DUG Options History — July 2009

In July 2009, DUG traded between $6472.00 and $8668.00. ATM implied volatility averaged 57.0%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 2.2% (HV 20d: 54.8%). Max pain ranged from $6800.00 to $8400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2009-07-08: Highest Volume — 32 contracts
  • 2009-07-07: Largest IV spike — 17.4% change
  • 2009-07-08: Highest IV Rank — 19.0%
  • 2009-07-08: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7499.45$6472.00$8668.00$7504.00$6704.00
Max Pain$7581.82$6800.00$8400.00$7200.00$6800.00
ATM IV57.0%47.8%72.0%47.8%53.4%
Expected Move16.6%13.7%20.6%13.7%15.3%
HV 20d54.8%49.6%60.8%51.7%49.6%
HV 60d65.4%61.3%67.1%66.1%61.3%
IV Rank11.5%7.0%19.0%7.0%9.7%
IV Percentile8.6%0.4%35.7%0.4%4.4%
Term Structure4.1%0.1%11.9%11.9%3.0%
VWIV59.5%50.0%72.1%50.0%54.2%
Skew 25d-9.4%-14.5%-3.8%-6.7%-9.2%
Skew 10d-20.6%-40.5%9.0%-14.2%-23.9%
Call IV 25d64.4%53.0%74.3%53.0%60.5%
Put IV 25d55.0%46.3%69.1%46.3%51.3%
Bid-Ask Spread %15.855.8121.797.1516.25
Gamma HHI0.200.080.400.180.14
Net GEX495.1K69.6K1.5M307.2K262.7K
Net DEX-7.7M-33.2M5.1M-4.0M-1.2M
Net VEX-69.1K-90.8K-53.1K-62.2K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.071.130.250.53
Total Volume1273287
Total OI109.9096214398113

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$7504.00$7200.0047.8%13.7%51.7%7.0%50.0%-6.7%11.9%307.2K-4.0M-62.2K0.257.15N/AN/A626236
2009-07-02$8044.00$7200.0051.4%14.7%53.8%8.7%52.0%-3.8%7.9%384.5K-11.9M-66.5K0.365.81N/AN/A836436
2009-07-06$8200.00$7600.0057.5%18.7%53.9%11.8%66.0%-8.9%3.0%476.1K-16.6M-68.6K0.3721.79N/AN/A1046838
2009-07-07$8652.00$8000.0067.6%19.4%55.9%16.8%67.6%-5.0%4.4%463.0K-21.2M-71.7K0.1519.29N/AN/A2347039
2009-07-08$8668.00$8000.0072.0%20.6%54.8%19.0%72.1%-3.8%1.7%808.1K-28.0M-83.5K0.0711.95N/AN/A3028440
2009-07-09$8504.00$8000.0068.5%19.7%55.1%17.3%70.2%-7.8%3.0%1.2M-29.4M-90.8K0.2615.97N/AN/A929741
2009-07-10$8624.00$8000.0064.8%19.7%51.3%15.4%69.6%-7.5%5.1%1.3M-33.2M-90.5K0.2314.04N/AN/A619842
2009-07-13$8384.00$8000.0068.8%19.6%53.7%17.4%67.5%-5.8%4.5%1.5M-26.5M-83.0K0.2317.06N/AN/A929842
2009-07-14$8124.00$8000.0059.9%18.5%54.6%13.0%67.5%-7.9%5.4%1.5M-18.2M-79.1K0.3517.95N/AN/A629943
2009-07-15$7584.00$8400.0058.0%17.6%60.2%12.0%65.6%-12.2%4.1%700.7K-1.4M-66.1K0.3916.60N/AN/A949844
2009-07-16$7440.00$8000.0058.7%16.8%60.0%12.4%58.3%-9.6%6.0%352.8K1.7M-60.1K0.9020.36N/AN/A559944
2009-07-17$7348.00$8000.0054.5%15.6%60.2%10.3%57.0%-14.1%7.4%148.6K3.2M-57.0K0.6116.31N/AN/A439743
2009-07-20$7148.00$8000.0053.3%15.3%60.8%9.7%54.7%-11.7%3.0%95.7K1.9M-53.1K0.5214.17N/AN/A743824
2009-07-21$6956.00$7600.0050.5%14.5%50.5%8.3%54.1%-13.9%5.1%99.3K3.1M-54.8K0.5816.31N/AN/A634227
2009-07-22$7064.00$7600.0053.3%15.3%51.1%9.7%55.5%-14.0%2.9%128.7K1.7M-57.5K0.1519.86N/AN/A814428
2009-07-23$6656.00$7600.0056.0%16.1%54.6%11.1%55.1%-11.5%0.2%142.5K3.8M-56.1K1.1314.94N/AN/A10114928
2009-07-24$6504.00$7200.0049.3%14.1%53.6%7.7%55.3%-10.4%2.7%69.6K5.1M-61.0K0.2220.29N/AN/A725537
2009-07-27$6472.00$7200.0050.9%14.6%52.9%8.5%54.3%-11.4%2.1%79.9K5.0M-61.8K0.2717.82N/AN/A725838
2009-07-28$6664.00$6800.0053.5%15.4%54.0%9.8%54.9%-10.6%0.1%188.0K1.7M-67.3K0.2112.93N/AN/A1026238
2009-07-29$6960.00$6800.0050.2%14.4%56.4%8.2%54.1%-14.5%5.3%311.5K-3.8M-76.9K0.1616.58N/AN/A816739
2009-07-30$6784.00$6800.0052.9%15.2%56.9%9.5%54.2%-6.4%2.1%308.7K-1.5M-75.5K0.5215.35N/AN/A637039
2009-07-31$6704.00$6800.0053.4%15.3%49.6%9.7%54.2%-9.2%3.0%262.7K-1.2M-76.1K0.5316.25N/AN/A527241