DUG Options History — April 2008

In April 2008, DUG traded between $11868.00 and $14912.00. ATM implied volatility averaged 60.5%. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 13.3% (HV 20d: 47.1%). Max pain ranged from $12000.00 to $16000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2008-04-18: Highest Volume — 33 contracts
  • 2008-04-10: Largest IV spike — 15.5% change
  • 2008-04-04: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13162.00$11868.00$14912.00$14912.00$12492.00
Max Pain$13672.73$12000.00$16000.00$15200.00$12000.00
ATM IV60.5%54.9%65.1%62.1%56.8%
Expected Move17.8%15.7%20.3%17.8%16.3%
HV 20d47.1%30.0%66.5%66.5%39.0%
HV 60d56.1%52.0%61.4%61.4%53.7%
Term Structure2.8%-3.3%8.7%8.6%3.6%
VWIV64.1%55.1%76.0%65.7%58.1%
Skew 25d-13.0%-24.7%-1.1%-23.1%-1.1%
Skew 10d-29.0%-58.4%-1.3%-38.0%-1.3%
Call IV 25d70.1%58.7%85.6%73.8%58.9%
Put IV 25d57.1%50.7%64.0%50.7%57.8%
Bid-Ask Spread %51.0520.4276.8943.0776.89
Gamma HHI0.230.100.900.200.14
Net GEX889.9K380.8K5.2M538.9K1.4M
Net DEX-6.3M-32.8M8.0M-9.7M-28.3M
Net VEX-105.0K-166.4K-75.7K-89.5K-166.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.090.730.660.26
Total Volume14.409533724
Total OI89.2735513255132

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$14912.00$15200.0062.1%17.8%66.5%0.0%65.7%-23.1%8.6%538.9K-9.7M-89.5K0.6643.07N/AN/A434015
2008-04-02$14480.00$15200.0061.4%17.6%66.4%0.0%68.3%-9.8%7.4%440.4K-4.0M-88.0K0.3042.32N/AN/A1034117
2008-04-03$14424.00$15200.0061.8%17.7%65.6%0.0%64.0%-16.7%8.7%536.4K-4.5M-95.2K0.7339.28N/AN/A324619
2008-04-04$14048.00$16000.0059.4%20.3%64.0%0.0%76.0%-22.6%0.1%432.2K1.5M-86.4K0.2620.42N/AN/A514520
2008-04-07$14072.00$15200.0060.5%19.2%62.4%0.0%69.0%-11.2%-0.5%420.5K1.7M-85.7K0.4626.04N/AN/A634921
2008-04-08$13820.00$15200.0058.2%18.9%61.0%0.0%69.2%-18.9%2.6%438.0K2.2M-87.6K0.3126.02N/AN/A525222
2008-04-09$13608.00$14800.0055.1%18.8%52.7%0.0%67.1%-17.7%-0.6%412.4K3.9M-85.2K0.4028.80N/AN/A735523
2008-04-10$13716.00$14000.0063.6%18.2%52.1%0.0%66.6%-13.5%3.1%402.4K3.9M-87.0K0.1333.27N/AN/A515724
2008-04-11$14060.00$15200.0062.7%18.0%52.5%0.0%65.6%-8.9%1.4%605.3K3.6M-79.1K0.1344.93N/AN/A815520
2008-04-14$13600.00$14000.0065.1%18.7%52.1%0.0%69.4%-17.6%2.9%471.1K1.9M-85.4K0.4243.84N/AN/A1046324
2008-04-15$13308.00$14000.0060.4%17.3%47.8%0.0%61.8%-14.2%6.3%711.7K3.3M-85.4K0.1241.92N/AN/A717025
2008-04-16$12576.00$14000.0060.1%17.2%47.8%0.0%63.1%-24.7%6.1%462.7K8.0M-75.7K0.1258.07N/AN/A2537225
2008-04-17$12536.00$13200.0060.2%17.3%30.0%0.0%63.1%-18.3%4.7%1.2M-6.4M-89.9K0.1756.47N/AN/A619125
2008-04-18$12088.00$12800.0062.3%17.8%30.9%0.0%65.4%-19.2%1.6%5.2M-5.1M-85.9K0.2360.21N/AN/A2769425
2008-04-21$11880.00$12400.0061.3%17.6%30.9%0.0%59.5%-14.1%2.9%380.8K-1.7M-97.8K0.3164.65N/AN/A1244822
2008-04-22$11868.00$12400.0058.1%16.7%31.1%0.0%59.3%-11.9%1.8%384.1K-1.3M-95.7K0.2364.35N/AN/A1534822
2008-04-23$12080.00$12000.0063.6%18.2%32.4%0.0%62.2%-6.0%-3.3%760.4K-12.2M-129.3K0.2266.75N/AN/A1746727
2008-04-24$12600.00$12000.0061.3%17.6%37.4%0.0%60.0%-4.1%-0.1%1.0M-24.2M-149.2K0.3269.91N/AN/A2177630
2008-04-25$12264.00$12000.0054.9%15.7%37.1%0.0%55.1%-4.8%7.2%967.8K-18.6M-152.8K0.2173.23N/AN/A1237935
2008-04-28$12380.00$12000.0062.9%18.0%37.8%0.0%62.5%-6.5%-2.8%1.1M-20.2M-152.8K0.1973.39N/AN/A1128335
2008-04-29$12752.00$12000.0059.1%16.9%39.6%0.0%58.4%-1.3%-0.2%1.3M-32.8M-160.9K0.0969.38N/AN/A1828936
2008-04-30$12492.00$12000.0056.8%16.3%39.0%0.0%58.1%-1.1%3.6%1.4M-28.3M-166.4K0.2676.89N/AN/A1959537