DUG Options History — January 2012

In January 2012, DUG traded between $1849.60 and $2024.00. ATM implied volatility averaged 42.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 1.6% (HV 20d: 43.9%). Max pain ranged from $1840.00 to $2240.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-01-11: Highest Volume — 14 contracts
  • 2012-01-12: Largest IV spike — 19.3% change
  • 2012-01-12: Highest IV Rank — 22.3%
  • 2012-01-06: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1937.44$1849.60$2024.00$1944.80$1957.60
Max Pain$1968.00$1840.00$2240.00$2240.00$1920.00
ATM IV42.2%35.9%50.3%44.0%40.6%
Expected Move12.6%10.3%14.9%12.6%11.6%
HV 20d43.9%31.5%57.9%57.9%32.1%
HV 60d62.5%54.4%68.4%68.4%54.4%
IV Rank12.3%4.4%22.3%15.9%9.3%
IV Percentile31.2%7.5%58.3%40.5%23.0%
Term Structure4.8%2.8%8.9%8.9%2.8%
VWIV45.5%37.1%56.9%47.1%43.0%
Skew 25d-9.8%-13.3%-5.2%-11.0%-6.9%
Skew 10d-20.3%-34.1%10.3%-21.2%9.2%
Call IV 25d50.4%41.3%59.7%53.4%45.5%
Put IV 25d40.7%32.5%46.8%42.4%38.6%
Bid-Ask Spread %56.7139.2879.3840.6579.38
Gamma HHI0.200.110.770.140.15
Net GEX64.4K-13.2K260.4K40.5K66.4K
Net DEX2.7M-805.9K6.1M3.6M-805.9K
Net VEX-12.0K-14.4K-9.7K-11.3K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.032.240.320.03
Total Volume6.1214117
Total OI107.155314711571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$1944.80$2240.0044.0%12.6%57.9%15.9%47.1%-11.0%8.9%40.5K3.6M-11.3K0.3240.65N/AN/A837045
2012-01-04$1932.00$2240.0044.5%12.8%57.4%16.3%46.4%-9.8%5.6%44.2K3.6M-11.4K0.3641.63N/AN/A317447
2012-01-05$1952.80$2240.0043.7%12.5%57.6%15.6%45.2%-8.1%6.0%57.8K3.2M-12.0K0.7242.23N/AN/A327547
2012-01-06$1973.60$1840.0042.1%14.9%57.5%13.9%51.7%-12.9%4.4%66.5K3.2M-12.5K0.1762.69N/AN/A217649
2012-01-09$1955.20$1840.0040.3%14.2%53.6%12.0%56.9%-11.9%4.4%63.9K3.6M-10.7K0.1147.44N/AN/A207649
2012-01-10$1920.00$1840.0039.8%13.9%51.7%11.5%47.0%-13.3%3.9%59.4K4.1M-10.2K2.2463.55N/AN/A497750
2012-01-11$1972.00$1840.0042.2%14.3%49.9%13.9%49.4%-12.2%4.1%84.4K4.1M-12.2K0.7264.33N/AN/A867956
2012-01-12$2007.20$1920.0050.3%14.4%50.1%22.3%51.5%-11.6%3.8%104.1K3.3M-13.5K0.9563.24N/AN/A338157
2012-01-13$2024.00$1920.0047.5%13.6%45.1%16.7%48.1%-11.6%6.0%107.5K2.7M-13.8K0.5074.86N/AN/A738256
2012-01-17$1990.40$2000.0047.9%13.7%44.9%17.1%50.3%-9.8%4.6%112.5K3.3M-13.0K1.5047.57N/AN/A118358
2012-01-18$1926.40$2000.0046.0%13.2%45.6%15.2%48.7%-10.1%4.8%76.7K4.7M-11.6K0.2765.26N/AN/A218359
2012-01-19$1912.00$2000.0043.7%12.5%43.1%12.7%46.3%-11.2%4.8%88.7K5.2M-10.5K1.5267.99N/AN/A468458
2012-01-20$1912.80$2000.0040.8%11.7%33.5%9.5%41.3%-10.9%6.2%260.4K6.1M-11.3K0.4452.46N/AN/A528463
2012-01-23$1884.00$1920.0038.7%11.1%33.2%7.3%39.7%-8.3%3.9%-13.2K1.1M-10.9K0.1345.16N/AN/A302825
2012-01-24$1893.60$1920.0038.2%10.9%32.5%6.8%37.1%-8.3%6.7%-5.0K1.0M-11.4K0.1556.23N/AN/A203025
2012-01-25$1849.60$1920.0035.9%10.3%33.1%4.4%39.7%-8.9%4.4%-5.6K1.5M-9.7K0.1241.74N/AN/A513225
2012-01-26$1900.80$1920.0039.5%11.3%35.0%8.2%39.1%-5.2%3.4%16.3K573.9K-12.8K0.1368.45N/AN/A413526
2012-01-27$1911.20$1920.0039.3%11.3%31.9%7.9%39.0%-6.0%3.0%23.8K279.6K-13.1K0.1239.28N/AN/A303726
2012-01-30$1928.80$1920.0039.8%11.4%31.5%8.5%41.5%-7.4%4.1%38.8K-266.8K-13.1K0.1770.14N/AN/A513926
2012-01-31$1957.60$1920.0040.6%11.6%32.1%9.3%43.0%-6.9%2.8%66.4K-805.9K-14.4K0.0379.38N/AN/A704427