DUG Options History — October 2011

In October 2011, DUG traded between $2021.60 and $3380.00. ATM implied volatility averaged 72.5%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 9.9% (HV 20d: 82.4%). Max pain ranged from $2320.00 to $2880.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-10-14: Highest Volume — 36 contracts
  • 2011-10-31: Largest IV spike — 15.5% change
  • 2011-10-03: Highest IV Rank — 79.8%
  • 2011-10-03: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2530.25$2021.60$3380.00$3380.00$2195.20
Max Pain$2651.43$2320.00$2880.00$2560.00$2320.00
ATM IV72.5%56.2%105.8%105.8%64.9%
Expected Move21.2%16.1%30.3%30.3%18.6%
HV 20d82.4%72.2%93.4%78.9%74.8%
HV 60d88.7%83.9%92.3%83.9%90.0%
IV Rank45.3%28.4%79.8%79.8%37.4%
IV Percentile85.3%76.2%99.2%99.2%77.4%
Term Structure2.2%-7.2%15.2%-6.3%2.1%
VWIV79.5%59.5%105.5%105.5%68.8%
Skew 25d-20.7%-28.2%-13.9%-13.9%-15.3%
Skew 10d-43.7%-76.9%-4.2%-21.6%-30.1%
Call IV 25d88.2%65.7%113.5%113.5%75.8%
Put IV 25d67.5%49.5%99.6%99.6%60.5%
Bid-Ask Spread %70.6658.8790.0459.9286.12
Gamma HHI0.110.050.340.090.06
Net GEX46.1K-69.3K150.1K150.1K43.7K
Net DEX-3.7M-21.3M5.5M-21.3M423.3K
Net VEX-34.9K-45.3K-23.4K-43.9K-27.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.045.560.180.07
Total Volume8.286336113
Total OI154.66790201157110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$3380.00$2560.00105.8%30.3%78.9%79.8%105.5%-13.9%-6.3%150.1K-21.3M-43.9K0.1859.92N/AN/A929661
2011-10-04$3168.80$2560.0096.5%27.7%83.3%70.0%98.3%-14.6%8.1%146.3K-17.5M-45.3K0.6060.29N/AN/A649460
2011-10-05$2955.20$2560.0084.1%24.1%82.2%57.3%88.0%-23.2%15.2%135.9K-13.6M-44.1K0.6166.39N/AN/A429663
2011-10-06$2845.60$2560.0081.8%23.4%83.6%54.9%92.0%-19.3%4.5%118.6K-10.9M-43.5K0.3569.01N/AN/A429865
2011-10-07$2918.40$2800.0077.8%24.3%81.2%50.7%83.7%-28.2%-3.8%133.8K-12.4M-43.9K0.3379.27N/AN/A3110166
2011-10-10$2656.00$2800.0070.9%22.5%88.2%43.6%89.0%-23.6%14.7%82.1K-6.4M-38.4K0.7777.83N/AN/A6510066
2011-10-11$2651.20$2880.0072.0%22.6%88.2%44.7%85.7%-25.2%10.2%72.2K-5.8M-38.5K0.3870.31N/AN/A4110268
2011-10-12$2610.40$2880.0065.3%20.8%87.8%37.9%93.6%-22.7%4.6%62.7K-4.6M-35.7K1.2758.87N/AN/A7910468
2011-10-13$2621.60$2800.0071.6%20.5%86.5%44.3%78.4%-22.2%7.6%50.4K-5.0M-37.3K0.2659.96N/AN/A3110873
2011-10-14$2426.40$2800.0062.7%18.0%91.0%35.1%72.9%-18.9%0.5%9.6K368.8K-32.5K5.5661.93N/AN/A63010971
2011-10-17$2505.60$2800.0069.9%20.0%91.2%42.6%72.3%-24.0%-1.6%-26.3K1.6M-37.3K0.4264.88N/AN/A6211190
2011-10-18$2356.00$2800.0067.6%19.4%93.4%40.2%73.6%-23.2%0.9%-9.6K3.0M-33.6K0.7262.75N/AN/A5411278
2011-10-19$2399.20$2800.0072.5%20.8%88.8%45.3%78.5%-26.1%-7.2%-30.9K2.0M-34.1K0.2564.92N/AN/A4111379
2011-10-20$2367.20$2720.0076.2%21.8%78.4%49.1%80.7%-25.5%4.2%-69.3K2.8M-34.0K1.3767.39N/AN/A3411580
2011-10-21$2276.80$2640.0068.7%19.7%77.9%41.4%71.2%-20.7%1.4%10.1K5.5M-30.6K0.6066.36N/AN/A2211780
2011-10-24$2220.80$2640.0065.2%18.7%75.1%37.8%73.9%-18.0%-5.2%13.0K553.8K-27.7K0.3973.37N/AN/A625337
2011-10-25$2317.60$2560.0070.3%20.1%77.5%43.0%72.9%-21.2%-0.0%23.4K-207.7K-30.5K0.1274.11N/AN/A415739
2011-10-26$2208.80$2480.0065.8%18.9%73.5%38.4%66.9%-17.3%-7.2%17.9K498.4K-28.7K0.0483.45N/AN/A505940
2011-10-27$2032.80$2400.0056.4%16.2%77.2%28.6%63.7%-16.0%4.9%12.6K2.0M-23.4K0.0786.74N/AN/A516340
2011-10-28$2021.60$2320.0056.2%16.1%72.2%28.4%59.5%-16.2%-1.7%21.6K1.9M-23.6K0.1390.04N/AN/A416640
2011-10-31$2195.20$2320.0064.9%18.6%74.8%37.4%68.8%-15.3%2.1%43.7K423.3K-27.2K0.0786.12N/AN/A306941