55.9K0.3437.95N/AN/A103339
2008-03-14$15440.00$14800.0069.5%19.9%60.2%0.0%69.9%-4.3%-4.6%773.5K-14.2M-69.5K0.2038.90N/AN/A513712
2008-03-17$16240.00$14800.0066.8%19.2%63.2%0.0%67.4%-9.3%-2.3%1.1M-21.9M-66.8K0.1631.25N/AN/A1633812
2008-03-18$15344.00$14800.0065.0%18.6%63.4%0.0%67.0%-18.7%-1.0%436.4K-8.7M-59.5K0.7737.90N/AN/A433714
2008-03-19$16796.00$14800.0070.7%20.3%70.5%0.0%69.9%-2.2%2.7%1.2M-24.9M-65.3K0.0936.18N/AN/A1823815
2008-03-20$16564.00$14800.0068.3%19.6%69.3%0.0%71.2%-8.8%1.5%2.2M-31.5M-76.4K0.0838.52N/AN/A1414515
2008-03-24$16340.00$14800.0066.1%19.0%69.0%0.0%65.7%0.6%0.4%468.6K-14.2M-67.8K0.5741.46N/AN/A53278
2008-03-25$15920.00$15200.0064.8%18.6%67.2%0.0%67.3%-7.6%7.2%454.1K-13.1M-76.8K0.8538.86N/AN/A22299
2008-03-26$15420.00$15200.0063.0%18.1%67.4%0.0%63.4%-13.0%11.5%393.2K-8.8M-75.8K0.5037.58N/AN/A423011
2008-03-27$15480.00$15200.0061.6%17.7%67.2%0.0%63.4%-3.6%9.3%429.1K-9.8M-80.2K0.1745.06N/AN/A713112
2008-03-28$15628.00$14800.0061.5%17.6%66.0%0.0%62.2%-3.8%10.7%565.7K-13.2M-87.4K0.8040.36N/AN/A433513
2008-03-31$15400.00$15200.0064.0%18.3%65.4%0.0%66.2%-9.1%7.9%537.2K-11.3M-88.7K0.2936.32N/AN/A623615