DUG Options History — April 2010

In April 2010, DUG traded between $4168.80 and $4724.00. ATM implied volatility averaged 36.9%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 2.8% (HV 20d: 34.1%). Max pain ranged from $4400.00 to $5200.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-04-20: Highest Volume — 23 contracts
  • 2010-04-14: Largest IV spike — 58.1% change
  • 2010-04-30: Highest IV Rank — 54.3%
  • 2010-04-30: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4454.88$4168.80$4724.00$4724.00$4436.80
Max Pain$4602.11$4400.00$5200.00$4800.00$4400.00
ATM IV36.9%23.4%49.8%33.3%49.8%
Expected Move11.0%9.5%14.3%9.5%14.3%
HV 20d34.1%31.7%40.0%31.8%40.0%
HV 60d38.7%37.4%39.8%38.7%37.4%
IV Rank23.8%0.0%54.3%12.3%54.3%
IV Percentile12.6%0.0%45.2%2.0%45.2%
Term Structure3.3%-1.4%5.7%4.9%-1.4%
VWIV39.3%32.6%49.8%33.7%49.8%
Skew 25d-8.1%-14.4%-4.3%-12.7%-5.7%
Skew 10d-16.0%-32.6%-6.3%-16.6%-16.7%
Call IV 25d43.2%37.4%54.2%37.4%54.2%
Put IV 25d35.0%24.7%48.5%24.7%48.5%
Bid-Ask Spread %25.657.5246.687.5245.63
Gamma HHI0.350.140.590.470.15
Net GEX50.5K-231.1K361.8K361.8K-65.2K
Net DEX1.1M-598.8K3.8M-598.2K-598.8K
Net VEX-17.5K-31.3K0-20.3K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.065.450.131.11
Total Volume5.312326
Total OI46.30615860

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$4724.00$4800.0033.3%9.5%31.8%12.3%33.7%-12.7%4.9%361.8K-598.2K-20.3K0.137.52N/AN/A204315
2010-04-05$4560.00$5200.0032.3%9.8%31.7%10.6%36.5%-13.5%5.7%260.7K1.5M-16.2K1.3416.56N/AN/A114315
2010-04-06$4556.00$4800.0030.2%10.5%31.7%6.9%38.9%-7.1%3.2%237.3K1.2M-15.7K0.1719.28N/AN/A414414
2010-04-07$4640.00$4800.0042.0%11.6%32.6%27.6%39.4%-11.7%2.0%315.7K-180.0K-17.6K0.1713.79N/AN/A204414
2010-04-08$4596.00$4800.0033.8%10.2%32.4%13.2%42.3%-14.4%4.1%271.9K650.1K-16.2K0.1118.85N/AN/A104414
2010-04-09$4504.00$4800.0031.5%10.7%33.0%9.3%37.8%-8.8%3.0%222.7K1.5M-14.7K0.0617.28N/AN/A304614
2010-04-12$4488.00$4400.0038.1%10.9%33.0%20.8%40.5%-9.9%2.6%228.7K1.2M-14.9K0.9117.74N/AN/A114714
2010-04-13$4520.00$4400.0023.4%10.6%32.3%0.0%37.9%-8.3%3.7%222.6K932.7K-14.7K0.2017.36N/AN/A204714
2010-04-14$4424.00$4400.0036.9%10.6%32.5%23.1%38.8%-8.6%3.3%122.3K2.0M-13.2K0.2015.88N/AN/A214714
2010-04-16$4545.60$0.0040.1%11.5%33.8%28.4%40.3%-4.3%3.6%0003.4514.46N/AN/A1400
2010-04-19$4543.20$4800.0037.7%10.8%32.0%25.9%38.6%-5.4%4.1%-36.0K588.8K-3.7K0.3418.18N/AN/A7214
2010-04-20$4353.60$4640.0034.3%9.8%33.3%20.0%32.6%-8.2%2.6%11.8K253.8K-9.0K5.4523.94N/AN/A41986
2010-04-21$4382.40$4560.0035.4%10.1%33.4%22.0%36.2%-4.3%5.6%-187.6K1.7M-17.3K0.3421.73N/AN/A311122
2010-04-22$4361.60$4560.0036.0%10.3%33.4%24.9%36.8%-5.6%2.4%-165.8K1.4M-18.2K1.2437.12N/AN/A561223
2010-04-23$4168.80$4480.0035.7%10.2%35.3%24.3%36.2%-8.3%4.5%-231.1K3.6M-21.9K0.4046.68N/AN/A311627
2010-04-26$4191.20$4400.0035.6%10.2%32.6%25.2%37.3%-6.8%2.9%-221.4K3.8M-22.7K0.2736.85N/AN/A101828
2010-04-27$4426.40$4400.0045.9%13.2%39.9%46.4%45.5%-6.9%2.2%-126.0K1.1M-24.6K0.3042.59N/AN/A831928
2010-04-28$4342.40$4400.0043.9%12.6%38.5%42.2%45.3%-7.3%1.6%-102.7K981.8K-28.2K0.5341.22N/AN/A322529
2010-04-29$4333.60$4400.0042.2%12.1%38.5%38.7%41.8%-5.2%4.5%-110.2K1.2M-29.1K0.3340.30N/AN/A412630
2010-04-30$4436.80$4400.0049.8%14.3%40.0%54.3%49.8%-5.7%-1.4%-65.2K-598.8K-31.3K1.1145.63N/AN/A332931