DUG Options History — November 2009

In November 2009, DUG traded between $4836.00 and $5396.00. ATM implied volatility averaged 53.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 2.8% (HV 20d: 51.2%). Max pain ranged from $4800.00 to $5600.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2009-11-20: Highest Volume — 16 contracts
  • 2009-11-27: Largest IV spike — 13.9% change
  • 2009-11-03: Highest IV Rank — 16.6%
  • 2009-11-03: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5060.60$4836.00$5396.00$5396.00$5100.00
Max Pain$5060.00$4800.00$5600.00$5600.00$5200.00
ATM IV53.9%44.3%61.3%61.2%53.6%
Expected Move15.7%12.7%17.6%17.5%15.4%
HV 20d51.2%42.4%54.2%53.7%42.4%
HV 60d47.0%45.7%48.4%48.2%47.1%
IV Rank10.8%2.4%16.6%16.5%11.8%
IV Percentile19.9%0.4%38.1%37.3%21.0%
Term Structure2.9%-1.2%5.9%3.0%4.2%
VWIV56.9%47.5%67.5%67.5%53.1%
Skew 25d-11.1%-15.8%-4.5%-15.8%-14.3%
Skew 10d-23.9%-41.9%-4.7%-37.2%-37.9%
Call IV 25d62.0%49.0%73.2%73.2%59.9%
Put IV 25d51.0%42.1%58.3%57.4%45.6%
Bid-Ask Spread %18.0611.3629.0618.4717.67
Gamma HHI0.290.170.930.180.24
Net GEX567.1K190.8K4.5M491.6K281.2K
Net DEX-1.1M-9.0M4.8M-9.0M-3.7M
Net VEX-57.1K-84.1K-43.7K-84.1K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.060.800.370.18
Total Volume6.6531676
Total OI140.78316415096

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$5396.00$5600.0061.2%17.5%53.7%16.5%67.5%-15.8%3.0%491.6K-9.0M-84.1K0.3718.47N/AN/A5210941
2009-11-03$5256.00$5600.0061.3%17.6%52.3%16.6%66.6%-15.1%3.1%454.8K-6.4M-81.3K0.2918.87N/AN/A4111042
2009-11-04$5276.00$5600.0060.5%17.3%52.3%16.3%64.6%-12.0%3.0%455.0K-5.5M-77.2K0.1617.91N/AN/A3111042
2009-11-05$5116.00$5600.0059.8%17.2%50.6%15.8%63.2%-8.9%1.3%405.6K-1.8M-70.1K0.3016.96N/AN/A4111042
2009-11-06$5136.00$4800.0052.3%17.4%50.7%9.3%61.7%-12.1%0.3%435.0K-2.3M-69.6K0.6624.64N/AN/A4311042
2009-11-09$4948.00$4800.0053.8%16.3%51.5%10.6%59.0%-14.9%0.6%334.0K2.4M-59.5K0.7220.32N/AN/A5411143
2009-11-10$4948.00$4800.0053.5%16.0%51.4%10.3%59.3%-12.6%-1.2%300.3K3.9M-55.4K0.4629.06N/AN/A2111144
2009-11-11$4936.00$4800.0054.2%16.0%49.8%10.9%61.8%-13.2%-1.0%332.6K3.2M-56.1K0.4123.44N/AN/A10411144
2009-11-12$5148.00$4800.0056.2%16.1%49.6%12.6%54.9%-9.8%4.6%520.7K-1.1M-60.1K0.5720.50N/AN/A4311645
2009-11-13$5088.00$4800.0056.3%16.1%49.9%12.7%54.7%-11.5%1.2%485.5K421.9K-56.7K0.1820.28N/AN/A3111846
2009-11-16$4836.00$4800.0052.7%15.1%52.7%9.6%57.0%-14.5%3.9%283.6K4.8M-47.6K0.5211.74N/AN/A4211945
2009-11-17$4840.00$4800.0054.3%15.6%52.6%11.0%57.9%-10.3%2.1%258.8K3.4M-46.5K0.4914.60N/AN/A2112042
2009-11-18$4880.00$4800.0051.1%14.7%52.6%8.3%53.9%-13.4%3.0%253.4K3.0M-46.1K0.8015.86N/AN/A2212142
2009-11-19$5096.00$4800.0054.7%15.7%54.2%11.4%54.3%-8.9%4.5%642.0K-1.4M-48.8K0.4211.65N/AN/A4212042
2009-11-20$5196.00$4800.0052.2%15.0%52.9%9.2%53.0%-4.5%3.7%4.5M-5.6M-48.5K0.5619.24N/AN/A10612137
2009-11-23$5036.00$5200.0050.8%14.6%53.1%8.0%48.5%-9.1%4.4%190.8K-1.7M-43.7K0.4711.36N/AN/A945924
2009-11-24$4980.00$5200.0044.3%12.7%52.9%2.4%47.5%-4.7%5.9%232.1K-1.3M-45.6K0.3517.70N/AN/A316427
2009-11-25$4880.00$5200.0044.8%12.8%48.6%2.8%48.0%-9.3%5.4%218.6K-275.5K-45.2K0.3114.07N/AN/A316528
2009-11-27$5120.00$5200.0051.0%14.6%49.5%9.3%51.9%-6.8%5.2%269.0K-3.6M-49.7K0.0616.91N/AN/A606728
2009-11-30$5100.00$5200.0053.6%15.4%42.4%11.8%53.1%-14.3%4.2%281.2K-3.7M-49.4K0.1817.67N/AN/A516828