DUG Options History — July 2011

In July 2011, DUG traded between $1998.40 and $2272.80. ATM implied volatility averaged 41.5%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 1.2% (HV 20d: 42.7%). Max pain ranged from $2320.00 to $2480.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2011-07-11: Highest Volume — 16 contracts
  • 2011-07-11: Largest IV spike — 34.3% change
  • 2011-07-29: Highest IV Rank — 88.4%
  • 2011-07-29: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2145.36$1998.40$2272.80$2211.20$2176.80
Max Pain$2392.00$2320.00$2480.00$2400.00$2320.00
ATM IV41.5%31.9%53.1%36.2%53.1%
Expected Move12.2%10.4%15.2%10.4%15.2%
HV 20d42.7%38.9%46.9%46.9%39.4%
HV 60d42.8%41.5%43.5%43.3%41.9%
IV Rank45.4%10.9%88.4%16.4%88.4%
IV Percentile49.2%2.0%97.6%16.3%97.6%
Term Structure2.0%-1.6%5.7%0.7%-1.6%
VWIV45.3%36.5%53.9%39.4%53.9%
Skew 25d-10.1%-20.8%-7.1%-20.8%-8.9%
Skew 10d-17.5%-29.0%-10.9%-29.0%-20.8%
Call IV 25d49.0%41.6%59.5%41.6%59.5%
Put IV 25d38.9%20.9%50.6%20.9%50.6%
Bid-Ask Spread %27.2314.9647.1714.9623.30
Gamma HHI0.090.070.120.090.08
Net GEX-18.5K-46.2K31.6K-24.1K2.8K
Net DEX2.8M44.2K5.4M3.5M44.2K
Net VEX-40.3K-45.7K-37.0K-41.7K-45.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.023.970.090.14
Total Volume9.0531689
Total OI221.65124306286157

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$2211.20$2400.0036.2%10.4%46.9%16.4%39.4%-20.8%0.7%-24.1K3.5M-41.7K0.0914.96N/AN/A7121571
2011-07-05$2188.00$2480.0033.6%10.8%43.9%10.9%38.3%-7.1%4.1%-22.0K4.2M-38.2K0.2945.89N/AN/A4121870
2011-07-06$2196.80$2480.0034.2%10.8%44.0%19.9%42.5%-9.6%5.6%-3.0K3.3M-40.2K0.8047.17N/AN/A6522071
2011-07-07$2139.20$2480.0032.0%10.7%44.6%12.1%36.5%-8.9%5.7%-39.8K4.9M-37.5K0.5744.66N/AN/A4222372
2011-07-08$2167.20$2480.0031.9%11.2%44.5%11.5%42.1%-11.1%4.1%-38.1K4.2M-38.6K0.0941.91N/AN/A4022573
2011-07-11$2259.20$2480.0042.8%12.4%45.1%50.9%45.9%-12.0%2.9%31.6K1.1M-42.0K0.3523.51N/AN/A12422673
2011-07-12$2272.80$2400.0044.8%12.7%43.7%58.2%50.5%-8.7%1.7%30.1K756.6K-42.9K0.7826.27N/AN/A6523175
2011-07-13$2240.80$2400.0043.0%12.6%41.9%52.0%49.1%-9.9%2.7%-22.4K2.0M-42.3K0.2226.27N/AN/A8222977
2011-07-14$2269.60$2400.0045.6%13.1%38.9%61.3%48.8%-9.8%1.2%-30.2K1.3M-42.4K0.1326.88N/AN/A6122876
2011-07-15$2141.60$2400.0043.3%12.4%43.3%53.0%46.6%-9.5%2.0%-41.3K5.4M-37.7K1.0030.10N/AN/A8823076
2011-07-18$2163.20$2400.0044.4%12.7%43.5%56.6%49.0%-11.3%0.6%-2.2K1.2M-39.6K0.7224.32N/AN/A647054
2011-07-19$2088.80$2400.0041.8%12.0%44.6%47.4%44.4%-10.5%0.8%-16.6K2.6M-38.4K1.8122.00N/AN/A597558
2011-07-20$2094.40$2400.0042.4%12.1%43.2%49.4%49.0%-9.1%1.5%-25.0K2.8M-39.1K0.0222.45N/AN/A607862
2011-07-21$2021.60$2320.0039.9%11.4%44.0%40.4%40.7%-10.9%2.3%-22.0K3.9M-37.0K0.9425.06N/AN/A447962
2011-07-22$1998.40$2320.0039.6%11.3%42.6%39.4%39.6%-9.9%2.6%-37.9K4.3M-37.2K0.3018.60N/AN/A518066
2011-07-25$2014.40$2320.0042.0%12.0%39.7%48.2%44.9%-8.3%2.2%-26.1K3.9M-38.5K3.9719.68N/AN/A288367
2011-07-26$2025.60$2320.0042.5%12.2%40.2%50.0%44.9%-7.8%1.2%-46.2K4.0M-39.0K0.2122.55N/AN/A218371
2011-07-27$2104.00$2320.0046.6%13.3%39.7%64.6%47.7%-8.5%0.3%-29.8K2.3M-43.2K0.8418.29N/AN/A878371
2011-07-28$2133.60$2320.0050.0%14.3%39.6%77.0%51.2%-9.4%-1.2%-7.0K1.2M-44.3K0.1120.67N/AN/A518669
2011-07-29$2176.80$2320.0053.1%15.2%39.4%88.4%53.9%-8.9%-1.6%2.8K44.2K-45.7K0.1423.30N/AN/A818770