DUG Options History — December 2010

In December 2010, DUG traded between $2993.60 and $3375.20. ATM implied volatility averaged 37.1%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 4.5% (HV 20d: 32.6%). Max pain ranged from $3600.00 to $3920.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-12-01: Highest Volume — 16 contracts
  • 2010-12-13: Largest IV spike — 22.9% change
  • 2010-12-13: Highest IV Rank — 35.5%
  • 2010-12-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3162.65$2993.60$3375.20$3375.20$2993.60
Max Pain$3781.82$3600.00$3920.00$3680.00$3680.00
ATM IV37.1%31.2%43.8%42.9%37.1%
Expected Move10.6%8.9%12.3%12.3%10.6%
HV 20d32.6%13.4%44.1%43.4%13.4%
HV 60d32.6%30.2%33.7%33.5%30.2%
IV Rank23.9%13.5%35.5%33.9%23.8%
IV Percentile19.2%1.2%49.6%41.3%19.4%
Term Structure4.8%-1.8%14.2%1.6%4.2%
VWIV38.2%30.7%44.0%43.2%38.7%
Skew 25d-4.7%-8.2%-2.7%-7.7%-3.2%
Skew 10d-11.0%-32.0%9.0%-32.0%-11.1%
Call IV 25d40.5%34.2%47.8%47.8%39.1%
Put IV 25d35.8%30.0%40.2%40.2%35.9%
Bid-Ask Spread %73.0818.2584.5873.1418.25
Gamma HHI0.070.060.100.100.06
Net GEX40.7K-30.2K91.6K2.6K90.8K
Net DEX3.6M1.1M6.6M5.0M1.1M
Net VEX-42.5K-53.3K-27.9K-30.5K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.062.930.770.70
Total Volume6.818216165
Total OI149.409127175127153

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$3375.20$3680.0042.9%12.3%43.4%33.9%43.2%-7.7%1.6%2.6K5.0M-30.5K0.7773.14N/AN/A978641
2010-12-02$3279.20$3600.0040.3%11.6%44.1%29.4%41.0%-5.7%1.2%-25.9K5.5M-31.5K0.1273.29N/AN/A819243
2010-12-03$3252.00$3600.0039.3%11.3%39.7%27.7%37.9%-8.2%2.4%-30.2K6.6M-27.9K0.3964.24N/AN/A629543
2010-12-06$3226.40$3920.0038.4%11.5%39.7%26.0%43.3%-7.5%6.7%-29.0K6.0M-31.9K0.0855.60N/AN/A13110043
2010-12-07$3241.60$3920.0043.5%11.4%39.9%35.0%44.0%-5.5%5.9%2.5K4.6M-42.2K0.0662.88N/AN/A10110843
2010-12-08$3258.40$3840.0039.3%11.8%40.0%27.7%40.8%-7.4%5.2%51.4K3.3M-45.9K0.7576.18N/AN/A3211643
2010-12-09$3241.60$3840.0038.2%11.5%39.0%25.8%41.4%-5.5%-1.8%29.9K4.0M-43.5K0.9675.93N/AN/A1111644
2010-12-10$3220.00$3840.0035.6%11.3%38.6%21.3%41.6%-4.3%4.0%17.2K3.9M-46.1K0.0961.25N/AN/A6111645
2010-12-13$3168.80$3840.0043.8%11.4%36.9%35.5%42.3%-4.5%1.4%-5.5K4.9M-45.1K0.2771.64N/AN/A6212045
2010-12-14$3189.60$3840.0042.1%11.1%36.7%32.6%41.0%-3.9%6.1%36.5K3.6M-49.7K0.2577.96N/AN/A8212545
2010-12-15$3226.40$3840.0038.1%10.9%34.1%25.7%39.9%-3.7%4.5%61.8K3.1M-49.5K0.5282.17N/AN/A4212646
2010-12-16$3189.60$3840.0036.1%10.4%34.1%22.2%37.7%-3.4%14.2%91.6K3.7M-47.2K0.1582.26N/AN/A3012747
2010-12-17$3190.40$3840.0035.9%10.3%31.7%21.8%36.2%-4.1%8.6%71.9K3.9M-47.1K2.9383.05N/AN/A1412847
2010-12-20$3149.60$3840.0031.2%8.9%31.7%13.5%33.7%-3.1%7.4%90.2K1.5M-46.3K0.7077.43N/AN/A329434
2010-12-21$3097.60$3760.0032.8%9.4%31.6%16.4%33.4%-4.0%10.0%59.3K3.0M-38.9K0.3377.84N/AN/A629636
2010-12-22$3073.60$3760.0031.8%9.1%27.4%14.6%32.8%-3.8%6.6%65.9K3.1M-39.6K1.1784.01N/AN/A119936
2010-12-23$3057.60$3760.0031.6%9.1%25.8%14.4%30.7%-4.3%1.7%61.2K3.1M-40.1K0.3276.57N/AN/A3110037
2010-12-27$3084.00$3760.0034.5%9.9%24.6%19.4%34.1%-4.2%3.0%72.3K1.9M-46.2K0.5584.58N/AN/A1110337
2010-12-28$3056.00$3760.0033.6%9.6%24.6%17.7%35.5%-3.9%4.0%58.4K2.5M-42.4K0.2882.33N/AN/A4110337
2010-12-29$3007.20$3760.0035.0%10.0%24.1%20.3%35.5%-2.8%4.5%55.1K2.6M-43.4K0.2582.68N/AN/A7210637
2010-12-30$3000.00$3680.0035.5%10.2%15.9%21.0%36.2%-2.7%3.8%67.2K2.2M-46.2K0.1084.48N/AN/A5111138
2010-12-31$2993.60$3680.0037.1%10.6%13.4%23.8%38.7%-3.2%4.2%90.8K1.1M-53.3K0.7018.25N/AN/A3211538