DUG Options History — March 2010

In March 2010, DUG traded between $4716.00 and $5160.00. ATM implied volatility averaged 36.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 5.7% (HV 20d: 31.2%). Max pain ranged from $4800.00 to $5200.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.33.

Notable Days

  • 2010-03-19: Highest Volume — 7 contracts
  • 2010-03-05: Largest IV drop — 21.6% change
  • 2010-03-18: Highest IV Rank — 21.3%
  • 2010-03-03: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4938.43$4716.00$5160.00$5120.00$4900.00
Max Pain$4869.57$4800.00$5200.00$5200.00$4800.00
ATM IV36.9%32.0%42.1%39.9%32.1%
Expected Move10.8%9.2%12.1%11.4%9.2%
HV 20d31.2%24.5%49.1%49.1%29.6%
HV 60d39.0%38.1%40.3%39.1%38.1%
IV Rank15.4%6.9%21.3%15.5%10.3%
IV Percentile5.2%0.8%10.7%7.1%1.2%
Term Structure4.9%-1.2%8.0%5.1%5.4%
VWIV39.2%32.8%45.9%45.9%32.8%
Skew 25d-9.6%-17.9%-0.2%-7.5%-10.2%
Skew 10d-18.2%-32.5%59.9%-22.0%-22.8%
Call IV 25d43.5%37.0%48.4%44.2%38.9%
Put IV 25d33.9%27.2%37.1%36.8%28.8%
Bid-Ask Spread %13.978.6519.4311.7710.86
Gamma HHI0.350.260.490.260.38
Net GEX191.0K84.0K352.2K236.1K352.2K
Net DEX-1.1M-4.1M2.0M-3.2M-2.0M
Net VEX-23.2K-30.0K-19.2K-30.0K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.030.800.330.10
Total Volume3.130713
Total OI55.26143635556

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$5120.00$5200.0039.9%11.4%49.1%15.5%45.9%-7.5%5.1%236.1K-3.2M-30.0K0.3311.77N/AN/A103916
2010-03-02$5048.00$5200.0040.8%11.7%44.0%16.5%38.3%-7.6%3.3%224.3K-2.3M-28.4K0.4716.24N/AN/A213916
2010-03-03$5016.00$5200.0042.1%12.1%42.8%19.0%37.5%-8.6%1.0%189.1K-1.5M-27.0K0.3514.13N/AN/A213917
2010-03-04$5064.00$5200.0040.9%11.7%42.5%17.5%39.2%-11.7%4.3%206.2K-2.2M-27.6K0.2210.85N/AN/A103917
2010-03-05$4884.00$4800.0032.0%11.1%32.7%6.9%44.2%-11.2%6.7%155.6K-180.4K-25.3K0.5018.71N/AN/A213917
2010-03-08$4892.00$4800.0037.0%11.1%32.7%13.1%42.0%-9.9%7.1%160.7K-203.7K-24.7K0.5915.33N/AN/A004118
2010-03-09$4872.00$4800.0035.9%11.3%31.8%11.8%42.6%-11.6%5.3%150.5K-57.8K-23.8K0.3316.05N/AN/A214118
2010-03-10$4804.00$4800.0036.0%11.4%29.5%13.2%43.7%-12.8%5.1%136.3K500.8K-22.8K0.3717.52N/AN/A104118
2010-03-11$4816.00$4800.0037.6%10.8%29.1%16.0%40.3%-11.4%8.0%131.6K555.6K-22.2K0.7612.85N/AN/A104218
2010-03-12$4812.00$4800.0039.0%11.2%27.3%19.2%42.7%-12.3%6.9%111.3K663.0K-22.1K0.3815.22N/AN/A114218
2010-03-15$4896.00$4800.0038.7%11.1%28.3%18.6%43.5%-9.5%6.3%147.7K-402.2K-21.6K0.6817.51N/AN/A114218
2010-03-16$4804.00$4800.0037.0%10.6%24.8%16.9%40.2%-10.5%6.6%127.1K884.2K-20.7K0.8019.43N/AN/A114218
2010-03-17$4716.00$4800.0038.3%11.0%25.3%19.0%37.6%-7.9%6.7%84.0K2.0M-19.2K0.4412.85N/AN/A314218
2010-03-18$4848.00$4800.0039.8%11.4%27.5%21.3%39.8%-11.4%6.5%130.4K210.6K-21.8K0.1217.25N/AN/A204318
2010-03-19$4960.00$4800.0034.5%9.9%28.8%13.0%36.0%-17.9%7.3%170.3K-1.3M-21.6K0.0912.71N/AN/A614419
2010-03-22$4980.00$4800.0037.1%10.6%27.1%17.1%38.1%-7.6%-1.2%158.9K-1.4M-20.3K0.1512.03N/AN/A312914
2010-03-23$4940.00$4800.0033.8%9.7%24.5%13.1%35.8%-11.8%4.7%175.9K-1.6M-21.4K0.0612.97N/AN/A303114
2010-03-24$5004.00$4800.0036.0%10.3%25.0%16.8%34.4%-7.8%4.2%217.4K-2.3M-21.8K0.1713.80N/AN/A413214
2010-03-25$5160.00$4800.0037.4%10.7%27.6%19.2%36.3%-0.2%3.0%252.9K-4.1M-22.5K0.1412.89N/AN/A613414
2010-03-26$5148.00$4800.0035.3%10.1%27.6%15.6%37.3%-4.0%4.0%225.8K-3.6M-22.5K0.0311.69N/AN/A703314
2010-03-29$4956.00$4800.0034.1%9.8%29.9%13.5%35.2%-6.7%1.9%300.0K-2.0M-21.7K0.088.65N/AN/A503814
2010-03-30$4944.00$4800.0033.0%9.4%29.5%11.6%37.8%-10.4%4.4%349.8K-2.9M-22.8K0.4410.07N/AN/A214114
2010-03-31$4900.00$4800.0032.1%9.2%29.6%10.3%32.8%-10.2%5.4%352.2K-2.0M-21.3K0.1010.86N/AN/A304115