DUG Options History — November 2010

In November 2010, DUG traded between $3443.20 and $4021.60. ATM implied volatility averaged 41.7%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 8.0% (HV 20d: 33.7%). Max pain ranged from $3600.00 to $4320.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2010-11-16: Highest Volume — 16 contracts
  • 2010-11-09: Largest IV spike — 16.1% change
  • 2010-11-16: Highest IV Rank — 42.8%
  • 2010-11-16: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3629.75$3443.20$4021.60$4021.60$3574.40
Max Pain$3794.29$3600.00$4320.00$4320.00$3680.00
ATM IV41.7%33.6%48.0%43.2%48.0%
Expected Move12.1%10.5%13.8%12.4%13.8%
HV 20d33.7%26.0%39.8%29.3%39.8%
HV 60d35.6%32.6%37.0%36.8%32.6%
IV Rank31.9%17.8%42.8%34.4%42.7%
IV Percentile35.2%4.4%63.9%36.5%63.9%
Term Structure1.2%-1.9%5.3%2.9%-1.0%
VWIV44.2%37.4%52.0%46.6%46.4%
Skew 25d-7.9%-12.8%-4.7%-5.0%-7.2%
Skew 10d-20.7%-30.2%-9.4%-10.1%-30.2%
Call IV 25d47.8%40.0%58.8%47.3%50.5%
Put IV 25d39.9%34.1%46.0%42.3%43.3%
Bid-Ask Spread %55.6643.5471.3070.1357.74
Gamma HHI0.090.050.120.050.12
Net GEX39.5K-112.2K195.3K51.3K102.1K
Net DEX5.0M687.9K9.4M1.6M2.1M
Net VEX-33.9K-42.8K-23.2K-42.6K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.120.750.240.61
Total Volume8.47621654
Total OI128.143102169102125

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$4021.60$4320.0043.2%12.4%29.3%34.4%46.6%-5.0%2.9%51.3K1.6M-42.6K0.2470.13N/AN/A416537
2010-11-02$3925.60$4320.0042.8%12.3%26.2%33.8%47.5%-4.7%2.1%17.5K2.9M-41.4K0.2670.72N/AN/A416637
2010-11-03$3900.00$4320.0042.7%12.2%26.0%33.5%44.6%-5.0%1.3%22.1K2.7M-39.2K0.1271.30N/AN/A616838
2010-11-04$3672.80$4240.0036.7%10.5%32.3%23.2%37.8%-5.9%2.6%-112.2K7.0M-30.4K0.3763.78N/AN/A937139
2010-11-05$3647.20$3840.0035.5%11.0%31.8%21.1%37.4%-7.7%1.6%-43.8K7.0M-30.0K0.4148.62N/AN/A737840
2010-11-08$3611.20$3760.0033.6%10.8%31.9%17.8%40.6%-8.9%2.3%-55.4K8.0M-27.2K0.1547.31N/AN/A318241
2010-11-09$3613.60$3760.0039.0%11.6%31.9%27.2%41.8%-5.8%2.7%-6.6K7.5M-26.7K0.1566.72N/AN/A1128341
2010-11-10$3512.80$3680.0037.0%12.0%32.4%23.6%46.4%-12.8%-1.9%9.2K8.2M-27.0K0.4355.85N/AN/A639042
2010-11-11$3443.20$3680.0039.8%11.4%32.6%28.5%40.0%-8.2%3.0%-11.5K9.4M-23.2K0.2048.90N/AN/A419443
2010-11-12$3543.20$3600.0044.0%12.6%35.1%35.8%45.5%-11.5%1.2%48.1K7.1M-29.9K0.3849.28N/AN/A949743
2010-11-15$3579.20$3600.0045.9%13.2%35.3%39.1%49.1%-9.0%0.4%83.8K6.6M-32.3K0.3846.61N/AN/A11410145
2010-11-16$3707.20$3600.0048.0%13.8%32.7%42.8%51.1%-12.7%1.2%187.2K2.2M-42.8K0.1544.71N/AN/A14210946
2010-11-17$3679.20$3600.0047.3%13.5%31.9%41.5%52.0%-10.9%-1.1%195.3K3.6M-40.9K0.2848.90N/AN/A5111248
2010-11-18$3530.40$3600.0042.4%12.1%34.1%33.0%41.8%-8.5%2.2%87.9K7.5M-32.8K0.6852.19N/AN/A7511448
2010-11-19$3482.40$3680.0040.0%11.5%34.1%28.9%41.7%-5.7%5.3%-90.3K9.2M-30.0K0.7052.94N/AN/A5411851
2010-11-22$3506.40$3680.0040.0%11.5%34.4%28.8%43.9%-8.2%1.8%22.5K3.3M-30.9K0.2843.54N/AN/A727134
2010-11-23$3634.40$3680.0042.5%12.2%37.6%33.3%43.8%-9.8%0.9%96.8K687.9K-39.3K0.7548.25N/AN/A547634
2010-11-24$3513.60$3680.0039.4%11.3%38.6%27.9%40.7%-5.2%1.1%26.3K3.9M-31.2K0.2961.33N/AN/A727938
2010-11-26$3580.00$3680.0043.3%12.4%39.6%34.6%44.2%-6.5%-1.4%113.7K1.2M-41.1K0.7057.24N/AN/A118439
2010-11-29$3546.40$3680.0044.9%12.9%39.5%37.4%44.6%-7.2%-1.3%86.4K2.8M-35.1K0.3562.76N/AN/A318440
2010-11-30$3574.40$3680.0048.0%13.8%39.8%42.7%46.4%-7.2%-1.0%102.1K2.1M-37.0K0.6157.74N/AN/A228540