DUG Options History — June 2009 In June 2009, DUG traded between $6176.00 and $7952.00. ATM implied volatility averaged 62.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 3.1% (HV 20d: 65.7%). Max pain ranged from $6800.00 to $7600.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.35.
Notable Days 2009-06-19 : Highest Volume — 22 contracts2009-06-22 : Largest IV spike — 12.2% change2009-06-17 : Highest IV Rank — 18.1%2009-06-17 : Largest Expected Move — 20.1%Monthly Statistics Metric Avg Min Max Open Close Price $6971.27 $6176.00 $7952.00 $6384.00 $7500.00 Max Pain $7109.09 $6800.00 $7600.00 $7200.00 $7200.00 ATM IV 62.6% 52.7% 70.3% 64.5% 52.7% Expected Move 18.2% 15.1% 20.1% 18.5% 15.1% HV 20d 65.7% 55.9% 78.4% 77.3% 55.9% HV 60d 73.7% 66.5% 80.5% 78.8% 66.5% IV Rank 14.4% 9.4% 18.1% 15.3% 9.4% IV Percentile 15.1% 0.4% 32.9% 19.8% 0.4% Term Structure 6.2% 1.2% 15.2% 1.2% 7.9% VWIV 64.6% 53.2% 70.4% 68.8% 53.6% Skew 25d -7.6% -14.5% 1.0% -11.7% -4.6% Skew 10d -15.4% -30.0% 11.2% -21.1% -24.5% Call IV 25d 68.9% 55.9% 76.1% 72.0% 55.9% Put IV 25d 61.3% 49.2% 65.8% 60.3% 51.2% Bid-Ask Spread % 40.35 7.81 81.01 73.46 7.81 Gamma HHI 0.24 0.10 0.47 0.18 0.14 Net GEX 259.0K 19.1K 558.4K 19.1K 248.5K Net DEX 885.7K -9.8M 12.8M 11.2M -3.9M Net VEX -57.2K -66.1K -45.1K -45.1K -63.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.10 1.09 0.31 0.30 Total Volume 11 4 22 16 8 Total OI 111.409 77 140 95 96
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 2009-06-01 $6384.00 $7200.00 64.5% 18.5% 77.3% 15.3% 68.8% -11.7% 1.2% 19.1K 11.2M -45.1K 0.31 73.46 N/A N/A 12 4 59 36 2009-06-02 $6392.00 $7200.00 65.3% 18.7% 74.7% 15.7% 70.2% -14.5% 3.0% 127.2K 9.0M -52.5K 0.10 73.53 N/A N/A 6 1 67 38 2009-06-03 $6820.00 $7200.00 66.5% 19.1% 78.4% 16.3% 67.2% -6.2% 3.2% 237.2K 3.7M -61.3K 0.33 26.66 N/A N/A 12 4 71 38 2009-06-04 $6556.00 $7200.00 63.7% 18.3% 75.6% 14.9% 67.9% -11.3% 2.1% 203.9K 6.7M -57.4K 0.30 35.34 N/A N/A 5 2 73 39 2009-06-05 $6620.00 $7600.00 63.8% 19.2% 74.9% 14.9% 66.9% -6.9% 4.1% 221.9K 6.3M -58.0K 0.31 37.73 N/A N/A 3 1 74 40 2009-06-08 $6648.00 $7600.00 63.1% 18.8% 68.9% 14.6% 65.2% -9.7% 6.0% 243.1K 6.2M -55.7K 0.27 52.80 N/A N/A 4 1 75 40 2009-06-09 $6520.00 $7600.00 56.0% 18.2% 66.4% 11.0% 65.2% -8.1% 7.0% 211.8K 8.4M -51.9K 1.09 44.06 N/A N/A 3 3 76 41 2009-06-10 $6428.00 $7200.00 56.5% 18.4% 66.2% 11.3% 66.1% -3.8% 6.8% 171.3K 10.3M -49.5K 0.42 53.42 N/A N/A 7 3 77 43 2009-06-11 $6176.00 $7200.00 62.9% 18.0% 60.5% 14.5% 65.8% -8.3% 7.8% 157.3K 12.8M -46.1K 0.21 14.72 N/A N/A 13 3 80 44 2009-06-12 $6288.00 $6800.00 66.5% 19.1% 61.4% 16.3% 70.4% -9.5% 7.8% 294.6K 8.3M -52.4K 0.14 43.49 N/A N/A 13 2 87 45 2009-06-15 $6592.00 $6800.00 68.2% 19.5% 62.1% 17.1% 69.7% -13.5% 6.7% 396.1K 2.3M -55.9K 0.20 11.63 N/A N/A 10 2 92 45 2009-06-16 $6856.00 $6800.00 68.8% 19.7% 60.1% 17.5% 68.9% -11.4% 5.9% 496.7K -2.2M -58.4K 0.18 15.88 N/A N/A 9 2 94 46 2009-06-17 $7068.00 $6800.00 70.3% 20.1% 61.3% 18.1% 70.4% -7.8% 4.6% 546.4K -8.5M -61.7K 0.15 45.16 N/A N/A 18 3 93 46 2009-06-18 $7144.00 $6800.00 66.7% 19.1% 61.5% 16.4% 67.9% -9.2% 7.6% 310.6K -5.8M -56.7K 0.13 52.96 N/A N/A 7 1 88 46 2009-06-19 $7252.00 $6800.00 59.6% 17.1% 58.9% 12.9% 59.4% -2.4% 15.2% 558.4K -9.8M -57.0K 0.43 81.01 N/A N/A 15 7 90 46 2009-06-22 $7952.00 $6800.00 66.9% 19.2% 67.9% 16.5% 66.1% -0.8% 5.4% 166.1K -8.1M -55.3K 0.31 71.76 N/A N/A 12 4 50 27 2009-06-23 $7868.00 $6800.00 65.8% 18.9% 66.3% 16.0% 64.7% -4.8% 6.0% 209.3K -8.4M -61.1K 0.79 53.63 N/A N/A 5 4 54 29 2009-06-24 $7788.00 $7200.00 62.6% 17.9% 66.1% 14.3% 61.9% 1.0% 6.5% 192.2K -6.9M -64.9K 0.76 19.73 N/A N/A 6 4 55 32 2009-06-25 $7488.00 $7200.00 58.5% 16.8% 63.4% 12.3% 58.4% -8.1% 6.4% 195.9K -3.7M -65.5K 0.44 26.58 N/A N/A 6 3 57 34 2009-06-26 $7616.00 $7200.00 54.3% 15.6% 62.1% 10.2% 53.4% -7.2% 8.3% 249.0K -5.5M -66.1K 0.25 13.86 N/A N/A 5 1 59 35 2009-06-29 $7412.00 $7200.00 55.0% 15.8% 55.9% 10.6% 53.2% -8.8% 6.1% 240.7K -3.0M -62.4K 0.32 32.53 N/A N/A 6 2 59 35 2009-06-30 $7500.00 $7200.00 52.7% 15.1% 55.9% 9.4% 53.6% -4.6% 7.9% 248.5K -3.9M -63.8K 0.30 7.81 N/A N/A 6 2 60 36
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