DUG Options History — July 2008

In July 2008, DUG traded between $10584.00 and $14808.00. ATM implied volatility averaged 69.4%, placing in the 76.2% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 7.3% (HV 20d: 62.0%). Max pain ranged from $10800.00 to $16400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2008-07-17: Highest Volume — 101 contracts
  • 2008-07-29: Largest IV spike — 126.3% change
  • 2008-07-24: Highest IV Rank — 98.8%
  • 2008-07-24: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13058.00$10584.00$14808.00$10584.00$14128.00
Max Pain$12163.64$10800.00$16400.00$10800.00$13200.00
ATM IV69.4%33.9%79.6%58.9%70.2%
Expected Move20.0%9.7%22.8%16.9%20.1%
HV 20d62.0%54.1%76.8%60.5%76.8%
HV 60d56.0%50.3%62.7%50.3%62.7%
IV Rank76.2%0.0%98.8%52.7%78.4%
IV Percentile85.7%0.0%99.5%42.9%89.9%
Term Structure-3.2%-16.5%7.7%3.3%-2.0%
VWIV70.3%33.9%80.6%62.1%69.6%
Skew 25d-4.9%-12.5%2.7%-8.8%-5.4%
Skew 10d-9.3%-24.1%6.8%-17.1%-4.6%
Call IV 25d74.5%61.0%82.3%64.9%73.1%
Put IV 25d69.6%56.1%77.8%56.1%67.8%
Bid-Ask Spread %32.4113.59200.0020.4926.12
Gamma HHI0.160.110.340.160.14
Net GEX3.0M354.3K5.1M1.9M2.2M
Net DEX-114.6M-242.5M-22.6M-25.4M-93.9M
Net VEX-383.6K-518.0K-110.2K-302.8K-475.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.101.110.100.24
Total Volume48.511013014
Total OI320.40964441284345

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$10584.00$10800.0058.9%16.9%60.5%52.7%62.1%-8.8%3.3%1.9M-25.4M-302.8K0.1020.49N/AN/A27320876
2008-07-02$11156.00$10800.0061.8%17.7%63.5%59.1%62.4%2.7%7.7%2.6M-49.3M-326.1K0.2216.74N/AN/A38821776
2008-07-03$11304.00$10800.0064.0%18.4%54.1%64.0%64.6%-2.3%6.8%2.9M-63.8M-342.3K0.2751.26N/AN/A471322178
2008-07-07$11948.00$10800.0069.4%21.2%56.9%75.9%72.9%-2.5%-2.7%3.5M-93.6M-342.4K0.2024.86N/AN/A701422883
2008-07-08$12392.00$10800.0068.7%19.1%55.3%74.5%68.7%-6.4%-0.2%4.5M-131.8M-355.1K0.2113.59N/AN/A551124890
2008-07-09$12784.00$10800.0064.4%20.0%54.3%64.8%69.8%1.5%-2.1%4.3M-153.9M-359.3K0.3628.21N/AN/A411525093
2008-07-10$12044.00$11200.0066.5%19.1%58.5%69.5%67.9%-12.5%-1.2%4.2M-105.9M-360.5K0.2541.68N/AN/A349248102
2008-07-11$12192.00$11200.0070.9%20.3%57.7%79.3%74.6%-5.7%-4.7%4.1M-111.8M-371.5K0.4427.35N/AN/A6227256103
2008-07-14$12004.00$12000.0073.8%21.2%57.7%85.8%73.3%-5.7%-6.6%4.8M-100.6M-392.6K0.5830.73N/AN/A127280120
2008-07-15$13036.00$12000.0078.8%22.6%64.0%97.0%76.6%0.7%-9.3%4.8M-176.8M-392.7K0.2825.78N/AN/A319283121
2008-07-16$13556.00$12000.0076.1%21.8%62.2%91.1%74.7%-4.9%-7.0%4.0M-221.1M-379.8K0.1714.75N/AN/A478281124
2008-07-17$13968.00$12000.0075.8%21.7%62.5%90.3%76.3%-7.3%-8.6%3.7M-242.5M-380.4K0.2723.63N/AN/A8021280126
2008-07-18$13680.00$12000.0072.8%20.9%62.8%83.6%75.1%-4.7%-2.2%5.1M-213.4M-398.1K0.2020.76N/AN/A479303138
2008-07-21$12896.00$12400.0071.7%20.5%67.2%81.1%74.0%-11.9%-4.1%1.4M-65.6M-383.7K0.4424.21N/AN/A231015174
2008-07-22$13536.00$12400.0070.9%20.3%60.3%79.4%70.3%-3.5%-0.6%1.7M-86.6M-404.4K0.2425.25N/AN/A27716378
2008-07-23$14464.00$12400.0074.6%21.4%63.0%87.7%73.4%-0.7%-2.8%2.0M-131.1M-424.4K0.5319.19N/AN/A452417580
2008-07-24$14676.00$12800.0079.6%22.8%63.0%98.8%80.6%-4.5%-5.5%2.0M-137.9M-469.8K1.1118.91N/AN/A424619394
2008-07-25$14408.00$13600.0077.0%22.1%64.0%93.0%76.8%-5.8%-3.9%1.6M-109.2M-518.0K0.3618.35N/AN/A135203122
2008-07-28$14472.00$16400.0033.9%9.7%63.2%0.0%33.9%0.0%-16.5%354.3K-22.6M-110.2K0.49200.00N/AN/A104123
2008-07-29$14808.00$13600.0076.7%22.0%60.9%92.5%77.2%-5.1%-6.1%1.9M-134.6M-488.3K0.4019.78N/AN/A166210124
2008-07-30$13240.00$13600.0069.5%19.9%75.8%76.9%72.7%-9.9%-3.0%1.8M-48.8M-460.9K0.4321.33N/AN/A3013214126
2008-07-31$14128.00$13200.0070.2%20.1%76.8%78.4%69.6%-5.4%-2.0%2.2M-93.9M-475.5K0.2426.12N/AN/A113218127