DUG Options History — December 2009

In December 2009, DUG traded between $4920.00 and $5440.00. ATM implied volatility averaged 43.2%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 7.2% (HV 20d: 36.1%). Max pain ranged from $5200.00 to $5200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2009-12-08: Highest Volume — 8 contracts
  • 2009-12-30: Largest IV drop — 11.2% change
  • 2009-12-08: Highest IV Rank — 9.4%
  • 2009-12-09: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5159.45$4920.00$5440.00$4956.00$5096.00
Max Pain$5200.00$5200.00$5200.00$5200.00$5200.00
ATM IV43.2%33.4%51.1%47.8%36.4%
Expected Move12.5%9.6%15.1%13.7%10.4%
HV 20d36.1%24.3%44.2%43.3%24.8%
HV 60d44.9%41.0%47.0%47.0%41.0%
IV Rank3.8%0.0%9.4%6.1%3.7%
IV Percentile3.3%0.0%12.7%4.4%0.8%
Term Structure7.3%4.0%11.1%5.0%6.5%
VWIV44.4%33.6%54.3%49.7%35.6%
Skew 25d-4.7%-15.9%1.9%-6.0%-6.0%
Skew 10d-8.3%-33.2%16.1%-14.7%-8.5%
Call IV 25d48.2%37.5%59.2%54.3%38.8%
Put IV 25d43.5%32.1%53.4%48.3%32.8%
Bid-Ask Spread %14.135.8042.1320.546.40
Gamma HHI0.360.200.890.300.34
Net GEX495.4K54.4K2.7M298.1K122.6K
Net DEX-2.8M-9.4M2.7M-1.1M-62.0K
Net VEX-37.0K-46.9K-27.8K-44.9K-29.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.167.560.420.37
Total Volume4.6361832
Total OI95.591711079892

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$4956.00$5200.0047.8%13.7%43.3%6.1%49.7%-6.0%5.0%298.1K-1.1M-44.9K0.4220.54N/AN/A217028
2009-12-02$5016.00$5200.0049.6%14.2%42.9%7.9%49.5%-15.9%4.0%323.7K-2.3M-45.5K0.2610.79N/AN/A207028
2009-12-03$5160.00$5200.0048.4%13.9%44.2%6.7%48.6%-7.4%4.7%370.6K-4.2M-46.3K0.2112.43N/AN/A107029
2009-12-04$5240.00$5200.0047.2%14.8%43.1%5.5%53.4%-7.0%7.7%399.3K-5.3M-46.8K0.1635.01N/AN/A617129
2009-12-07$5260.00$5200.0048.5%14.5%43.1%6.8%53.0%-8.0%7.4%448.0K-5.8M-45.6K0.2526.72N/AN/A217229
2009-12-08$5440.00$5200.0051.1%14.9%42.1%9.4%54.3%-4.2%7.4%480.7K-9.2M-46.9K0.3742.13N/AN/A627329
2009-12-09$5440.00$5200.0049.0%15.1%42.1%7.3%52.2%-5.5%5.8%517.8K-9.4M-45.5K0.3214.24N/AN/A627330
2009-12-10$5336.00$5200.0048.0%13.8%42.9%6.7%49.9%-5.4%7.6%572.7K-6.7M-43.6K1.0217.75N/AN/A117331
2009-12-11$5320.00$5200.0048.8%14.0%40.5%7.8%50.6%-6.6%6.7%596.5K-6.1M-41.8K0.479.71N/AN/A217331
2009-12-14$5264.00$5200.0046.1%13.2%40.4%4.8%48.5%-6.8%8.1%687.3K-4.9M-38.3K1.1025.90N/AN/A227330
2009-12-15$5232.00$5200.0045.3%13.0%35.5%4.1%45.3%-6.3%8.7%793.7K-4.3M-35.9K0.5711.99N/AN/A327431
2009-12-16$5176.00$5200.0044.7%12.8%35.9%3.3%45.6%-1.5%8.9%806.4K-2.1M-33.4K0.1912.32N/AN/A417331
2009-12-17$5260.00$5200.0042.5%12.2%36.2%1.0%42.9%-2.7%10.0%926.0K-4.3M-33.0K0.237.10N/AN/A617530
2009-12-18$5224.00$5200.0040.0%11.5%33.1%0.0%42.9%-2.9%11.1%2.7M-5.8M-32.3K0.467.65N/AN/A537730
2009-12-21$5108.00$5200.0038.6%11.1%33.4%0.0%39.2%1.6%8.0%140.2K300.7K-28.0K0.858.56N/AN/A225120
2009-12-22$5072.00$5200.0037.2%10.7%31.6%0.0%35.1%1.4%7.5%141.3K813.4K-27.8K0.877.06N/AN/A445222
2009-12-23$5012.00$5200.0037.5%10.7%31.6%0.4%36.0%-2.6%7.6%158.3K1.4M-30.0K0.787.26N/AN/A435425
2009-12-24$4972.00$5200.0036.4%10.4%30.8%0.0%36.6%-0.7%6.3%137.7K1.6M-29.7K7.565.80N/AN/A145728
2009-12-28$4920.00$5200.0037.2%10.7%25.5%1.0%37.4%1.9%7.3%54.4K2.7M-28.7K0.228.25N/AN/A215731
2009-12-29$5004.00$5200.0037.6%10.8%26.4%1.6%36.0%-6.5%4.9%90.0K1.4M-30.0K0.526.40N/AN/A325832
2009-12-30$5000.00$5200.0033.4%9.6%24.3%0.0%33.6%-5.3%9.0%98.4K993.6K-29.6K0.636.93N/AN/A115932
2009-12-31$5096.00$5200.0036.4%10.4%24.8%3.7%35.6%-6.0%6.5%122.6K-62.0K-29.6K0.376.40N/AN/A116032