DUG Options History — April 2011

In April 2011, DUG traded between $2048.80 and $2313.60. ATM implied volatility averaged 38.1%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.8% (HV 20d: 38.9%). Max pain ranged from $2160.00 to $2240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2011-04-18: Highest Volume — 25 contracts
  • 2011-04-11: Largest IV spike — 43.8% change
  • 2011-04-11: Highest IV Rank — 43.0%
  • 2011-04-12: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2166.36$2048.80$2313.60$2104.00$2048.80
Max Pain$2184.00$2160.00$2240.00$2240.00$2160.00
ATM IV38.1%32.7%48.1%36.8%35.1%
Expected Move11.3%9.4%13.2%10.5%10.1%
HV 20d38.9%31.7%47.0%47.0%37.1%
HV 60d40.0%38.3%41.9%38.8%39.7%
IV Rank20.9%7.6%43.0%23.3%12.4%
IV Percentile24.4%2.4%69.0%19.0%8.7%
Term Structure3.2%-0.9%8.1%4.7%4.7%
VWIV40.1%34.6%46.1%38.2%34.6%
Skew 25d-7.5%-10.0%-4.9%-9.5%-9.1%
Skew 10d-17.1%-29.0%-6.1%-13.6%-23.3%
Call IV 25d44.4%39.7%50.1%44.2%40.8%
Put IV 25d36.9%30.5%44.1%34.7%31.8%
Bid-Ask Spread %82.9464.79102.65102.65101.97
Gamma HHI0.100.050.130.110.12
Net GEX179.4K54.2K355.4K63.1K181.7K
Net DEX-909.8K-6.0M3.1M2.9M-128.0K
Net VEX-33.7K-45.8K-28.0K-33.1K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.020.710.050.52
Total Volume9.55325414
Total OI265.55203311289239

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$2104.00$2240.0036.8%10.5%47.0%23.3%38.2%-9.5%4.7%63.1K2.9M-33.1K0.05102.65N/AN/A4023356
2011-04-04$2102.40$2240.0038.4%11.7%46.6%26.2%41.1%-6.5%2.1%73.0K2.9M-29.4K0.1764.79N/AN/A3123656
2011-04-05$2085.60$2240.0037.3%11.5%46.2%24.2%40.3%-7.3%1.6%54.2K3.1M-28.0K0.4771.27N/AN/A2123855
2011-04-06$2128.00$2240.0039.2%12.0%46.6%27.5%42.1%-5.9%2.4%86.9K2.5M-28.4K0.0280.85N/AN/A6023755
2011-04-07$2120.00$2160.0033.6%11.8%37.7%17.8%41.8%-6.4%1.8%115.1K1.9M-30.0K0.2881.39N/AN/A7224155
2011-04-08$2108.00$2160.0033.5%11.9%36.5%17.6%42.2%-8.3%0.6%120.3K2.1M-30.3K0.3279.44N/AN/A7224256
2011-04-11$2186.40$2160.0048.1%12.7%39.5%43.0%46.1%-6.4%-0.9%202.4K-411.6K-32.2K0.0571.81N/AN/A20124456
2011-04-12$2313.60$2160.0047.3%13.2%44.7%41.6%45.6%-6.0%-0.5%355.4K-6.0M-41.1K0.1067.75N/AN/A19225057
2011-04-13$2300.00$2160.0039.4%12.9%42.1%20.6%43.6%-6.5%2.8%324.9K-6.0M-45.8K0.5871.01N/AN/A5324956
2011-04-14$2272.00$2160.0040.6%11.7%36.3%22.9%41.5%-9.1%4.4%272.2K-4.1M-37.0K0.3589.21N/AN/A9325058
2011-04-15$2234.40$2160.0040.7%11.7%36.5%22.9%39.9%-7.4%0.7%228.1K-2.8M-37.3K0.4076.57N/AN/A5225160
2011-04-18$2301.60$2160.0044.2%12.7%31.7%29.7%45.0%-10.0%0.7%203.3K-4.6M-44.5K0.0275.86N/AN/A24117330
2011-04-19$2252.80$2160.0037.2%10.7%32.7%16.4%40.9%-4.9%5.1%229.0K-3.1M-38.7K0.1267.05N/AN/A8118430
2011-04-20$2156.00$2240.0032.7%9.4%36.3%7.6%35.8%-8.1%6.7%188.3K-1.8M-36.3K0.3485.88N/AN/A5219031
2011-04-21$2130.40$2240.0034.3%9.8%36.4%10.7%36.5%-9.6%4.2%169.6K-1.2M-33.0K0.3197.34N/AN/A3119231
2011-04-25$2152.00$2160.0037.0%10.6%36.1%15.8%37.6%-7.9%4.4%171.0K-980.2K-29.1K0.2188.81N/AN/A3119431
2011-04-26$2108.80$2160.0035.2%10.1%36.7%12.4%37.0%-5.9%8.1%163.4K-640.6K-28.6K0.7193.42N/AN/A5419532
2011-04-27$2108.80$2160.0035.4%10.2%35.9%12.9%36.6%-7.0%4.7%171.2K-524.6K-28.4K0.27100.81N/AN/A9219833
2011-04-28$2113.60$2160.0035.0%10.0%35.5%12.1%36.4%-8.1%4.9%214.6K-1.3M-32.4K0.1690.92N/AN/A3120334
2011-04-29$2048.80$2160.0035.1%10.1%37.1%12.4%34.6%-9.1%4.7%181.7K-128.0K-30.3K0.52101.97N/AN/A9520534