DUG Options History — November 2008

In November 2008, DUG traded between $11772.00 and $19828.00. ATM implied volatility averaged 133.1%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 38.9%. IV traded below realized volatility by 89.1% (HV 20d: 222.2%). Max pain ranged from $16000.00 to $18400.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2008-11-20: Highest Volume — 29 contracts
  • 2008-11-06: Largest IV spike — 20.9% change
  • 2008-11-20: Highest IV Rank — 61.7%
  • 2008-11-20: Largest Expected Move — 45.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15078.74$11772.00$19828.00$15440.00$12160.00
Max Pain$16547.37$16000.00$18400.00$18400.00$16000.00
ATM IV133.1%109.5%157.5%130.8%109.9%
Expected Move38.9%31.4%45.2%37.5%31.5%
HV 20d222.2%187.8%279.9%278.5%194.3%
HV 60d194.4%181.3%209.8%181.3%209.0%
IV Rank49.5%37.7%61.7%48.4%38.0%
IV Percentile91.3%84.5%95.6%92.5%84.5%
Term Structure1.7%-10.2%25.3%-4.1%21.8%
VWIV143.1%116.8%158.1%139.0%116.8%
Skew 25d-45.7%-92.4%-19.7%-38.0%-43.6%
Skew 10d-72.7%-151.3%-26.9%-63.8%-91.6%
Call IV 25d165.1%132.4%186.6%155.6%136.1%
Put IV 25d119.4%79.8%149.4%117.6%92.5%
Bid-Ask Spread %32.2919.7554.1944.6043.58
Gamma HHI0.060.040.120.050.05
Net GEX221.1K-63.4K1.0M71.6K-7.6K
Net DEX-411.8K-77.4M22.8M3.7M17.9M
Net VEX-173.9K-221.3K-117.8K-182.2K-136.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.181.240.181.01
Total Volume13.10542944
Total OI131.68496170109111

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$15440.00$18400.00130.8%37.5%278.5%48.4%139.0%-38.0%-4.1%71.6K3.7M-182.2K0.1844.60N/AN/A316148
2008-11-04$13784.00$18000.00119.8%34.3%277.6%42.9%130.8%-57.7%-3.3%10.0K17.3M-152.7K0.4243.48N/AN/A1156248
2008-11-05$14920.00$17600.00119.1%34.2%279.9%42.5%124.7%-40.6%11.8%60.5K10.0M-169.7K0.2454.19N/AN/A1236852
2008-11-06$16600.00$17200.00144.0%41.3%274.1%54.9%141.8%-27.6%-4.2%225.1K-11.3M-207.0K0.3640.75N/AN/A1557353
2008-11-07$15068.00$16400.00125.1%37.7%268.3%45.5%140.5%-42.1%-3.8%161.3K3.6M-191.5K0.5021.96N/AN/A637855
2008-11-10$14828.00$16400.00114.9%38.5%217.4%40.4%139.3%-28.5%-10.2%171.5K6.6M-183.0K0.8026.67N/AN/A878157
2008-11-11$15880.00$16400.00123.1%40.4%219.2%44.5%146.0%-32.5%-6.8%310.5K-4.5M-195.2K0.2221.76N/AN/A828357
2008-11-12$18104.00$16400.00144.6%43.4%199.4%55.2%148.7%-19.7%-3.1%529.4K-35.5M-221.3K0.1820.64N/AN/A1338658
2008-11-13$14052.00$16400.00134.5%38.6%209.3%50.2%152.1%-68.5%0.9%113.0K17.4M-160.1K0.4634.77N/AN/A1058857
2008-11-14$15148.00$16400.00144.0%41.3%211.8%54.9%151.9%-54.7%-4.5%261.2K4.6M-180.8K0.2921.31N/AN/A728857
2008-11-17$15740.00$16400.00152.9%43.8%196.2%59.4%158.1%-39.4%-7.8%336.2K-774.0K-175.4K0.3419.75N/AN/A629158
2008-11-18$14684.00$16400.00147.8%42.4%195.4%56.9%156.1%-46.6%-9.1%253.1K7.9M-159.9K0.3523.56N/AN/A429258
2008-11-19$16340.00$16000.00156.3%44.8%187.8%61.1%157.6%-31.6%-7.6%526.8K-9.7M-171.2K0.3823.16N/AN/A949357
2008-11-20$19828.00$16000.00157.5%45.2%196.7%61.7%150.0%-21.1%4.6%1.0M-77.4M-198.6K0.7124.19N/AN/A17129760
2008-11-21$15400.00$16000.00130.3%37.3%214.1%48.1%146.1%-92.4%17.0%277.7K6.4M-173.6K1.2440.24N/AN/A121510268
2008-11-24$13460.00$16000.00139.6%40.0%213.8%52.7%154.7%-70.3%1.9%-35.8K6.8M-162.5K0.2930.34N/AN/A1135244
2008-11-25$13288.00$16000.00124.8%35.8%192.0%45.4%138.0%-60.9%14.1%-6.2K6.4M-165.1K0.2332.30N/AN/A725745
2008-11-26$11772.00$16000.00109.5%31.4%195.7%37.7%127.7%-52.6%25.3%-63.4K22.8M-117.8K0.6046.28N/AN/A646146
2008-11-28$12160.00$16000.00109.9%31.5%194.3%38.0%116.8%-43.6%21.8%-7.6K17.9M-136.3K1.0143.58N/AN/A226447