DUG Options History — June 2011

In June 2011, DUG traded between $2257.60 and $2550.40. ATM implied volatility averaged 44.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 2.5% (HV 20d: 41.6%). Max pain ranged from $2240.00 to $2400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2011-06-13: Highest Volume — 25 contracts
  • 2011-06-06: Largest IV spike — 15.8% change
  • 2011-06-16: Highest IV Rank — 48.1%
  • 2011-06-16: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2416.69$2257.60$2550.40$2313.60$2257.60
Max Pain$2345.45$2240.00$2400.00$2240.00$2400.00
ATM IV44.0%33.9%50.6%43.0%33.9%
Expected Move12.6%9.7%14.5%12.3%9.7%
HV 20d41.6%35.6%46.8%43.4%46.4%
HV 60d41.2%39.6%43.5%43.5%43.3%
IV Rank32.7%11.4%48.1%27.5%11.4%
IV Percentile59.3%5.6%88.5%51.2%5.6%
Term Structure2.6%-0.7%4.9%-0.7%4.0%
VWIV45.1%39.6%51.6%45.2%39.6%
Skew 25d-10.3%-12.9%-7.2%-8.1%-9.4%
Skew 10d-20.2%-36.2%-9.3%-9.3%-27.6%
Call IV 25d50.6%40.8%58.2%47.6%40.8%
Put IV 25d40.2%31.4%47.0%39.5%31.4%
Bid-Ask Spread %32.8015.3492.8792.8715.34
Gamma HHI0.110.080.190.100.08
Net GEX242.0K8.6K481.0K209.2K8.6K
Net DEX-6.1M-11.9M2.3M-3.9M2.3M
Net VEX-39.6K-45.1K-35.3K-38.8K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.041.940.190.97
Total Volume12.727325611
Total OI263.318225282258282

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$2313.60$2240.0043.0%12.3%43.4%27.5%45.2%-8.1%-0.7%209.2K-3.9M-38.8K0.1992.87N/AN/A5121048
2011-06-02$2318.40$2240.0043.4%12.4%41.7%28.1%44.2%-7.2%-0.3%239.0K-4.6M-40.0K0.0722.57N/AN/A9121349
2011-06-03$2317.60$2320.0040.5%11.9%39.0%22.6%43.6%-10.9%2.6%265.5K-4.9M-38.5K0.0827.92N/AN/A6121849
2011-06-06$2417.60$2320.0046.9%12.8%41.9%34.8%45.5%-11.2%-0.0%303.9K-8.1M-39.4K0.2231.99N/AN/A14321549
2011-06-07$2423.20$2320.0045.2%12.7%39.8%32.8%43.2%-9.8%2.1%303.1K-8.3M-40.9K0.2233.53N/AN/A4121752
2011-06-08$2401.60$2400.0044.7%12.9%39.8%31.9%45.4%-11.5%3.1%286.5K-7.4M-39.3K0.2132.66N/AN/A9221751
2011-06-09$2342.40$2320.0042.8%12.3%35.6%31.0%40.0%-10.5%4.1%218.9K-5.0M-37.6K0.2235.82N/AN/A2121753
2011-06-10$2430.40$2320.0043.5%12.5%38.1%32.5%43.0%-11.0%4.0%294.6K-8.8M-38.8K0.2329.41N/AN/A8221853
2011-06-13$2499.20$2320.0047.1%13.5%39.2%40.5%46.6%-11.6%1.8%390.7K-11.5M-39.7K0.1327.17N/AN/A22321854
2011-06-14$2402.40$2320.0044.4%12.7%41.4%34.6%47.2%-8.0%2.4%246.3K-6.9M-35.3K0.5028.66N/AN/A6322155
2011-06-15$2504.80$2320.0048.2%13.8%44.1%42.9%48.6%-10.8%3.5%474.9K-11.0M-40.4K0.2628.17N/AN/A12322255
2011-06-16$2492.00$2320.0050.6%14.5%41.3%48.1%51.6%-11.2%1.0%481.0K-10.9M-38.8K0.5224.93N/AN/A13722054
2011-06-17$2506.40$2320.0049.1%14.1%41.2%44.9%50.9%-10.6%3.0%458.7K-11.9M-39.6K0.0421.42N/AN/A16122454
2011-06-20$2491.20$2320.0046.4%13.3%41.3%38.9%47.5%-12.9%4.5%209.6K-6.4M-36.3K0.7823.15N/AN/A7519134
2011-06-21$2394.40$2400.0041.9%12.0%42.7%29.0%42.7%-11.7%1.9%160.3K-3.7M-35.3K1.9425.82N/AN/A81519438
2011-06-22$2409.60$2400.0040.2%11.5%41.6%25.2%42.7%-10.8%4.7%117.6K-3.0M-39.5K0.1330.68N/AN/A4119750
2011-06-23$2461.60$2400.0043.5%12.5%40.4%32.6%45.3%-12.5%4.9%144.3K-4.4M-41.3K0.4625.78N/AN/A13619650
2011-06-24$2550.40$2400.0046.3%13.3%41.6%38.7%46.8%-7.5%1.1%171.2K-6.3M-42.5K0.3422.59N/AN/A14519756
2011-06-27$2526.40$2400.0046.1%13.2%41.7%38.2%45.5%-9.9%2.4%188.3K-6.3M-45.1K0.5131.48N/AN/A4220659
2011-06-28$2384.00$2400.0041.4%11.9%46.8%27.9%44.8%-11.4%4.1%103.4K-2.2M-43.0K0.9543.58N/AN/A3320860
2011-06-29$2322.40$2400.0040.0%11.5%45.3%24.9%43.3%-9.0%2.3%49.4K-59.4K-40.0K0.7366.16N/AN/A141020861
2011-06-30$2257.60$2400.0033.9%9.7%46.4%11.4%39.6%-9.4%4.0%8.6K2.3M-40.4K0.9715.34N/AN/A6521567