DUG Options History — March 2011

In March 2011, DUG traded between $2109.60 and $2512.80. ATM implied volatility averaged 44.2%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 0.1% (HV 20d: 44.3%). Max pain ranged from $2240.00 to $2800.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-03-10: Highest Volume — 47 contracts
  • 2011-03-10: Largest IV spike — 13.2% change
  • 2011-03-16: Highest IV Rank — 55.6%
  • 2011-03-16: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2283.03$2109.60$2512.80$2287.20$2116.00
Max Pain$2539.13$2240.00$2800.00$2320.00$2320.00
ATM IV44.2%37.7%55.4%45.0%39.1%
Expected Move12.8%10.8%15.9%12.9%11.2%
HV 20d44.3%34.6%52.8%36.3%47.2%
HV 60d34.8%28.9%39.0%28.9%38.8%
IV Rank36.2%24.8%55.6%37.5%27.3%
IV Percentile54.0%21.8%85.3%63.1%31.3%
Term Structure1.6%-5.1%4.6%1.1%1.9%
VWIV45.3%35.7%59.3%45.6%41.6%
Skew 25d-7.0%-18.4%-1.8%-1.9%-8.9%
Skew 10d-14.7%-31.6%17.6%17.6%-29.6%
Call IV 25d49.6%44.1%61.5%47.6%45.0%
Put IV 25d42.6%27.4%54.8%45.7%36.1%
Bid-Ask Spread %86.9769.5397.3197.3190.30
Gamma HHI0.120.060.360.130.10
Net GEX208.0K29.4K473.4K163.0K58.7K
Net DEX-145.4K-6.1M3.4M1.1M3.1M
Net VEX-38.9K-50.2K-31.6K-33.9K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.081.460.250.25
Total Volume13.82654796
Total OI270.217243307243287

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$2287.20$2320.0045.0%12.9%36.3%37.5%45.6%-1.9%1.1%163.0K1.1M-33.9K0.2597.31N/AN/A7219449
2011-03-02$2267.20$2240.0044.4%12.7%34.6%36.5%45.5%-5.9%0.4%185.3K327.6K-37.9K0.0890.24N/AN/A8119949
2011-03-03$2205.60$2240.0042.4%12.2%35.6%33.1%42.8%-4.8%2.6%136.8K1.6M-35.2K1.4696.94N/AN/A3420050
2011-03-04$2230.40$2800.0043.0%13.0%36.0%34.2%45.8%-5.5%2.4%177.8K1.0M-36.8K0.1182.68N/AN/A6120148
2011-03-07$2259.20$2800.0046.5%13.9%36.4%40.1%48.4%-4.7%3.7%204.0K552.1K-37.1K0.6479.33N/AN/A10720448
2011-03-08$2289.60$2800.0043.6%13.6%36.8%35.2%46.7%-7.8%2.2%211.4K211.0K-36.3K0.4579.10N/AN/A13620953
2011-03-09$2318.40$2720.0043.7%13.4%37.0%35.3%47.0%-3.0%2.5%304.9K-1.9M-50.2K0.5082.24N/AN/A6321755
2011-03-10$2484.80$2640.0049.5%14.2%44.3%45.4%49.5%-1.8%-0.0%371.3K-5.9M-48.1K0.4283.01N/AN/A331422057
2011-03-11$2403.20$2720.0047.9%13.7%45.3%42.5%47.5%-7.1%1.1%380.3K-3.6M-45.6K0.3085.06N/AN/A14421860
2011-03-14$2383.20$2720.0046.9%13.4%45.3%40.9%46.3%-5.2%3.2%329.9K-2.5M-43.6K0.2885.22N/AN/A12421763
2011-03-15$2419.20$2720.0050.5%14.5%42.8%47.2%50.3%-6.8%-5.1%384.8K-3.7M-43.4K0.5790.53N/AN/A9521862
2011-03-16$2512.80$2720.0055.4%15.9%44.3%55.6%59.3%-6.7%-4.7%385.8K-6.1M-44.5K0.0874.31N/AN/A29221865
2011-03-17$2360.80$2640.0048.8%14.0%49.0%44.1%47.6%-6.4%-1.4%343.0K-929.1K-41.5K1.0984.23N/AN/A91023266
2011-03-18$2372.80$2640.0047.1%13.5%48.4%41.2%47.9%-4.8%1.3%473.4K-1.2M-39.0K0.3369.53N/AN/A8323473
2011-03-21$2236.80$2560.0042.4%12.1%52.8%33.0%44.4%-12.3%4.6%67.4K1.5M-35.7K0.1790.66N/AN/A18319747
2011-03-22$2247.20$2480.0041.4%11.9%52.5%31.3%43.0%-8.7%2.2%99.1K980.2K-39.9K0.3988.85N/AN/A8321050
2011-03-23$2245.60$2480.0041.4%11.9%50.7%31.3%41.9%-8.5%3.1%103.5K972.8K-39.8K0.4892.07N/AN/A4221453
2011-03-24$2232.00$2400.0041.5%11.9%49.7%31.4%43.3%-8.1%2.3%84.7K1.6M-37.3K0.1988.91N/AN/A7221453
2011-03-25$2190.40$2400.0038.1%10.9%49.2%25.5%41.2%-8.9%4.0%100.3K1.9M-35.4K0.6188.83N/AN/A3222053
2011-03-28$2193.60$2400.0039.4%11.3%49.0%27.8%40.7%-5.7%3.2%96.0K1.9M-35.4K0.4691.91N/AN/A4222253
2011-03-29$2144.00$2320.0040.8%11.7%47.8%30.2%35.7%-18.4%2.6%92.7K2.2M-34.9K1.3294.83N/AN/A6722553
2011-03-30$2109.60$2320.0037.7%10.8%48.0%24.8%40.5%-9.0%3.5%29.4K3.4M-32.3K0.3294.28N/AN/A6222758
2011-03-31$2116.00$2320.0039.1%11.2%47.2%27.3%41.6%-8.9%1.9%58.7K3.1M-31.6K0.2590.30N/AN/A5123057