DUG Options History — September 2009

In September 2009, DUG traded between $5520.00 and $6824.00. ATM implied volatility averaged 52.4%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 8.4% (HV 20d: 44.0%). Max pain ranged from $6400.00 to $7200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2009-09-25: Highest Volume — 88 contracts
  • 2009-09-10: Largest IV spike — 20.7% change
  • 2009-09-30: Highest IV Rank — 7.0%
  • 2009-09-30: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5973.33$5520.00$6824.00$6764.00$5804.00
Max Pain$6761.90$6400.00$7200.00$6400.00$6400.00
ATM IV52.4%44.6%57.8%55.6%57.8%
Expected Move15.5%13.7%16.6%15.9%16.6%
HV 20d44.0%38.5%50.6%45.8%38.5%
HV 60d48.8%43.7%52.3%51.5%43.7%
IV Rank3.9%0.0%7.0%4.1%7.0%
IV Percentile8.3%0.0%23.0%11.5%23.0%
Term Structure5.0%0.6%8.6%6.7%0.6%
VWIV57.6%49.9%67.2%52.1%57.3%
Skew 25d-13.0%-26.4%-5.5%-5.5%-8.7%
Skew 10d-33.7%-50.6%-11.3%-19.3%-37.8%
Call IV 25d62.7%56.3%68.3%60.7%62.5%
Put IV 25d49.7%37.9%55.2%55.2%53.9%
Bid-Ask Spread %11.565.5225.4315.446.23
Gamma HHI0.200.130.290.140.29
Net GEX238.7K18.0K478.4K299.7K478.4K
Net DEX5.6M-6.2M16.2M-5.4M-371.7K
Net VEX-71.4K-111.9K-45.5K-78.2K-111.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.180.700.500.56
Total Volume13.524588159
Total OI140.857115194115194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$6764.00$6400.0055.6%15.9%45.8%4.1%52.1%-5.5%6.7%299.7K-5.4M-78.2K0.5015.44N/AN/A1056946
2009-09-02$6824.00$6400.0054.5%15.6%45.4%3.6%56.8%-7.0%7.0%335.6K-6.2M-82.0K0.7019.45N/AN/A537248
2009-09-03$6756.00$6400.0053.7%15.4%45.2%3.2%52.8%-12.2%8.6%331.0K-5.0M-83.9K0.6615.31N/AN/A327350
2009-09-04$6524.00$7200.0044.6%16.5%46.9%0.0%60.9%-13.4%3.7%322.6K-1.4M-80.1K0.5917.17N/AN/A327450
2009-09-08$6176.00$7200.0046.7%16.3%50.6%1.1%61.5%-12.4%4.7%231.9K6.3M-67.5K0.658.45N/AN/A647551
2009-09-09$6152.00$7200.0046.8%16.0%49.1%1.2%59.3%-9.2%5.3%199.0K7.3M-67.9K0.5514.34N/AN/A747653
2009-09-10$5960.00$7200.0056.5%16.2%49.6%6.3%62.2%-12.1%4.1%132.8K10.7M-65.0K0.1825.43N/AN/A828056
2009-09-11$5932.00$7200.0056.7%16.3%49.4%6.4%58.2%-14.0%5.0%168.1K10.4M-65.8K0.5311.46N/AN/A848556
2009-09-14$5888.00$6800.0057.1%16.4%47.7%6.6%62.5%-15.7%3.3%226.6K11.0M-62.6K0.4018.30N/AN/A428857
2009-09-15$5772.00$6800.0052.8%15.1%40.7%4.3%60.4%-14.4%5.6%192.2K12.8M-59.2K0.347.12N/AN/A629057
2009-09-16$5520.00$6800.0055.5%15.9%42.3%5.7%60.2%-26.4%2.2%72.6K16.2M-50.7K0.3513.03N/AN/A839357
2009-09-17$5580.00$6800.0054.7%15.7%42.0%5.4%67.2%-14.3%4.9%152.4K13.2M-58.3K0.3710.25N/AN/A529857
2009-09-18$5592.00$6800.0054.9%15.7%42.0%5.4%58.0%-18.2%5.3%18.0K13.5M-56.7K0.5711.97N/AN/A6310057
2009-09-21$5680.00$6800.0051.4%14.7%39.7%3.6%55.0%-12.9%6.3%122.3K7.8M-57.0K0.388.43N/AN/A937441
2009-09-22$5520.00$6800.0048.7%14.0%39.5%2.2%49.9%-11.8%6.6%95.3K11.3M-45.5K0.426.69N/AN/A528042
2009-09-23$5728.00$6800.0047.7%13.7%40.9%1.7%51.7%-14.3%6.9%178.5K7.0M-58.4K0.188.13N/AN/A1028243
2009-09-24$5896.00$6800.0053.1%15.2%42.6%4.5%53.7%-14.8%3.8%256.7K3.0M-68.4K0.398.12N/AN/A1158644
2009-09-25$5904.00$6400.0052.8%15.1%42.5%4.3%57.0%-12.7%4.4%313.2K1.9M-71.4K0.315.57N/AN/A67218943
2009-09-28$5724.00$6400.0050.5%14.5%43.6%3.1%57.3%-12.0%4.0%433.7K1.6M-100.7K0.525.52N/AN/A10512657
2009-09-29$5744.00$6400.0048.4%13.9%41.1%2.0%56.3%-11.3%6.9%452.4K1.5M-107.9K0.336.41N/AN/A6212960
2009-09-30$5804.00$6400.0057.8%16.6%38.5%7.0%57.3%-8.7%0.6%478.4K-371.7K-111.9K0.566.23N/AN/A6313361