DUG Options History — September 2010

In September 2010, DUG traded between $4513.60 and $5083.20. ATM implied volatility averaged 44.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 0.2% (HV 20d: 43.9%). Max pain ranged from $4960.00 to $5280.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-09-30: Highest Volume — 15 contracts
  • 2010-09-20: Largest IV drop — 16.0% change
  • 2010-09-01: Highest IV Rank — 45.9%
  • 2010-09-01: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4798.17$4513.60$5083.20$5083.20$4513.60
Max Pain$5139.05$4960.00$5280.00$5200.00$4960.00
ATM IV44.0%37.7%49.8%49.8%45.3%
Expected Move12.7%10.8%14.3%14.3%13.0%
HV 20d43.9%27.8%50.2%48.4%27.8%
HV 60d45.4%40.6%51.4%51.4%40.6%
IV Rank35.9%24.9%45.9%45.9%38.1%
IV Percentile32.8%17.1%54.4%54.4%39.7%
Term Structure3.9%-4.9%9.3%-2.8%-4.9%
VWIV47.0%38.2%61.9%50.6%46.7%
Skew 25d-10.5%-15.0%-4.8%-9.7%-4.8%
Skew 10d-23.2%-34.0%-9.6%-24.0%-9.6%
Call IV 25d51.0%45.2%58.1%52.3%47.3%
Put IV 25d40.5%35.6%44.2%42.6%42.5%
Bid-Ask Spread %46.7023.4978.6265.1842.81
Gamma HHI0.080.050.110.060.11
Net GEX-25.8K-237.5K191.3K191.3K-237.5K
Net DEX3.2M-3.7M8.4M-3.7M8.4M
Net VEX-53.1K-71.1K-42.6K-71.1K-44.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.043.610.440.20
Total Volume6.667115615
Total OI135.81114160133135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$5083.20$5200.0049.8%14.3%48.4%45.9%50.6%-9.7%-2.8%191.3K-3.7M-71.1K0.4465.18N/AN/A427954
2010-09-02$4995.20$5200.0046.5%13.3%49.0%40.1%48.1%-8.6%1.6%137.7K-991.0K-68.2K0.4142.72N/AN/A528055
2010-09-03$4897.60$5280.0044.8%12.8%49.1%37.3%53.8%-13.2%8.6%87.8K1.8M-63.5K0.2147.60N/AN/A418256
2010-09-07$5043.20$5280.0045.8%13.3%49.9%39.0%51.0%-15.0%6.7%140.0K-725.8K-64.7K0.1523.49N/AN/A718256
2010-09-08$4957.60$5280.0045.1%13.5%50.2%37.8%49.3%-13.8%4.8%106.4K1.3M-61.6K0.1426.79N/AN/A108556
2010-09-09$4936.00$5280.0046.1%13.2%46.1%39.4%48.3%-12.7%6.4%36.4K2.8M-58.5K0.5729.34N/AN/A118656
2010-09-10$4823.20$5280.0043.4%12.4%46.4%34.8%42.7%-11.8%7.6%-15.3K4.4M-56.1K2.0731.27N/AN/A498657
2010-09-13$4764.80$5200.0044.6%12.8%46.4%36.8%44.0%-10.0%6.3%-152.5K6.7M-53.8K0.7432.87N/AN/A218665
2010-09-14$4787.20$5200.0044.1%12.6%46.5%36.0%45.0%-10.6%6.1%-148.7K6.7M-53.2K0.3246.21N/AN/A528765
2010-09-15$4794.40$5120.0043.3%12.4%45.2%34.5%45.6%-9.4%9.3%-108.7K4.7M-54.1K0.2735.64N/AN/A729065
2010-09-16$4837.60$5120.0043.9%12.6%44.7%35.7%61.9%-13.7%6.6%-82.8K3.8M-55.1K0.1945.45N/AN/A319366
2010-09-17$4873.60$5120.0044.9%12.9%43.0%37.3%45.9%-10.4%6.4%-106.7K4.1M-52.0K1.1346.34N/AN/A339466
2010-09-20$4708.80$5120.0037.7%10.8%43.0%24.9%39.4%-5.8%8.7%-51.3K3.8M-46.0K1.1053.70N/AN/A446054
2010-09-21$4719.20$5040.0041.6%11.9%43.1%31.7%45.9%-8.9%3.2%-34.3K3.3M-45.0K0.1755.26N/AN/A716253
2010-09-22$4770.40$5040.0045.8%13.1%41.8%38.9%47.2%-8.3%1.6%38.0K2.2M-43.8K0.2053.12N/AN/A716553
2010-09-23$4839.20$5040.0043.4%12.4%42.3%34.8%49.4%-13.4%4.2%50.2K379.7K-48.5K0.0452.84N/AN/A306554
2010-09-24$4637.60$5040.0039.3%11.3%43.1%27.7%38.2%-11.4%2.1%-11.9K3.8M-42.6K1.6178.62N/AN/A346754
2010-09-27$4660.00$5040.0043.4%12.4%39.7%34.7%42.5%-9.2%0.5%-76.2K3.9M-44.2K0.9746.38N/AN/A226857
2010-09-28$4601.60$5040.0042.0%12.1%37.8%32.4%43.4%-9.6%0.8%-67.2K4.0M-42.9K3.6172.53N/AN/A276857
2010-09-29$4517.60$5040.0043.9%12.6%37.5%35.7%47.3%-10.7%-2.7%-235.4K7.6M-45.2K0.3252.53N/AN/A526964
2010-09-30$4513.60$4960.0045.3%13.0%27.8%38.1%46.7%-4.8%-4.9%-237.5K8.4M-44.9K0.2042.81N/AN/A1237065