DUG Options History — June 2010

In June 2010, DUG traded between $4830.40 and $6028.00. ATM implied volatility averaged 62.7%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 16.0% (HV 20d: 78.7%). Max pain ranged from $4960.00 to $5360.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2010-06-21: Highest Volume — 22 contracts
  • 2010-06-10: Largest IV drop — 20.5% change
  • 2010-06-07: Highest IV Rank — 100.0%
  • 2010-06-01: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5389.31$4830.40$6028.00$6000.80$6028.00
Max Pain$5196.36$4960.00$5360.00$5040.00$5200.00
ATM IV62.7%46.2%81.0%73.1%69.7%
Expected Move17.6%13.3%20.9%20.9%20.0%
HV 20d78.7%63.0%85.5%73.6%63.0%
HV 60d60.2%52.7%63.5%52.7%63.0%
IV Rank68.3%39.7%100.0%86.4%80.4%
IV Percentile81.5%33.3%100.0%98.8%95.2%
Term Structure0.5%-7.2%8.0%-7.2%-3.0%
VWIV64.0%47.7%77.3%76.3%77.3%
Skew 25d-17.2%-27.6%-5.9%-5.9%-16.2%
Skew 10d-33.9%-54.8%-18.7%-18.8%-26.4%
Call IV 25d73.1%56.3%90.7%78.3%79.8%
Put IV 25d55.9%42.0%72.4%72.4%63.5%
Bid-Ask Spread %46.2131.1566.2766.2761.57
Gamma HHI0.060.040.150.050.06
Net GEX130.3K-109.3K370.3K207.3K370.3K
Net DEX-9.3M-24.9M9.3M-24.9M-22.7M
Net VEX-66.5K-77.7K-50.6K-59.6K-77.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.101.670.440.84
Total Volume10.045322139
Total OI142.582184131138

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$6000.80$5040.0073.1%20.9%73.6%86.4%76.3%-5.9%-7.2%207.3K-24.9M-59.6K0.4466.27N/AN/A947358
2010-06-02$5507.20$5040.0067.4%19.3%80.8%76.5%71.4%-14.1%-3.6%200.8K-16.1M-70.1K0.8859.20N/AN/A657860
2010-06-03$5352.80$5040.0062.6%17.9%81.5%68.1%69.7%-16.2%-2.3%167.8K-12.5M-71.8K0.3155.24N/AN/A528163
2010-06-04$5705.60$4960.0074.6%19.5%80.8%89.0%74.9%-27.5%-0.7%239.6K-20.2M-74.5K0.1040.24N/AN/A618263
2010-06-07$5816.80$5040.0081.0%20.6%80.4%100.0%69.2%-25.9%-7.2%285.4K-22.8M-68.3K0.6041.07N/AN/A218562
2010-06-08$5636.00$5120.0073.9%19.3%75.2%87.7%70.6%-27.6%0.8%248.6K-19.4M-68.1K0.5840.46N/AN/A958563
2010-06-09$5759.20$5200.0078.9%20.9%75.4%96.4%72.8%-26.6%-4.0%278.4K-20.3M-71.3K0.6139.88N/AN/A1068768
2010-06-10$5203.20$5360.0062.8%18.0%84.2%68.4%64.7%-27.2%2.6%121.6K-6.8M-68.4K0.3739.95N/AN/A739271
2010-06-11$5136.80$5280.0059.1%16.9%84.3%62.1%55.2%-20.1%4.3%118.0K-5.1M-66.8K1.0842.97N/AN/A569572
2010-06-14$5185.60$5360.0060.7%17.4%83.4%64.8%61.9%-22.2%1.8%123.1K-4.6M-64.0K1.6740.05N/AN/A479875
2010-06-15$4910.40$5360.0056.7%16.2%85.5%57.8%60.9%-18.3%5.1%-109.3K7.4M-56.2K0.7845.76N/AN/A439980
2010-06-16$4906.40$5280.0055.1%15.8%85.2%55.2%56.2%-17.6%4.3%-41.4K6.2M-57.5K1.0845.32N/AN/A3310080
2010-06-17$4899.20$5280.0051.8%14.8%84.8%49.3%56.2%-10.5%6.5%-101.0K7.1M-50.6K0.6250.48N/AN/A4210181
2010-06-18$4830.40$5360.0046.2%13.3%78.1%39.7%47.7%-14.3%8.0%-47.2K9.3M-52.8K0.7850.29N/AN/A3310282
2010-06-21$4861.60$5200.0049.1%14.1%77.6%44.7%48.8%-12.2%3.6%-1.6K863.8K-51.6K1.0648.40N/AN/A11114438
2010-06-22$5140.80$5200.0053.3%15.3%78.6%52.1%55.3%-14.7%3.2%58.0K-3.9M-67.4K0.8931.15N/AN/A875446
2010-06-23$5244.00$5200.0056.3%16.2%79.1%57.2%58.7%-13.7%1.5%65.4K-5.4M-71.6K0.2543.56N/AN/A515950
2010-06-24$5466.40$5200.0059.6%17.1%80.8%63.0%64.2%-11.2%0.8%112.6K-9.2M-72.5K0.2633.47N/AN/A726151
2010-06-25$5443.20$5200.0059.3%17.0%74.2%62.4%66.0%-10.8%0.5%140.6K-9.7M-76.5K0.3234.92N/AN/A526552
2010-06-28$5591.20$5200.0060.0%17.2%73.4%63.6%60.0%-10.0%-0.6%184.1K-12.1M-73.6K0.6256.08N/AN/A226852
2010-06-29$5939.20$5200.0067.7%19.4%70.5%77.0%70.0%-14.8%-2.7%245.2K-19.2M-73.0K0.2250.30N/AN/A1746952
2010-06-30$6028.00$5200.0069.7%20.0%63.0%80.4%77.3%-16.2%-3.0%370.3K-22.7M-77.7K0.8461.57N/AN/A548355