DUG Options History — September 2008

In September 2008, DUG traded between $14008.00 and $18516.00. ATM implied volatility averaged 81.7%, placing in the 83.6% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded below realized volatility by 9.3% (HV 20d: 91.0%). Max pain ranged from $12400.00 to $15600.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2008-09-16: Highest Volume — 65 contracts
  • 2008-09-09: Largest IV spike — 21.5% change
  • 2008-09-09: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 29.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16080.00$14008.00$18516.00$15204.00$15540.00
Max Pain$13957.89$12400.00$15600.00$14400.00$15600.00
ATM IV81.7%63.9%101.2%63.9%99.5%
Expected Move22.9%18.3%29.0%18.3%28.5%
HV 20d91.0%64.7%134.0%66.4%134.0%
HV 60d77.5%66.9%95.7%68.2%95.7%
IV Rank83.6%65.0%100.0%65.0%97.4%
IV Percentile95.5%68.2%100.0%68.2%99.6%
Term Structure-7.2%-22.3%9.2%0.8%-11.3%
VWIV78.9%63.5%101.5%63.5%101.1%
Skew 25d-6.5%-21.3%0.9%-1.5%-14.1%
Skew 10d-4.5%-28.3%20.9%-2.1%-19.5%
Call IV 25d81.2%64.4%108.7%64.4%108.7%
Put IV 25d74.7%48.1%94.7%62.9%94.7%
Bid-Ask Spread %46.5617.73104.5417.7325.77
Gamma HHI0.130.080.490.110.28
Net GEX1.9M-66.7K3.1M2.0M190.9K
Net DEX-106.4M-246.8M27.9M-88.1M-6.8M
Net VEX-381.4K-487.8K-14.0K-350.9K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.195.220.191.10
Total Volume38.89513653313
Total OI279.474838624721

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$15204.00$14400.0063.9%18.3%66.4%65.0%63.5%-1.5%0.8%2.0M-88.1M-350.9K0.1917.73N/AN/A28515889
2008-09-03$15324.00$14400.0069.1%19.8%66.3%76.1%68.9%0.9%-1.8%2.1M-94.2M-374.9K0.6521.22N/AN/A322116490
2008-09-04$15924.00$14800.0073.5%21.1%65.3%85.5%73.4%-1.2%-2.5%2.2M-131.7M-408.9K0.4123.57N/AN/A2912181102
2008-09-05$16188.00$12400.0072.9%20.2%65.0%84.3%70.2%-4.3%-4.7%2.5M-141.5M-419.5K1.3620.52N/AN/A2230191107
2008-09-08$16288.00$12400.0076.9%20.5%64.7%92.9%71.7%-3.3%-4.6%2.4M-145.6M-446.0K1.7918.76N/AN/A917196121
2008-09-09$18516.00$12800.0093.4%22.5%78.4%100.0%77.0%-1.4%-8.3%2.5M-246.8M-406.8K0.9448.92N/AN/A3230198118
2008-09-10$17132.00$13200.0083.3%21.3%84.3%83.0%73.2%-1.5%-6.6%2.4M-180.9M-453.1K0.7920.91N/AN/A2923204132
2008-09-11$16624.00$14000.0076.9%22.0%79.9%72.3%76.6%-4.3%-9.5%2.3M-141.4M-463.0K1.0426.89N/AN/A1920202137
2008-09-12$15672.00$14000.0076.7%22.0%82.8%72.0%77.4%-3.7%-8.0%1.9M-85.9M-459.8K0.9527.59N/AN/A1817206143
2008-09-15$17656.00$14000.0075.9%21.8%91.8%70.7%71.4%-1.8%-5.1%2.8M-209.9M-458.0K0.58104.54N/AN/A2313215139
2008-09-16$16652.00$14000.0083.2%23.8%94.4%82.8%84.5%-7.9%-13.0%2.8M-145.7M-452.9K0.5526.60N/AN/A4223216142
2008-09-17$17356.00$14000.0093.5%26.8%92.6%100.0%95.0%-6.1%-22.3%2.9M-171.6M-487.8K0.9771.04N/AN/A2322227151
2008-09-18$16496.00$14000.0085.3%24.5%91.4%86.4%79.8%-21.3%-20.2%3.1M-125.3M-469.3K0.7799.89N/AN/A1713230155
2008-09-19$14008.00$14000.0085.4%24.5%109.0%86.5%87.5%-11.4%-17.2%-66.7K27.9M-384.7K0.9273.41N/AN/A2018230156
2008-09-22$14296.00$14000.0080.7%23.1%108.8%78.6%80.9%-11.7%-1.2%832.4K-28.0M-362.5K0.3930.16N/AN/A251012783
2008-09-23$15332.00$14000.0077.1%22.1%111.2%72.6%76.3%-5.0%-2.0%1.1M-50.3M-396.0K0.2628.82N/AN/A30814191
2008-09-24$14280.00$14400.0083.3%23.9%113.7%83.0%68.7%-4.0%9.2%1.1M-51.2M-404.5K5.2294.53N/AN/A52414693
2008-09-29$17032.00$14800.00101.2%29.0%128.9%100.0%101.5%-20.5%-8.3%106.6K-5.1M-14.0K0.42103.81N/AN/A12562
2008-09-30$15540.00$15600.0099.5%28.5%134.0%97.4%101.1%-14.1%-11.3%190.9K-6.8M-34.3K1.1025.77N/AN/A67156