DUG Options History — August 2009

In August 2009, DUG traded between $6120.00 and $7180.00. ATM implied volatility averaged 54.8%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 8.6% (HV 20d: 46.3%). Max pain ranged from $6400.00 to $6800.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2009-08-25: Highest Volume — 17 contracts
  • 2009-08-17: Largest IV spike — 8.2% change
  • 2009-08-04: Highest IV Rank — 12.1%
  • 2009-08-17: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6567.05$6120.00$7180.00$6400.00$6524.00
Max Pain$6476.19$6400.00$6800.00$6800.00$6400.00
ATM IV54.8%51.6%58.6%57.5%53.7%
Expected Move15.9%14.9%16.8%16.5%15.4%
HV 20d46.3%42.1%50.1%50.1%44.0%
HV 60d55.2%50.5%61.7%61.7%51.0%
IV Rank4.4%2.0%12.1%11.8%3.2%
IV Percentile7.1%2.4%14.3%8.7%7.1%
Term Structure3.8%0.7%6.3%3.0%5.2%
VWIV56.7%53.1%61.5%60.2%53.9%
Skew 25d-9.6%-14.4%-6.1%-14.4%-9.7%
Skew 10d-23.5%-34.9%-9.4%-30.4%-17.3%
Call IV 25d61.9%58.5%66.3%65.9%60.7%
Put IV 25d52.3%47.2%55.1%51.6%51.1%
Bid-Ask Spread %19.8713.0933.6114.2919.76
Gamma HHI0.200.130.480.130.14
Net GEX353.8K77.1K820.4K167.7K262.2K
Net DEX-363.0K-12.3M9.7M4.3M-1.7M
Net VEX-68.1K-79.8K-51.6K-71.3K-73.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.141.271.270.31
Total Volume8.7144171412
Total OI123.47684137117112

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$6400.00$6800.0057.5%16.5%50.1%11.8%60.2%-14.4%3.0%167.7K4.3M-71.3K1.2714.29N/AN/A687443
2009-08-04$6420.00$6800.0058.1%16.6%44.2%12.1%59.9%-13.3%0.7%186.9K3.3M-75.3K0.1713.09N/AN/A617649
2009-08-05$6548.00$6800.0054.5%15.6%45.5%3.6%57.5%-11.9%3.3%248.4K173.1K-79.5K0.2115.09N/AN/A418049
2009-08-06$6668.00$6800.0055.1%15.8%46.8%3.9%57.8%-9.3%5.1%313.7K-1.7M-79.8K0.2615.61N/AN/A628049
2009-08-07$6664.00$6400.0053.3%16.4%46.0%2.9%59.3%-8.7%4.2%337.3K-1.4M-78.6K0.1933.61N/AN/A318250
2009-08-10$6652.00$6400.0056.0%16.5%45.8%4.4%61.5%-9.6%3.9%334.1K-512.4K-73.6K0.1820.38N/AN/A418250
2009-08-11$6848.00$6400.0051.6%16.3%47.3%2.0%57.5%-6.9%5.0%483.4K-4.2M-72.6K0.4329.30N/AN/A428351
2009-08-12$6688.00$6400.0053.7%16.6%42.2%3.1%56.2%-8.5%2.8%389.8K-1.0M-70.3K0.2924.67N/AN/A318350
2009-08-13$6564.00$6400.0054.1%15.5%42.1%3.4%55.8%-8.9%3.7%343.4K1.6M-66.6K0.1732.83N/AN/A318451
2009-08-14$6760.00$6400.0054.1%15.5%43.9%3.4%56.5%-7.1%4.3%511.6K-2.7M-67.4K0.1422.21N/AN/A818451
2009-08-17$7180.00$6400.0058.6%16.8%48.5%5.7%58.2%-8.6%3.7%820.4K-12.3M-68.5K0.1622.06N/AN/A928650
2009-08-18$7036.00$6400.0058.3%16.7%48.1%5.6%57.4%-8.4%2.7%779.0K-7.8M-65.3K0.4220.02N/AN/A318451
2009-08-19$6784.00$6400.0056.4%16.2%49.4%4.6%55.4%-6.1%2.4%688.0K-1.3M-59.4K0.6714.84N/AN/A648451
2009-08-20$6640.00$6400.0056.6%16.2%45.2%4.7%58.1%-7.8%2.3%464.9K2.6M-54.3K0.2914.35N/AN/A628350
2009-08-21$6312.00$6400.0054.3%15.6%48.1%3.4%55.3%-8.5%2.8%77.1K9.7M-51.6K0.5915.16N/AN/A958750
2009-08-24$6120.00$6400.0052.0%14.9%49.2%2.3%54.8%-11.6%6.3%143.4K2.2M-51.8K0.6420.52N/AN/A965232
2009-08-25$6276.00$6400.0053.8%15.4%48.9%3.2%53.8%-10.8%4.1%202.8K289.8K-62.0K0.7316.68N/AN/A1075936
2009-08-26$6244.00$6400.0054.8%15.7%45.7%3.7%55.8%-11.6%3.5%207.5K1.3M-67.3K0.3613.77N/AN/A736442
2009-08-27$6280.00$6400.0052.1%14.9%45.2%2.3%53.2%-11.3%5.6%240.0K557.9K-69.6K0.3320.97N/AN/A836643
2009-08-28$6300.00$6400.0052.6%15.1%45.1%2.5%53.1%-9.3%4.4%228.4K1.0M-71.2K0.8218.07N/AN/A326644
2009-08-31$6524.00$6400.0053.7%15.4%44.0%3.2%53.9%-9.7%5.2%262.2K-1.7M-73.2K0.3119.76N/AN/A936745