DUG Options History — October 2010

In October 2010, DUG traded between $3970.40 and $4500.00. ATM implied volatility averaged 40.5%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 9.8% (HV 20d: 30.6%). Max pain ranged from $4320.00 to $4800.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2010-10-15: Highest Volume — 12 contracts
  • 2010-10-14: Largest IV spike — 20.9% change
  • 2010-10-04: Highest IV Rank — 38.2%
  • 2010-10-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4134.93$3970.40$4500.00$4410.40$4044.80
Max Pain$4502.86$4320.00$4800.00$4800.00$4320.00
ATM IV40.5%35.8%45.4%43.5%43.3%
Expected Move11.7%10.8%12.5%12.5%12.4%
HV 20d30.6%27.7%34.4%28.2%30.7%
HV 60d39.5%37.1%41.7%40.5%37.1%
IV Rank29.7%21.6%38.2%34.9%34.7%
IV Percentile25.9%8.7%41.3%32.1%37.3%
Term Structure2.9%-1.7%7.0%-1.7%2.8%
VWIV43.7%39.2%51.2%44.5%44.5%
Skew 25d-7.5%-11.5%-3.0%-10.0%-6.9%
Skew 10d-16.0%-28.8%-5.5%-15.0%-12.3%
Call IV 25d46.7%41.6%50.6%49.3%48.6%
Put IV 25d39.2%36.1%41.8%39.3%41.8%
Bid-Ask Spread %49.3230.4067.6646.6967.66
Gamma HHI0.120.050.290.120.05
Net GEX-157.5K-542.3K78.2K-216.1K78.2K
Net DEX8.1M713.5K18.1M9.6M924.6K
Net VEX-39.2K-45.9K-31.3K-45.1K-45.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.213.300.631.38
Total Volume6.61911283
Total OI123.09570172143100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$4410.40$4800.0043.5%12.5%28.2%34.9%44.5%-10.0%-1.7%-216.1K9.6M-45.1K0.6346.69N/AN/A537766
2010-10-04$4500.00$4640.0045.4%12.3%29.2%38.2%46.9%-9.4%1.6%-136.7K7.3M-45.9K0.3432.88N/AN/A728066
2010-10-05$4300.00$4640.0038.0%10.8%29.9%25.5%43.7%-5.0%7.0%-293.1K11.0M-43.2K0.4241.97N/AN/A428166
2010-10-06$4240.80$4640.0041.3%11.4%29.8%31.2%43.6%-11.5%2.4%-304.9K13.0M-39.8K0.3638.15N/AN/A418367
2010-10-07$4268.80$4640.0044.2%12.2%30.2%36.3%51.2%-9.8%1.3%-271.2K12.2M-42.1K0.4230.40N/AN/A528567
2010-10-08$4173.60$4640.0036.4%11.8%30.2%22.7%42.9%-10.8%4.4%-338.2K14.6M-39.4K3.3037.29N/AN/A278969
2010-10-11$4150.40$4640.0038.5%12.2%30.1%26.3%45.9%-8.7%0.9%-486.4K15.9M-36.6K0.4533.95N/AN/A529071
2010-10-12$4152.80$4640.0039.6%12.1%29.9%28.3%43.6%-11.1%3.0%-542.3K15.4M-37.9K0.6938.77N/AN/A329371
2010-10-13$4064.80$4560.0035.8%11.8%30.2%21.6%46.5%-8.3%2.8%-457.7K18.1M-32.9K0.5442.41N/AN/A639472
2010-10-14$4064.80$4480.0043.3%12.4%29.6%34.6%44.7%-8.2%2.3%-481.2K17.5M-34.6K0.3644.80N/AN/A529773
2010-10-15$4041.60$4400.0039.8%11.4%29.1%28.5%42.0%-7.9%5.6%-93.1K17.8M-33.3K1.0443.83N/AN/A6610072
2010-10-18$3970.40$4400.0038.6%11.1%27.7%26.5%40.0%-7.4%2.9%2763.1M-31.3K0.4449.15N/AN/A524327
2010-10-19$4170.40$4400.0039.9%11.4%34.3%28.7%41.5%-6.0%4.0%46.4K713.5K-39.0K0.7053.53N/AN/A644628
2010-10-20$4065.60$4400.0039.2%11.2%34.4%27.5%40.8%-7.0%3.7%27.4K1.9M-37.4K0.5058.87N/AN/A324930
2010-10-21$4085.60$4400.0040.9%11.7%33.7%30.4%42.1%-5.5%3.3%29.0K1.8M-39.0K0.3757.81N/AN/A625131
2010-10-22$4025.60$4400.0038.2%10.9%31.4%25.7%39.2%-3.0%4.5%21.6K2.3M-39.2K0.6953.01N/AN/A215433
2010-10-25$4022.40$4400.0039.3%11.3%31.1%27.6%41.7%-4.0%3.1%9.6K2.7M-37.2K0.2465.02N/AN/A315534
2010-10-26$4001.60$4400.0041.6%11.9%31.1%31.7%42.9%-4.2%0.8%11.4K2.2M-39.9K0.2166.47N/AN/A105634
2010-10-27$4034.40$4400.0040.7%11.7%31.2%30.1%44.5%-6.9%3.5%33.7K1.2M-42.0K0.2766.63N/AN/A415734
2010-10-28$4044.80$4320.0042.5%12.2%31.3%33.3%45.6%-6.3%2.8%56.5K1.1M-42.6K0.3366.51N/AN/A726034
2010-10-29$4044.80$4320.0043.3%12.4%30.7%34.7%44.5%-6.9%2.8%78.2K924.6K-45.1K1.3867.66N/AN/A126436