DUG Options History — May 2009

In May 2009, DUG traded between $6880.00 and $8364.00. ATM implied volatility averaged 63.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 10.2% (HV 20d: 73.7%). Max pain ranged from $7600.00 to $9200.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-05-18: Highest Volume — 14 contracts
  • 2009-05-13: Largest IV spike — 15.0% change
  • 2009-05-11: Highest IV Rank — 19.0%
  • 2009-05-13: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7555.00$6880.00$8364.00$8364.00$6880.00
Max Pain$8380.00$7600.00$9200.00$9200.00$7600.00
ATM IV63.5%56.8%71.9%61.1%58.6%
Expected Move18.3%16.3%20.0%17.5%16.8%
HV 20d73.7%64.8%80.9%64.8%76.2%
HV 60d86.8%80.0%90.5%88.3%80.0%
IV Rank14.8%11.4%19.0%13.6%12.3%
IV Percentile18.2%3.6%35.7%16.3%5.2%
Term Structure4.2%0.1%9.5%5.9%7.1%
VWIV65.6%56.7%72.8%67.1%61.8%
Skew 25d-10.5%-18.4%-5.0%-12.5%-11.0%
Skew 10d-23.2%-41.7%-4.9%-26.6%-16.5%
Call IV 25d70.7%60.1%81.0%72.1%65.8%
Put IV 25d60.2%53.9%68.8%59.6%54.9%
Bid-Ask Spread %40.2821.5974.0274.0271.02
Gamma HHI0.170.090.560.190.13
Net GEX7.2K-238.7K378.2K-220.3K20.2K
Net DEX11.7M61.9K21.1M11.4M8.4M
Net VEX-55.7K-70.2K-46.9K-70.2K-52.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.1310.010.250.20
Total Volume6.531457
Total OI87.7601048490

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$8364.00$9200.0061.1%17.5%64.8%13.6%67.1%-12.5%5.9%-220.3K11.4M-70.2K0.2574.02N/AN/A414440
2009-05-04$7816.00$9200.0068.0%19.4%67.4%17.0%67.3%-12.2%3.0%-219.1K16.8M-58.6K0.5950.28N/AN/A434542
2009-05-05$8020.00$8800.0066.6%19.4%66.9%16.3%69.2%-11.2%5.3%-238.7K15.1M-64.0K0.7232.64N/AN/A324744
2009-05-06$7460.00$8800.0067.5%19.4%66.5%16.8%69.4%-16.1%3.6%-166.7K19.0M-54.2K0.3447.79N/AN/A524744
2009-05-07$7656.00$8800.0063.6%19.7%67.9%14.8%69.7%-13.3%2.7%-159.4K18.2M-56.4K0.4227.10N/AN/A525044
2009-05-08$7024.00$8800.0066.5%19.8%71.2%16.3%70.0%-18.4%1.2%-52.2K21.1M-46.9K0.5728.39N/AN/A535146
2009-05-11$7376.00$8400.0071.9%19.6%73.3%19.0%72.8%-15.3%3.7%-40.6K20.1M-51.5K0.3342.69N/AN/A315447
2009-05-12$7212.00$8400.0062.0%19.4%73.0%14.0%71.1%-14.4%0.1%-25.0K20.6M-49.5K0.6034.29N/AN/A215548
2009-05-13$7744.00$8400.0071.3%20.0%78.9%18.6%72.1%-7.7%0.8%-63.7K18.6M-54.4K0.2844.73N/AN/A415547
2009-05-14$7680.00$8400.0068.6%19.7%78.9%17.3%70.4%-13.8%1.5%-2.3K18.7M-53.8K0.2021.59N/AN/A415547
2009-05-15$8008.00$8400.0065.4%18.8%80.9%15.7%66.0%-7.0%4.9%378.2K17.2M-53.8K0.3844.75N/AN/A625648
2009-05-18$7468.00$8400.0059.6%17.1%76.4%12.8%62.5%-6.5%5.2%65.1K4.2M-47.2K0.1730.88N/AN/A1223723
2009-05-19$7412.00$8000.0057.8%16.6%75.7%12.0%56.7%-6.2%7.4%136.2K4.1M-51.5K0.1349.80N/AN/A414524
2009-05-20$7368.00$8000.0056.8%16.3%74.7%11.4%58.1%-5.0%9.5%155.3K3.7M-53.0K0.5223.76N/AN/A424725
2009-05-21$7740.00$8000.0058.9%16.9%77.5%12.5%60.9%-6.9%7.2%201.2K61.9K-62.1K0.2835.78N/AN/A524925
2009-05-22$7736.00$8000.0060.2%17.2%75.8%13.1%59.8%-6.1%5.2%193.4K1.1M-59.9K10.0129.48N/AN/A1125026
2009-05-26$7428.00$8000.0063.2%18.1%75.1%14.6%63.6%-8.6%1.2%67.2K4.4M-59.1K0.6727.33N/AN/A325034
2009-05-27$7588.00$8000.0061.8%17.7%76.0%13.9%61.4%-5.9%3.4%84.3K3.8M-60.2K0.2743.33N/AN/A215135
2009-05-28$7120.00$8000.0061.2%17.5%77.2%13.6%61.8%-11.6%4.1%30.7K7.1M-55.5K0.4846.00N/AN/A425235
2009-05-29$6880.00$7600.0058.6%16.8%76.2%12.3%61.8%-11.0%7.1%20.2K8.4M-52.2K0.2071.02N/AN/A615436