DUG Options History — January 2011

In January 2011, DUG traded between $2575.20 and $3012.80. ATM implied volatility averaged 35.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 14.3% (HV 20d: 21.0%). Max pain ranged from $2800.00 to $3600.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2011-01-18: Highest Volume — 17 contracts
  • 2011-01-13: Largest IV spike — 24.5% change
  • 2011-01-20: Highest IV Rank — 29.8%
  • 2011-01-20: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2830.56$2575.20$3012.80$2951.20$2575.20
Max Pain$3056.00$2800.00$3600.00$3600.00$2800.00
ATM IV35.3%28.7%40.5%35.9%38.4%
Expected Move10.4%9.5%11.6%10.3%11.0%
HV 20d21.0%13.8%33.0%13.8%33.0%
HV 60d30.1%28.8%32.3%30.1%32.3%
IV Rank20.7%9.2%29.8%21.8%26.1%
IV Percentile14.9%0.4%36.5%13.5%29.0%
Term Structure4.7%0.3%14.7%4.4%0.3%
VWIV38.2%33.7%44.9%37.5%40.5%
Skew 25d-7.1%-16.0%-3.7%-3.7%-5.2%
Skew 10d-14.0%-23.2%10.0%-9.5%-23.2%
Call IV 25d41.4%37.6%48.0%39.3%43.0%
Put IV 25d34.3%21.6%39.4%35.6%37.8%
Bid-Ask Spread %76.2956.1485.5379.6177.61
Gamma HHI0.060.050.070.070.05
Net GEX161.7K76.1K245.1K76.1K179.3K
Net DEX1.3M-3.2M4.7M2.5M306.6K
Net VEX-49.7K-58.0K-41.5K-46.3K-42.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.031.050.050.28
Total Volume8.52171017
Total OI175.5151222154164

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$2951.20$3600.0035.9%10.3%13.8%21.8%37.5%-3.7%4.4%76.1K2.5M-46.3K0.0579.61N/AN/A9111638
2011-01-04$2990.40$3600.0036.4%10.4%15.1%22.6%40.8%-4.6%5.0%118.7K1.2M-51.8K0.2182.91N/AN/A4112438
2011-01-05$2970.40$3600.0033.9%9.7%14.8%18.3%33.7%-5.6%5.9%116.5K1.2M-51.8K0.1584.89N/AN/A4112438
2011-01-06$3012.80$3600.0034.5%9.9%15.9%19.4%35.0%-6.7%5.8%141.6K690.6K-55.2K0.0684.67N/AN/A7112638
2011-01-07$2974.40$3040.0032.3%11.0%16.2%15.6%44.9%-7.0%6.7%134.6K1.2M-53.0K0.0756.14N/AN/A5113238
2011-01-10$2990.40$3040.0033.4%11.0%16.5%17.4%37.4%-6.3%7.3%157.0K301.2K-58.0K0.1057.99N/AN/A2013638
2011-01-11$2904.00$3040.0029.0%10.0%18.4%9.8%38.2%-7.7%8.3%105.2K2.6M-48.0K0.3767.53N/AN/A5213739
2011-01-12$2828.00$3040.0028.7%9.9%19.5%9.2%37.1%-6.6%2.5%100.4K3.4M-47.2K0.0374.39N/AN/A9014140
2011-01-13$2838.40$3040.0035.7%10.2%18.8%21.4%35.7%-5.1%4.1%129.2K3.4M-47.1K1.0577.32N/AN/A2214840
2011-01-14$2770.40$2960.0034.8%10.0%19.8%19.8%36.7%-7.0%13.8%116.4K4.4M-41.5K0.3575.00N/AN/A7314940
2011-01-18$2721.60$2960.0035.8%10.3%19.9%21.6%36.9%-5.6%14.7%120.4K4.7M-42.8K0.1880.70N/AN/A14315342
2011-01-19$2782.40$2960.0038.1%10.9%22.5%25.6%39.4%-7.0%2.1%169.0K4.6M-44.7K0.4980.39N/AN/A8416544
2011-01-20$2823.20$2880.0040.5%11.6%23.3%29.8%41.4%-8.6%1.6%194.6K2.2M-56.1K0.1577.65N/AN/A13217047
2011-01-21$2797.60$2880.0038.1%10.9%23.3%25.6%38.8%-8.2%2.9%238.7K3.4M-54.1K0.1572.11N/AN/A9117448
2011-01-24$2783.20$2880.0036.6%10.5%23.3%23.0%38.0%-7.2%1.7%225.1K-2.9M-54.6K0.1173.41N/AN/A9112625
2011-01-25$2804.80$2800.0036.9%10.6%23.2%23.5%39.6%-8.8%2.0%245.1K-3.2M-54.8K0.1980.65N/AN/A3113026
2011-01-26$2677.60$2800.0033.0%9.5%27.5%16.8%36.8%-16.0%1.6%199.6K-748.2K-46.8K0.1485.53N/AN/A8113126
2011-01-27$2697.60$2800.0035.9%10.3%27.7%21.7%36.1%-7.9%2.3%228.0K-1.1M-47.6K0.3979.05N/AN/A3113326
2011-01-28$2717.60$2800.0038.3%11.0%28.1%25.9%39.9%-7.8%1.7%239.3K-1.6M-49.2K0.1378.22N/AN/A5113426
2011-01-31$2575.20$2800.0038.4%11.0%33.0%26.1%40.5%-5.2%0.3%179.3K306.6K-42.4K0.2877.61N/AN/A13413727