DUG Options History — June 2008 In June 2008, DUG traded between $10576.00 and $12108.00. ATM implied volatility averaged 63.0%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 5.8% (HV 20d: 57.2%). Max pain ranged from $10800.00 to $11200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.24.
Notable Days 2008-06-25 : Highest Volume — 63 contracts2008-06-06 : Largest IV spike — 14.0% change2008-06-19 : Highest IV Rank — 76.5%2008-06-19 : Largest Expected Move — 20.0%Monthly Statistics Metric Avg Min Max Open Close Price $11163.24 $10576.00 $12108.00 $11460.00 $10684.00 Max Pain $11123.81 $10800.00 $11200.00 $11200.00 $11200.00 ATM IV 63.0% 56.1% 69.6% 57.9% 61.2% Expected Move 18.1% 16.1% 20.0% 16.6% 17.6% HV 20d 57.2% 44.0% 64.3% 45.2% 62.4% HV 60d 49.6% 46.2% 52.0% 51.0% 50.4% IV Rank 61.8% 46.3% 76.5% 50.4% 57.8% IV Percentile 71.2% 31.1% 95.0% 42.9% 60.5% Term Structure 2.2% -3.0% 6.2% 5.7% 3.3% VWIV 63.6% 56.2% 67.8% 58.1% 61.9% Skew 25d -5.3% -9.3% 2.4% -5.6% -6.3% Skew 10d -8.9% -21.0% 7.0% -6.7% -11.3% Call IV 25d 66.0% 56.6% 70.3% 60.8% 64.0% Put IV 25d 60.7% 54.3% 64.8% 55.2% 57.8% Bid-Ask Spread % 38.31 12.63 72.73 12.85 12.63 Gamma HHI 0.20 0.15 0.25 0.21 0.17 Net GEX 3.0M 1.1M 4.9M 3.2M 1.9M Net DEX -44.8M -105.1M -9.6M -64.5M -25.8M Net VEX -341.1K -395.0K -271.5K -371.9K -304.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.09 0.37 0.29 0.20 Total Volume 35.095 13 63 23 17 Total OI 327.524 216 389 311 280
Daily Data (21 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 2008-06-02 $11460.00 $11200.00 57.9% 16.6% 45.2% 50.4% 58.1% -5.6% 5.7% 3.2M -64.5M -371.9K 0.29 12.85 N/A N/A 18 5 224 87 2008-06-03 $11896.00 $11200.00 56.1% 16.1% 46.7% 46.3% 56.3% 2.4% 5.9% 3.8M -86.6M -380.5K 0.29 18.36 N/A N/A 25 7 229 88 2008-06-04 $12108.00 $11200.00 56.6% 16.2% 44.0% 47.5% 56.2% -1.5% 5.4% 3.9M -105.1M -395.0K 0.27 72.67 N/A N/A 36 10 232 92 2008-06-05 $11020.00 $11200.00 56.1% 16.1% 54.9% 46.4% 59.1% -7.7% 6.2% 2.9M -36.0M -367.2K 0.37 72.73 N/A N/A 35 13 238 95 2008-06-06 $11292.00 $11200.00 64.0% 18.6% 55.2% 64.0% 65.8% -6.1% 2.7% 3.3M -51.8M -392.7K 0.20 54.46 N/A N/A 44 9 246 99 2008-06-09 $10808.00 $11200.00 65.8% 18.8% 56.9% 67.9% 66.5% -7.8% -0.9% 2.8M -26.2M -356.9K 0.32 26.81 N/A N/A 27 9 253 101 2008-06-10 $11292.00 $11200.00 63.4% 18.2% 59.4% 62.7% 64.6% -6.9% 2.4% 3.7M -53.9M -380.5K 0.26 56.65 N/A N/A 35 9 263 104 2008-06-11 $11072.00 $11200.00 65.6% 19.0% 59.0% 67.5% 65.4% -8.2% -0.9% 3.2M -38.3M -366.2K 0.25 21.46 N/A N/A 16 4 258 104 2008-06-12 $11432.00 $11200.00 66.3% 19.0% 59.7% 69.1% 66.5% -4.3% 0.3% 3.9M -67.1M -379.7K 0.18 29.52 N/A N/A 29 5 260 105 2008-06-13 $11260.00 $11200.00 64.0% 18.4% 58.9% 64.0% 67.8% -6.6% 2.0% 3.8M -53.5M -366.6K 0.18 21.11 N/A N/A 11 2 262 106 2008-06-16 $11176.00 $11200.00 66.1% 19.0% 55.8% 68.7% 66.2% -4.6% 0.5% 3.8M -37.3M -325.8K 0.09 17.00 N/A N/A 24 2 265 106 2008-06-17 $10728.00 $11200.00 67.3% 19.3% 57.1% 71.3% 64.8% -7.6% 0.4% 2.7M -11.7M -299.0K 0.31 37.65 N/A N/A 27 8 267 106 2008-06-18 $10792.00 $11200.00 65.5% 18.8% 56.8% 67.4% 66.5% -6.5% 1.5% 2.5M -9.6M -300.8K 0.27 64.82 N/A N/A 26 7 279 110 2008-06-19 $11224.00 $11200.00 69.6% 20.0% 57.7% 76.5% 67.2% -3.7% -3.0% 3.7M -42.8M -311.7K 0.30 63.50 N/A N/A 35 10 276 107 2008-06-20 $11468.00 $11200.00 63.6% 18.2% 57.7% 63.1% 63.3% -2.9% 3.8% 4.9M -60.2M -305.1K 0.23 18.91 N/A N/A 41 9 277 108 2008-06-23 $10576.00 $11200.00 63.2% 18.1% 63.4% 62.3% 66.8% -9.3% 1.7% 1.1M -16.0M -271.5K 0.29 17.44 N/A N/A 40 12 152 64 2008-06-24 $10900.00 $10800.00 66.2% 19.0% 64.3% 68.9% 65.3% -1.1% 0.8% 1.6M -27.4M -305.1K 0.26 63.36 N/A N/A 19 5 173 70 2008-06-25 $11000.00 $10800.00 64.2% 18.4% 63.4% 64.3% 64.8% -7.0% 1.4% 1.7M -36.4M -311.4K 0.26 20.17 N/A N/A 50 13 178 68 2008-06-26 $11212.00 $10800.00 60.7% 17.4% 61.4% 56.5% 62.0% -4.9% 2.7% 2.2M -48.9M -342.1K 0.19 43.09 N/A N/A 22 4 198 75 2008-06-27 $11028.00 $10800.00 59.9% 17.2% 61.5% 54.9% 61.1% -4.5% 4.4% 2.1M -42.3M -329.0K 0.13 59.29 N/A N/A 15 2 198 75 2008-06-30 $10684.00 $11200.00 61.2% 17.6% 62.4% 57.8% 61.9% -6.3% 3.3% 1.9M -25.8M -304.4K 0.20 12.63 N/A N/A 14 3 203 77
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