DUG Options History — November 2011

In November 2011, DUG traded between $2008.80 and $2536.00. ATM implied volatility averaged 70.8%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 2.6% (HV 20d: 73.4%). 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 3 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2011-11-17: Highest Volume — 24 contracts
  • 2011-11-09: Largest IV spike — 37.7% change
  • 2011-11-09: Highest IV Rank — 53.3%
  • 2011-11-01: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2200.69$2008.80$2536.00$2328.00$2047.20
Max Pain$2186.67$2080.00$2320.00$2320.00$2240.00
ATM IV70.8%58.2%80.2%79.7%65.2%
Expected Move20.5%18.3%22.8%22.8%18.7%
HV 20d73.4%64.3%78.3%78.2%73.8%
HV 60d77.8%73.9%84.9%84.9%78.7%
IV Rank43.5%30.6%53.3%52.7%37.8%
IV Percentile82.1%71.0%90.5%90.5%71.0%
Term Structure-1.4%-3.9%5.1%-2.8%-2.0%
VWIV73.7%66.3%87.6%83.6%68.2%
Skew 25d-22.0%-27.6%-13.9%-23.8%-24.1%
Skew 10d-41.8%-65.8%-27.5%-50.2%-31.1%
Call IV 25d85.1%74.4%96.2%96.2%74.4%
Put IV 25d63.1%50.2%72.4%72.4%50.2%
Bid-Ask Spread %54.1624.7288.3579.2579.67
Gamma HHI0.110.050.690.050.08
Net GEX92.4K26.6K451.0K66.0K52.1K
Net DEX-1.1M-7.5M2.1M-1.9M2.1M
Net VEX-29.7K-38.3K-24.2K-33.0K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.051.930.170.15
Total Volume9.524224912
Total OI130.143110156111137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$2328.00$2320.0079.7%22.8%78.2%52.7%83.6%-23.8%-2.8%66.0K-1.9M-33.0K0.1779.25N/AN/A817041
2011-11-02$2200.80$2320.0075.0%21.5%77.1%47.8%74.3%-21.7%-3.2%60.3K-338.3K-30.2K0.1687.57N/AN/A207342
2011-11-03$2096.80$2320.0068.1%19.5%77.6%40.7%66.8%-22.7%5.1%46.7K951.4K-26.8K0.7688.35N/AN/A437442
2011-11-04$2093.60$2160.0062.5%20.1%76.3%35.0%73.7%-23.4%-3.9%40.3K934.9K-27.0K0.5156.64N/AN/A217644
2011-11-07$2067.20$2160.0063.9%19.8%70.6%36.4%73.8%-26.4%-1.5%36.7K1.5M-25.7K0.2655.96N/AN/A317644
2011-11-08$2008.80$2160.0058.2%18.3%70.7%30.6%72.6%-23.8%-1.5%26.6K2.0M-24.2K0.1157.56N/AN/A617745
2011-11-09$2174.40$2080.0080.2%22.6%78.0%53.3%82.5%-22.0%-1.7%72.9K-630.3K-30.5K0.1847.25N/AN/A718045
2011-11-10$2100.80$2080.0070.1%20.1%78.3%42.8%87.6%-27.6%-1.3%62.9K606.7K-27.6K0.2453.66N/AN/A628446
2011-11-11$2024.00$2160.0066.2%19.0%75.0%38.8%70.4%-24.1%-1.9%45.3K1.7M-24.8K0.0562.79N/AN/A918647
2011-11-14$2069.60$2080.0069.2%19.8%74.4%41.8%71.4%-24.6%-2.7%85.4K380.5K-26.4K1.0956.09N/AN/A459047
2011-11-15$2071.20$2160.0070.6%20.2%71.9%43.3%66.3%-22.6%1.8%81.1K742.2K-26.7K0.5352.02N/AN/A429251
2011-11-16$2123.20$2160.0072.9%20.9%72.2%45.7%70.7%-21.0%-1.1%87.1K195.7K-26.6K0.2652.94N/AN/A1039352
2011-11-17$2214.40$2160.0074.6%21.4%74.1%47.4%73.1%-25.3%-2.0%156.4K-2.5M-29.5K0.1746.23N/AN/A2049853
2011-11-18$2237.60$2080.0072.4%20.8%73.0%45.2%71.1%-22.9%-1.4%451.0K-2.5M-30.3K0.3951.16N/AN/A10410155
2011-11-21$2320.00$2160.0072.2%20.7%73.6%44.9%78.3%-21.1%0.4%49.4K-2.6M-31.8K0.1347.74N/AN/A2036446
2011-11-22$2361.60$2160.0072.2%20.7%72.3%44.9%70.3%-17.0%-0.9%100.9K-4.2M-35.4K1.9324.72N/AN/A357747
2011-11-23$2499.20$2240.0074.2%21.3%72.4%47.1%72.1%-18.7%-0.4%90.9K-6.4M-37.0K0.0825.59N/AN/A1617851
2011-11-25$2536.00$2240.0078.0%22.4%64.3%51.0%77.1%-17.7%-2.9%119.1K-7.5M-38.3K0.3525.63N/AN/A218452
2011-11-28$2354.40$2240.0070.8%20.3%71.0%43.5%72.6%-17.0%-3.4%111.2K-3.9M-34.8K0.0942.04N/AN/A918452
2011-11-29$2285.60$2240.0070.2%20.1%66.3%42.9%71.1%-13.9%-2.0%98.0K-2.3M-33.0K0.2244.43N/AN/A218453
2011-11-30$2047.20$2240.0065.2%18.7%73.8%37.8%68.2%-24.1%-2.0%52.1K2.1M-24.7K0.1579.67N/AN/A1028453