DUG Options History — April 2009

In April 2009, DUG traded between $8644.00 and $10052.00. ATM implied volatility averaged 74.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 10.3% (HV 20d: 84.4%). Max pain ranged from $9200.00 to $11200.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2009-04-22: Highest Volume — 16 contracts
  • 2009-04-09: Largest IV spike — 21.1% change
  • 2009-04-13: Highest IV Rank — 24.6%
  • 2009-04-07: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9303.43$8644.00$10052.00$10052.00$8908.00
Max Pain$9695.24$9200.00$11200.00$11200.00$9200.00
ATM IV74.0%63.8%83.1%79.9%65.4%
Expected Move22.0%18.3%25.3%22.9%18.8%
HV 20d84.4%65.4%98.1%98.1%65.9%
HV 60d90.8%86.6%95.8%94.6%87.5%
IV Rank20.0%14.9%24.6%22.9%15.7%
IV Percentile40.8%21.0%56.7%51.6%23.4%
Term Structure4.8%0.4%12.5%12.5%3.3%
VWIV77.8%63.8%87.4%80.5%63.8%
Skew 25d-13.3%-23.7%-3.7%-11.8%-9.6%
Skew 10d-27.7%-43.8%-15.3%-24.4%-22.2%
Call IV 25d85.7%70.9%101.0%88.3%70.9%
Put IV 25d72.5%61.3%84.7%76.5%61.3%
Bid-Ask Spread %43.4621.7177.4073.1373.23
Gamma HHI0.130.060.320.080.23
Net GEX85.4K-300.1K241.2K163.9K-300.1K
Net DEX6.3M-5.7M16.4M-792.0K7.9M
Net VEX-72.7K-94.9K-50.3K-94.9K-77.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.194.410.611.05
Total Volume7.429316106
Total OI88.238421139685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$10052.00$11200.0079.9%22.9%98.1%22.9%80.5%-11.8%12.5%163.9K-792.0K-94.9K0.6173.13N/AN/A645838
2009-04-02$9352.00$10800.0076.6%22.0%94.3%21.3%78.4%-15.4%11.9%113.6K7.5M-85.4K0.5423.86N/AN/A746041
2009-04-03$8984.00$9600.0068.6%24.7%94.6%17.3%87.0%-23.7%1.3%84.3K10.4M-82.1K0.2621.71N/AN/A516242
2009-04-06$9288.00$9600.0073.0%24.1%96.5%19.5%85.8%-19.1%8.7%147.7K8.7M-82.7K0.2222.67N/AN/A516442
2009-04-07$9804.00$9600.0075.6%25.3%94.3%20.8%86.7%-13.7%3.2%212.0K3.4M-87.0K0.3033.34N/AN/A836443
2009-04-08$9588.00$9600.0067.1%24.3%94.1%16.6%86.6%-19.5%7.0%193.8K6.9M-81.5K0.1938.40N/AN/A716443
2009-04-09$9056.00$9600.0081.2%23.3%94.2%23.6%82.0%-17.4%4.0%113.4K13.1M-71.4K0.3227.53N/AN/A316644
2009-04-13$9296.00$9600.0083.1%23.8%94.9%24.6%87.4%-14.0%2.3%148.2K14.4M-66.1K0.6723.44N/AN/A756644
2009-04-14$9364.00$9600.0081.6%23.4%95.1%23.8%82.9%-13.1%5.8%186.8K13.9M-68.5K0.2925.62N/AN/A316746
2009-04-15$9312.00$9600.0082.3%23.6%92.1%24.1%82.7%-16.7%6.8%204.4K12.9M-66.5K0.4343.82N/AN/A216544
2009-04-16$9196.00$9600.0078.6%22.5%92.0%22.3%80.8%-15.9%5.6%207.9K13.8M-55.9K0.3237.42N/AN/A316040
2009-04-17$9068.00$9600.0072.8%20.9%91.2%19.4%77.6%-15.6%6.1%241.2K16.4M-50.3K0.8936.76N/AN/A226040
2009-04-20$9868.00$9600.0077.9%22.3%92.1%22.0%78.7%-11.7%3.9%100.2K-4.3M-57.0K0.3425.62N/AN/A932715
2009-04-21$9468.00$9600.0074.2%21.3%69.6%20.1%73.0%-12.5%1.7%148.0K-4.3M-63.3K0.3556.96N/AN/A523317
2009-04-22$9668.00$9200.0074.1%21.2%68.5%20.0%73.8%-8.5%3.4%201.5K-5.7M-67.7K4.4132.03N/AN/A3133618
2009-04-23$9348.00$9600.0070.7%20.3%69.5%18.4%70.5%-3.7%4.1%-13.1K-446.2K-75.8K1.9960.53N/AN/A133829
2009-04-24$8864.00$9600.0067.6%19.4%71.9%16.8%69.3%-11.4%4.5%-82.3K5.0M-70.3K0.5572.49N/AN/A423831
2009-04-27$9168.00$9600.0071.7%20.5%70.9%18.9%72.2%-8.2%0.4%-76.4K2.7M-75.4K0.4768.12N/AN/A423933
2009-04-28$9076.00$9600.0068.8%19.7%65.4%17.4%70.1%-7.8%2.7%-87.0K3.4M-76.5K0.3677.40N/AN/A214134
2009-04-29$8644.00$9600.0063.8%18.3%66.3%14.9%64.3%-9.6%2.5%-113.7K7.2M-70.1K2.0338.67N/AN/A494234
2009-04-30$8908.00$9200.0065.4%18.8%65.9%15.7%63.8%-9.6%3.3%-300.1K7.9M-77.5K1.0573.23N/AN/A334342