DUG Options History — March 2009 In March 2009, DUG traded between $9080.00 and $13800.00. ATM implied volatility averaged 91.8%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 8.1% (HV 20d: 99.9%). Max pain ranged from $11200.00 to $12400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2009-03-23 : Highest Volume — 24 contracts2009-03-30 : Largest IV spike — 11.0% change2009-03-02 : Highest IV Rank — 40.0%2009-03-02 : Largest Expected Move — 32.7%Monthly Statistics Metric Avg Min Max Open Close Price $11281.27 $9080.00 $13800.00 $13800.00 $10576.00 Max Pain $11763.64 $11200.00 $12400.00 $11200.00 $11200.00 ATM IV 91.8% 75.7% 114.1% 114.1% 81.2% Expected Move 26.4% 21.7% 32.7% 32.7% 23.3% HV 20d 99.9% 89.0% 110.9% 89.0% 100.4% HV 60d 105.9% 94.3% 114.0% 114.0% 94.3% IV Rank 28.9% 20.9% 40.0% 40.0% 23.6% IV Percentile 64.5% 44.4% 79.4% 79.4% 53.6% Term Structure 2.5% -13.7% 12.2% -6.3% 12.2% VWIV 94.3% 79.1% 112.6% 111.4% 81.7% Skew 25d -17.1% -27.5% -4.9% -4.9% -11.4% Skew 10d -36.5% -77.7% -2.8% -2.8% -19.2% Call IV 25d 103.5% 86.1% 126.2% 113.4% 89.5% Put IV 25d 86.4% 66.9% 108.5% 108.5% 78.1% Bid-Ask Spread % 36.19 18.40 66.54 47.82 24.45 Gamma HHI 0.09 0.06 0.13 0.11 0.08 Net GEX 204.3K 49.6K 369.6K 273.0K 184.8K Net DEX -12.6M -43.4M 11.6M -42.8M -3.9M Net VEX -96.0K -123.7K -62.1K -90.7K -95.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.23 1.31 0.63 0.35 Total Volume 10.227 4 24 8 4 Total OI 96.091 72 122 77 94
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-03-02 $13800.00 $11200.00 114.1% 32.7% 89.0% 40.0% 111.4% -4.9% -6.3% 273.0K -42.8M -90.7K 0.63 47.82 N/A N/A 5 3 49 28 2009-03-03 $13660.00 $11200.00 107.9% 30.9% 89.5% 36.9% 107.4% -13.5% 2.2% 295.4K -41.2M -95.9K 1.31 18.40 N/A N/A 5 7 50 30 2009-03-04 $12592.00 $11200.00 101.3% 29.1% 94.5% 33.7% 103.6% -11.9% 0.6% 260.9K -28.0M -106.8K 0.39 23.93 N/A N/A 12 5 52 34 2009-03-05 $13624.00 $11200.00 109.7% 31.5% 96.8% 37.8% 107.5% -11.4% -1.5% 342.8K -43.4M -114.5K 0.27 19.28 N/A N/A 14 4 57 37 2009-03-06 $13404.00 $12000.00 105.4% 30.7% 94.1% 35.7% 109.1% -10.2% -12.2% 369.6K -41.1M -123.7K 1.04 34.76 N/A N/A 3 3 60 38 2009-03-09 $13216.00 $12400.00 108.5% 32.0% 92.6% 37.2% 112.6% -20.8% -13.7% 367.6K -39.0M -122.6K 1.23 31.19 N/A N/A 3 4 62 39 2009-03-10 $11940.00 $12400.00 99.4% 29.5% 102.1% 32.7% 102.2% -19.6% -6.1% 309.0K -21.0M -118.3K 0.37 22.90 N/A N/A 8 3 62 41 2009-03-11 $12072.00 $12400.00 97.4% 28.2% 99.2% 31.7% 101.4% -20.9% 1.3% 343.8K -23.6M -118.8K 0.81 25.16 N/A N/A 4 3 64 42 2009-03-12 $11428.00 $12400.00 92.1% 26.4% 101.7% 29.0% 96.9% -17.3% 2.4% 267.5K -13.0M -109.7K 0.40 39.20 N/A N/A 5 2 65 42 2009-03-13 $11544.00 $12400.00 92.7% 26.6% 101.6% 29.4% 92.0% -14.4% 1.2% 299.3K -14.8M -111.2K 0.69 41.62 N/A N/A 2 2 66 43 2009-03-16 $11396.00 $12400.00 89.5% 25.7% 101.9% 27.8% 83.7% -19.3% 2.8% 270.8K -10.0M -98.7K 0.35 29.32 N/A N/A 8 3 66 43 2009-03-17 $10584.00 $12000.00 81.4% 23.3% 96.9% 23.7% 89.6% -20.2% 7.4% 147.0K 277.4K -90.2K 0.55 29.69 N/A N/A 6 4 69 44 2009-03-18 $10392.00 $12000.00 85.5% 24.5% 97.0% 25.7% 91.8% -26.4% 5.9% 113.0K 4.6M -88.2K 0.44 30.81 N/A N/A 9 4 71 45 2009-03-19 $9984.00 $11600.00 86.9% 24.9% 97.8% 26.4% 94.3% -23.0% 5.6% 91.1K 11.6M -82.3K 0.60 36.04 N/A N/A 8 5 73 46 2009-03-20 $10780.00 $11600.00 89.6% 25.7% 100.5% 27.8% 91.7% -25.2% 5.5% 49.6K 369.3K -91.4K 0.35 30.31 N/A N/A 7 3 74 48 2009-03-23 $9080.00 $11600.00 82.6% 23.7% 110.9% 24.3% 92.3% -27.5% 7.1% 60.6K 6.0M -62.1K 0.25 37.81 N/A N/A 19 5 44 28 2009-03-24 $9464.00 $11600.00 82.2% 23.6% 108.3% 24.1% 84.0% -19.2% 5.1% 59.0K 8.6M -65.4K 0.36 43.11 N/A N/A 7 2 43 30 2009-03-25 $9372.00 $11600.00 76.1% 21.8% 107.9% 21.1% 79.1% -19.7% 7.7% 79.7K 6.0M -75.2K 0.70 55.57 N/A N/A 6 4 47 32 2009-03-26 $9236.00 $11600.00 76.4% 21.9% 107.8% 21.2% 79.2% -14.5% 8.0% 61.7K 7.7M -75.1K 0.23 53.19 N/A N/A 4 1 49 34 2009-03-27 $9668.00 $11600.00 75.7% 21.7% 107.1% 20.9% 79.1% -13.6% 11.3% 102.0K 2.9M -84.4K 0.51 66.54 N/A N/A 4 2 51 34 2009-03-30 $10376.00 $11200.00 84.1% 24.1% 99.7% 25.1% 84.0% -12.0% 9.5% 146.9K -2.5M -91.9K 0.49 55.10 N/A N/A 9 4 53 35 2009-03-31 $10576.00 $11200.00 81.2% 23.3% 100.4% 23.6% 81.7% -11.4% 12.2% 184.8K -3.9M -95.9K 0.35 24.45 N/A N/A 3 1 56 38
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