DUG Options History — January 2009

In January 2009, DUG traded between $8676.00 and $11176.00. ATM implied volatility averaged 88.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded below realized volatility by 39.9% (HV 20d: 128.1%). Max pain ranged from $8800.00 to $10800.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-01-20: Highest Volume — 20 contracts
  • 2009-01-14: Largest IV spike — 18.7% change
  • 2009-01-14: Highest IV Rank — 35.3%
  • 2009-01-14: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9739.40$8676.00$11176.00$9080.00$9888.00
Max Pain$10020.00$8800.00$10800.00$10400.00$10400.00
ATM IV88.3%78.6%104.6%80.7%81.0%
Expected Move26.0%22.6%30.6%23.1%23.2%
HV 20d128.1%96.7%150.3%150.3%98.8%
HV 60d181.7%150.4%211.4%211.4%150.5%
IV Rank27.1%22.3%35.3%23.4%23.5%
IV Percentile72.4%64.7%77.8%71.8%66.7%
Term Structure5.4%-3.9%16.0%6.7%13.4%
VWIV92.2%81.5%108.2%83.3%81.5%
Skew 25d-8.7%-33.3%4.7%-33.3%-11.4%
Skew 10d-17.9%-71.6%11.6%-71.6%-20.1%
Call IV 25d96.2%87.6%110.4%92.6%87.6%
Put IV 25d87.5%59.3%102.9%59.3%76.2%
Bid-Ask Spread %32.7517.1655.4055.4045.98
Gamma HHI0.110.060.370.130.07
Net GEX129.3K24.1K424.1K29.2K85.7K
Net DEX-3.2M-14.6M4.4M348.6K-1.6M
Net VEX-43.1K-66.7K-6.7K-6.7K-66.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.190.940.710.33
Total Volume8.8552075
Total OI44.8510671067

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$9080.00$10400.0080.7%23.1%150.3%23.4%83.3%-33.3%6.7%29.2K348.6K-6.7K0.7155.40N/AN/A4373
2009-01-05$8768.00$10000.0078.6%24.7%132.7%22.3%91.6%-15.9%3.8%26.4K1.4M-10.8K0.6323.03N/AN/A64106
2009-01-06$8676.00$10000.0089.5%25.5%131.6%27.8%91.6%-4.2%-1.2%24.1K1.3M-16.6K0.2327.42N/AN/A72139
2009-01-07$9348.00$8800.0094.4%27.3%135.9%30.2%94.9%4.7%-2.4%109.0K-3.0M-23.2K0.3239.50N/AN/A931810
2009-01-08$9064.00$8800.0087.1%27.2%125.7%26.5%94.7%2.0%-0.9%143.2K-2.6M-26.7K0.2738.16N/AN/A512112
2009-01-09$9664.00$9200.0079.5%27.5%129.5%22.8%95.1%2.9%-2.8%215.9K-5.3M-27.5K0.4431.15N/AN/A832212
2009-01-12$10280.00$9200.0091.5%28.4%129.1%28.7%98.2%2.0%-1.7%275.4K-10.4M-31.5K0.3529.16N/AN/A832514
2009-01-13$9852.00$9200.0088.1%27.1%129.5%27.1%94.4%-2.1%1.0%282.1K-7.1M-34.2K0.3423.89N/AN/A422716
2009-01-14$10644.00$9600.00104.6%30.6%129.6%35.3%108.2%-7.5%-3.9%340.5K-14.6M-36.7K0.5121.89N/AN/A1262817
2009-01-15$10424.00$10000.00101.7%29.2%129.5%33.9%104.0%-11.7%-0.4%424.1K-13.2M-44.3K0.6517.16N/AN/A963320
2009-01-16$10168.00$10400.0091.1%26.1%129.5%28.6%92.9%-11.0%4.8%263.3K-8.7M-47.9K0.8120.14N/AN/A543623
2009-01-20$11176.00$10400.00104.2%29.9%134.5%35.1%103.2%-3.4%4.4%71.3K-7.0M-50.3K0.9433.50N/AN/A10102116
2009-01-21$9792.00$10800.0090.4%25.9%139.8%28.2%93.3%-13.0%15.0%24.8K-189.2K-62.6K0.7223.90N/AN/A322824
2009-01-22$10332.00$10800.0087.0%24.9%140.9%26.5%89.0%-5.2%16.0%34.3K-2.2M-66.7K0.2634.09N/AN/A412925
2009-01-23$9848.00$10800.0087.7%25.2%134.1%26.9%88.4%-12.9%9.3%40.1K-71.4K-66.0K0.1940.70N/AN/A413125
2009-01-26$9496.00$10400.0087.5%25.1%134.3%26.8%90.8%-14.3%11.1%39.7K1.6M-61.4K0.3532.73N/AN/A423326
2009-01-27$9520.00$10400.0080.0%23.0%131.6%23.0%82.9%-14.2%13.0%47.7K1.9M-60.8K0.5552.39N/AN/A323427
2009-01-28$9092.00$10400.0078.9%22.6%96.7%22.5%83.9%-15.1%9.1%37.7K4.4M-57.7K0.2724.51N/AN/A513628
2009-01-29$9676.00$10400.0081.9%23.5%98.6%24.0%82.0%-10.6%12.9%70.5K202.4K-64.4K0.4140.27N/AN/A423728
2009-01-30$9888.00$10400.0081.0%23.2%98.8%23.5%81.5%-11.4%13.4%85.7K-1.6M-66.4K0.3345.98N/AN/A413829