DUG Options History — May 2008

In May 2008, DUG traded between $10492.00 and $13124.00. ATM implied volatility averaged 56.7%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 10.3% (HV 20d: 46.3%). Max pain ranged from $10800.00 to $12800.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2008-05-23: Highest Volume — 72 contracts
  • 2008-05-09: Largest IV spike — 16.6% change
  • 2008-05-21: Highest IV Rank — 60.2%
  • 2008-05-09: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11621.52$10492.00$13124.00$13124.00$11520.00
Max Pain$11752.38$10800.00$12800.00$12000.00$11200.00
ATM IV56.7%51.1%62.3%52.9%56.4%
Expected Move16.9%15.1%18.0%15.2%16.2%
HV 20d46.3%43.5%49.8%43.9%45.8%
HV 60d52.0%51.1%53.1%52.6%51.9%
IV Rank47.6%35.2%60.2%39.2%47.1%
IV Percentile37.8%15.3%74.3%21.4%32.2%
Term Structure3.1%-2.2%6.9%4.5%4.1%
VWIV59.3%53.2%63.4%53.2%56.6%
Skew 25d-6.1%-11.2%0.7%-7.0%0.7%
Skew 10d-11.5%-23.9%0.3%-17.6%-1.2%
Call IV 25d61.9%55.3%67.7%58.0%55.3%
Put IV 25d55.8%50.7%62.7%50.9%55.9%
Bid-Ask Spread %55.9214.5673.9969.5971.01
Gamma HHI0.240.110.460.130.22
Net GEX1.9M816.5K3.1M1.8M3.1M
Net DEX-28.5M-71.1M15.0M-47.9M-65.6M
Net VEX-249.8K-384.9K-157.6K-170.3K-384.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.150.360.240.24
Total Volume38.38113725016
Total OI217.571137305137305

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$13124.00$12000.0052.9%15.2%43.9%39.2%53.2%-7.0%4.5%1.8M-47.9M-170.3K0.2469.59N/AN/A40109938
2008-05-02$12788.00$12000.0052.7%15.1%43.9%38.7%53.2%-6.4%1.8%1.6M-32.7M-178.8K0.2968.91N/AN/A10310343
2008-05-05$12412.00$12800.0052.1%16.4%44.7%37.5%56.8%-7.4%4.2%1.6M-24.4M-169.5K0.3456.81N/AN/A10410744
2008-05-06$11844.00$12800.0057.1%16.4%46.8%48.5%58.1%-8.0%3.9%1.3M-7.7M-157.6K0.3555.34N/AN/A23810945
2008-05-07$12084.00$12000.0056.0%17.6%47.8%46.2%61.0%-4.3%-2.2%1.8M-19.1M-174.1K0.3447.35N/AN/A421411947
2008-05-08$11772.00$12000.0051.1%17.5%48.0%35.2%62.0%-10.9%-0.8%1.6M-14.1M-205.7K0.2852.25N/AN/A16513656
2008-05-09$11888.00$12000.0059.6%18.0%46.9%54.2%62.5%-9.4%0.4%1.9M-21.0M-221.0K0.2447.59N/AN/A27614458
2008-05-12$11952.00$12000.0056.1%17.9%46.2%46.4%62.3%-8.6%1.0%2.3M-27.6M-219.4K0.1946.51N/AN/A22415361
2008-05-13$11636.00$12000.0053.1%17.9%46.5%39.6%61.3%-9.0%0.9%1.9M-15.0M-214.2K0.1765.15N/AN/A25415761
2008-05-14$11892.00$12000.0052.0%17.7%43.5%37.3%62.1%-8.7%2.0%3.1M-30.2M-230.1K0.1968.32N/AN/A27516864
2008-05-15$11516.00$12000.0060.0%17.2%44.8%54.9%60.2%-11.2%6.2%2.0M-9.0M-216.5K0.3069.92N/AN/A371117566
2008-05-16$10928.00$12000.0055.5%15.9%46.6%45.1%58.7%-8.1%5.2%816.5K15.0M-201.8K0.3620.95N/AN/A391418369
2008-05-19$10676.00$11600.0057.8%16.6%46.9%50.1%57.7%-6.5%1.6%929.7K-1.9M-214.9K0.2071.02N/AN/A34711953
2008-05-20$10492.00$11600.0058.9%16.9%47.0%52.6%59.6%-8.4%1.7%1.1M-4.4M-229.3K0.1829.68N/AN/A27513757
2008-05-21$10772.00$11200.0062.3%17.9%47.7%60.2%63.4%-1.6%6.9%1.4M-18.3M-266.2K0.1970.24N/AN/A541015260
2008-05-22$11008.00$11200.0060.8%17.4%45.5%56.8%60.6%-1.3%5.0%1.9M-35.7M-310.2K0.3645.05N/AN/A501817466
2008-05-23$11388.00$10800.0057.8%16.6%47.0%50.1%57.9%-1.7%3.8%2.4M-55.9M-363.0K0.1856.71N/AN/A611119377
2008-05-27$11532.00$11200.0060.9%17.4%47.1%57.0%59.9%-1.7%4.9%2.6M-64.7M-373.5K0.2373.38N/AN/A35820181
2008-05-28$11152.00$11200.0057.2%16.4%46.6%48.9%58.9%-6.7%5.5%2.6M-48.1M-367.1K0.1514.56N/AN/A30520883
2008-05-29$11676.00$11200.0059.5%17.1%49.8%53.9%58.6%-1.0%4.0%3.1M-71.1M-378.7K0.1673.99N/AN/A25421385
2008-05-30$11520.00$11200.0056.4%16.2%45.8%47.1%56.6%0.7%4.1%3.1M-65.6M-384.9K0.2471.01N/AN/A13321986