DUG Options History — August 2010

In August 2010, DUG traded between $4648.80 and $5614.40. ATM implied volatility averaged 48.3%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 5.4% (HV 20d: 42.9%). Max pain ranged from $5120.00 to $5200.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-08-19: Highest Volume — 17 contracts
  • 2010-08-27: Largest IV drop — 13.7% change
  • 2010-08-25: Highest IV Rank — 57.3%
  • 2010-08-25: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5104.84$4648.80$5614.40$4748.80$5490.40
Max Pain$5167.27$5120.00$5200.00$5120.00$5200.00
ATM IV48.3%37.6%56.3%43.5%52.8%
Expected Move14.0%10.8%16.2%12.5%15.1%
HV 20d42.9%38.5%47.9%47.0%38.5%
HV 60d57.9%49.4%63.8%63.8%49.4%
IV Rank43.3%24.7%57.3%35.0%51.1%
IV Percentile48.3%15.5%80.6%27.4%67.1%
Term Structure2.3%-1.6%8.9%0.1%1.2%
VWIV51.7%39.5%60.5%44.3%53.9%
Skew 25d-14.6%-26.5%-7.4%-7.4%-9.0%
Skew 10d-28.2%-40.3%-13.8%-13.8%-23.3%
Call IV 25d59.1%44.3%74.0%45.8%58.4%
Put IV 25d44.5%32.0%49.4%38.3%49.4%
Bid-Ask Spread %44.7728.2484.4068.7247.45
Gamma HHI0.110.060.210.120.07
Net GEX90.4K-107.7K349.1K-45.3K349.1K
Net DEX-2.3M-12.2M7.0M5.5M-10.6M
Net VEX-68.7K-76.5K-61.3K-64.8K-76.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.064.190.360.17
Total Volume7.40911785
Total OI142.136101166136131

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$4748.80$5120.0043.5%12.5%47.0%35.0%44.3%-7.4%0.1%-45.3K5.5M-64.8K0.3668.72N/AN/A628155
2010-08-03$4728.80$5120.0037.6%10.8%47.0%24.7%39.5%-20.1%6.6%-107.7K7.0M-65.3K0.2184.40N/AN/A1338257
2010-08-04$4667.20$5120.0041.5%11.9%41.8%31.6%43.0%-7.9%-0.6%-48.7K6.5M-66.8K0.3949.08N/AN/A638858
2010-08-05$4648.80$5120.0039.1%11.2%41.2%27.3%39.9%-7.5%4.5%-63.3K6.8M-66.0K0.5052.99N/AN/A319060
2010-08-06$4752.00$5200.0041.6%13.2%42.5%31.6%48.8%-15.2%0.5%-15.0K4.2M-69.1K0.1328.24N/AN/A519159
2010-08-09$4706.40$5200.0040.4%13.2%42.4%29.6%46.9%-15.2%0.4%-15.7K6.3M-61.5K0.0630.87N/AN/A109459
2010-08-10$4776.80$5200.0045.1%12.8%42.6%37.7%45.4%-14.3%2.5%10.5K4.9M-61.3K1.4046.11N/AN/A229459
2010-08-11$5048.80$5120.0051.3%14.9%47.7%48.5%50.7%-16.5%-0.7%93.9K-1.1M-72.7K0.2538.54N/AN/A519561
2010-08-12$5108.00$5120.0052.7%15.1%47.9%50.9%59.2%-26.5%3.1%152.8K-4.0M-73.8K0.5240.02N/AN/A329661
2010-08-13$5144.00$5200.0053.2%15.2%43.7%51.8%60.5%-19.2%0.7%127.0K-3.4M-71.8K0.4541.27N/AN/A429661
2010-08-16$5140.00$5200.0053.7%15.4%43.5%52.7%53.1%-21.3%0.4%151.4K-5.7M-70.7K0.7241.17N/AN/A219962
2010-08-17$4971.20$5120.0048.4%13.9%42.6%43.4%50.8%-16.0%4.9%-280856.4K-64.1K0.7442.16N/AN/A2210063
2010-08-18$5068.00$5120.0049.3%14.1%41.8%45.1%59.9%-18.8%2.8%-3.4K-2.5M-66.7K0.2643.33N/AN/A6210064
2010-08-19$5231.20$5120.0051.9%14.9%40.8%49.6%53.4%-14.5%2.2%250.9K-7.3M-67.2K4.1943.27N/AN/A31410264
2010-08-20$5360.00$5200.0051.1%14.7%41.5%48.2%54.8%-16.0%6.0%94.5K-12.2M-67.2K0.4440.28N/AN/A8410363
2010-08-23$5339.20$5200.0051.0%14.6%40.7%47.9%53.4%-13.0%2.7%132.8K-5.8M-64.7K1.7642.06N/AN/A235744
2010-08-24$5484.80$5200.0052.2%15.0%41.6%50.1%57.9%-18.2%3.9%152.7K-7.3M-69.9K1.3648.61N/AN/A465846
2010-08-25$5515.20$5200.0056.3%16.2%41.6%57.3%57.2%-12.4%-0.3%170.8K-8.8M-72.9K0.4939.88N/AN/A536151
2010-08-26$5614.40$5200.0053.7%15.4%41.8%52.6%59.2%-10.8%-1.6%187.8K-9.5M-74.5K0.1033.34N/AN/A406453
2010-08-27$5309.60$5200.0046.3%13.3%47.0%39.8%53.1%-10.5%8.9%148.8K-6.2M-71.3K0.1747.40N/AN/A1126653
2010-08-30$5452.80$5200.0049.8%14.3%38.7%45.9%51.6%-11.3%2.3%264.4K-7.8M-71.7K0.0635.74N/AN/A817254
2010-08-31$5490.40$5200.0052.8%15.1%38.5%51.1%53.9%-9.0%1.2%349.1K-10.6M-76.5K0.1747.45N/AN/A417754