DUG Options History — August 2008

In August 2008, DUG traded between $13400.00 and $15740.00. ATM implied volatility averaged 63.5%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 13.6% (HV 20d: 77.1%). Max pain ranged from $13200.00 to $15200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2008-08-04: Highest Volume — 52 contracts
  • 2008-08-14: Largest IV spike — 14.7% change
  • 2008-08-04: Highest IV Rank — 92.7%
  • 2008-08-04: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14568.00$13400.00$15740.00$14192.00$13844.00
Max Pain$14780.95$13200.00$15200.00$13200.00$14400.00
ATM IV63.5%56.8%76.7%67.8%59.3%
Expected Move18.3%16.3%20.4%19.4%17.0%
HV 20d77.1%65.8%82.7%76.8%66.1%
HV 60d66.6%62.6%68.9%62.6%65.7%
IV Rank64.0%49.5%92.7%73.4%54.8%
IV Percentile61.0%25.4%97.9%84.7%40.5%
Term Structure1.0%-2.4%4.7%-1.4%2.5%
VWIV64.5%57.3%71.6%67.3%58.9%
Skew 25d-4.7%-7.5%0.3%-7.5%-4.3%
Skew 10d-8.0%-14.7%-0.4%-4.9%-6.2%
Call IV 25d67.2%60.0%76.2%72.1%61.9%
Put IV 25d62.5%55.1%72.4%64.6%57.6%
Bid-Ask Spread %19.9216.4625.5425.5420.17
Gamma HHI0.120.080.200.150.12
Net GEX1.9M998.6K2.8M2.3M1.4M
Net DEX-99.0M-181.7M-20.6M-99.0M-35.9M
Net VEX-396.5K-487.1K-333.9K-464.6K-345.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.120.850.150.35
Total Volume21.333852158
Total OI308210405348244

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$14192.00$13200.0067.8%19.4%76.8%73.4%67.3%-7.5%-1.4%2.3M-99.0M-464.6K0.1525.54N/AN/A132220128
2008-08-04$15556.00$14400.0076.7%20.4%80.6%92.7%71.6%-1.9%-2.2%2.4M-181.7M-465.8K0.5317.45N/AN/A3418226128
2008-08-05$15340.00$15200.0072.6%20.2%80.6%83.8%71.2%-6.1%-0.6%2.5M-169.9M-487.1K0.3218.83N/AN/A248234141
2008-08-06$14640.00$15200.0066.1%19.6%82.7%69.6%68.5%-7.4%-0.7%2.6M-126.3M-473.4K0.3921.71N/AN/A156237144
2008-08-07$15004.00$15200.0065.6%19.5%79.1%68.5%68.3%-2.0%-2.4%2.6M-145.5M-458.6K0.2919.80N/AN/A103236143
2008-08-08$15328.00$15200.0060.8%18.7%79.1%58.1%66.6%-7.2%1.0%2.7M-171.7M-439.9K0.3919.42N/AN/A187238144
2008-08-11$15356.00$15200.0069.5%19.5%78.6%76.9%67.8%-6.2%-0.9%2.6M-168.8M-419.1K0.4519.33N/AN/A125238148
2008-08-12$15472.00$15200.0066.3%19.6%74.1%70.1%67.6%-3.5%-1.3%2.8M-172.6M-411.8K0.7817.80N/AN/A86239149
2008-08-13$14340.00$15200.0057.2%18.8%78.9%50.5%67.5%-5.7%0.3%2.7M-102.1M-390.6K0.1922.17N/AN/A326240152
2008-08-14$14760.00$15200.0065.6%18.8%78.9%68.6%66.6%-3.8%0.7%2.8M-145.7M-383.0K0.3317.32N/AN/A114253152
2008-08-15$15352.00$15200.0065.7%18.8%79.4%68.8%66.7%-4.1%0.5%1.8M-166.5M-370.6K0.1217.77N/AN/A324240151
2008-08-18$15740.00$14800.0063.6%18.2%75.8%64.4%64.1%0.3%2.3%1.4M-91.8M-385.6K0.4718.26N/AN/A13613773
2008-08-19$14864.00$14800.0062.8%18.0%77.9%62.5%63.1%-5.2%2.7%1.4M-69.7M-386.4K0.8521.25N/AN/A10814175
2008-08-20$13948.00$15200.0060.0%17.2%77.9%56.4%61.6%-6.3%3.9%1.2M-42.9M-367.0K0.3419.69N/AN/A18614379
2008-08-21$13444.00$14800.0058.3%16.7%78.6%52.8%59.3%-4.5%2.7%998.6K-22.7M-344.1K0.3123.85N/AN/A20614781
2008-08-22$13836.00$14400.0056.8%16.3%79.3%49.5%57.3%-4.9%4.7%1.3M-39.9M-372.4K0.3419.58N/AN/A13415484
2008-08-25$14172.00$14400.0058.8%16.9%79.8%53.9%59.9%-3.2%2.8%1.3M-44.9M-341.7K0.4324.11N/AN/A15714378
2008-08-26$13704.00$14400.0059.9%17.2%80.1%56.2%60.5%-5.1%2.8%1.2M-30.7M-342.2K0.4319.68N/AN/A8414982
2008-08-27$13400.00$14400.0060.1%17.2%69.7%56.7%60.9%-4.8%1.5%1.1M-20.6M-333.9K0.4718.18N/AN/A9415184
2008-08-28$13636.00$14400.0060.2%17.3%65.8%56.9%59.9%-5.9%2.2%1.2M-29.5M-342.9K0.3416.46N/AN/A8315587
2008-08-29$13844.00$14400.0059.3%17.0%66.1%54.8%58.9%-4.3%2.5%1.4M-35.9M-345.7K0.3520.17N/AN/A6215688