DUG Options History — May 2011

In May 2011, DUG traded between $2110.40 and $2458.40. ATM implied volatility averaged 44.0%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 0.1% (HV 20d: 44.0%). Max pain ranged from $2080.00 to $2320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2011-05-11: Highest Volume — 25 contracts
  • 2011-05-05: Largest IV spike — 20.2% change
  • 2011-05-05: Highest IV Rank — 48.2%
  • 2011-05-05: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2328.34$2110.40$2458.40$2110.40$2212.80
Max Pain$2278.10$2080.00$2320.00$2160.00$2320.00
ATM IV44.0%36.0%53.9%39.2%36.0%
Expected Move12.6%10.3%15.4%11.2%10.3%
HV 20d44.0%38.7%46.8%38.7%43.6%
HV 60d42.7%40.3%43.7%40.3%42.6%
IV Rank29.2%14.0%48.2%20.2%14.0%
IV Percentile52.4%14.7%83.7%31.7%14.7%
Term Structure2.6%0.0%6.7%3.0%3.7%
VWIV44.2%35.7%53.6%40.2%36.2%
Skew 25d-8.2%-12.9%-5.0%-7.4%-12.9%
Skew 10d-15.9%-31.0%-7.5%-17.9%-31.0%
Call IV 25d49.9%42.2%59.8%45.0%42.3%
Put IV 25d41.8%29.4%50.5%37.6%29.4%
Bid-Ask Spread %76.8361.17100.1992.55100.19
Gamma HHI0.130.070.270.120.10
Net GEX409.3K51.8K748.3K216.7K51.8K
Net DEX-7.9M-16.5M-61.9K-1.1M-61.9K
Net VEX-41.2K-49.0K-29.8K-31.1K-29.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.051.170.270.15
Total Volume13.857425126
Total OI265.714224298246224

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$2110.40$2160.0039.2%11.2%38.7%20.2%40.2%-7.4%3.0%216.7K-1.1M-31.1K0.2792.55N/AN/A9320838
2011-05-03$2210.40$2080.0043.6%12.5%42.0%28.5%43.2%-9.2%3.3%324.6K-4.3M-36.0K0.4693.69N/AN/A12621238
2011-05-04$2287.20$2160.0044.8%12.9%43.3%30.9%42.4%-7.7%2.7%355.7K-6.9M-42.3K0.3492.87N/AN/A18621342
2011-05-05$2381.60$2160.0053.9%15.4%44.8%48.2%50.4%-9.3%0.2%393.4K-10.4M-47.8K0.1091.61N/AN/A18221846
2011-05-06$2365.60$2320.0045.5%13.4%44.9%32.2%47.6%-8.2%0.9%446.0K-10.4M-48.5K0.2365.86N/AN/A10222248
2011-05-09$2288.00$2320.0043.5%12.3%46.8%28.3%44.1%-6.8%6.7%410.6K-7.3M-43.8K0.1661.17N/AN/A7122249
2011-05-10$2263.20$2320.0041.1%12.5%45.5%23.7%44.7%-7.7%3.4%391.4K-6.6M-42.7K0.6068.84N/AN/A8522449
2011-05-11$2393.60$2320.0048.6%13.8%45.4%38.0%47.5%-6.0%2.9%475.1K-11.3M-45.5K0.0569.12N/AN/A24122550
2011-05-12$2395.20$2320.0049.9%14.3%45.3%40.6%53.6%-5.4%0.5%523.8K-12.7M-47.8K0.1265.96N/AN/A22323150
2011-05-13$2412.80$2320.0050.0%14.3%45.0%40.8%47.1%-5.0%1.1%640.6K-14.1M-49.0K0.2265.72N/AN/A10224352
2011-05-16$2453.60$2320.0050.2%14.4%44.7%41.1%49.0%-5.5%0.0%727.1K-16.1M-47.0K0.3668.48N/AN/A11424552
2011-05-17$2458.40$2320.0049.6%14.2%43.7%40.1%49.1%-8.6%2.9%748.3K-16.5M-47.7K0.1663.80N/AN/A7124354
2011-05-18$2358.40$2320.0044.1%12.6%45.7%29.4%44.4%-7.1%3.5%654.5K-10.6M-42.2K0.3572.00N/AN/A8324454
2011-05-19$2350.40$2320.0043.2%12.4%42.4%27.7%42.3%-7.4%6.5%607.5K-8.7M-39.0K0.1280.19N/AN/A10123856
2011-05-20$2354.40$2240.0042.3%12.1%42.0%26.0%45.0%-9.5%0.1%610.1K-9.3M-38.0K0.2674.23N/AN/A11324256
2011-05-23$2425.60$2240.0044.6%12.8%42.9%30.4%44.8%-10.4%1.5%301.4K-7.3M-40.1K0.3367.69N/AN/A9319333
2011-05-24$2361.60$2320.0041.7%11.9%43.5%24.9%42.4%-7.9%2.4%258.1K-5.3M-39.0K1.1776.72N/AN/A5619635
2011-05-25$2290.40$2320.0038.7%11.1%45.3%19.1%37.5%-12.5%3.2%162.5K-2.3M-34.2K0.9779.01N/AN/A8819640
2011-05-26$2267.20$2320.0036.6%10.5%45.6%15.2%35.7%-8.0%3.0%151.5K-2.4M-37.8K1.0279.44N/AN/A2220148
2011-05-27$2254.40$2320.0036.1%10.4%43.9%14.2%41.3%-8.6%3.4%144.7K-1.8M-36.4K0.1584.31N/AN/A12220248
2011-05-31$2212.80$2320.0036.0%10.3%43.6%14.0%36.2%-12.9%3.7%51.8K-61.9K-29.8K0.15100.19N/AN/A5118044