DUG Options History — April 2012

In April 2012, DUG traded between $1800.00 and $2028.80. ATM implied volatility averaged 39.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 3.6% (HV 20d: 36.4%). Max pain ranged from $1760.00 to $2000.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2012-04-11: Highest Volume — 14 contracts
  • 2012-04-10: Largest IV spike — 13.5% change
  • 2012-04-13: Highest IV Rank — 19.9%
  • 2012-04-13: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1935.04$1800.00$2028.80$1800.00$1860.80
Max Pain$1936.00$1760.00$2000.00$1920.00$1920.00
ATM IV39.9%33.2%46.2%33.2%35.8%
Expected Move11.5%9.5%13.3%9.5%10.3%
HV 20d36.4%33.9%40.4%35.3%34.8%
HV 60d31.0%29.1%32.3%29.1%31.7%
IV Rank13.6%6.8%19.9%6.8%9.4%
IV Percentile27.5%4.8%50.0%4.8%13.5%
Term Structure1.7%-0.4%4.2%3.7%1.4%
VWIV40.7%33.2%48.1%34.0%38.3%
Skew 25d-8.7%-11.5%-4.0%-4.9%-9.8%
Skew 10d-19.0%-34.7%3.7%-8.9%-26.4%
Call IV 25d46.1%36.0%53.3%37.2%41.7%
Put IV 25d37.4%31.8%43.4%32.4%31.8%
Bid-Ask Spread %28.0712.4946.1316.8115.55
Gamma HHI0.220.120.540.120.18
Net GEX28.9K-117.2K92.5K41.1K57.0K
Net DEX-1.7M-4.2M1.1M1.1M-597.6K
Net VEX-16.6K-19.7K-13.6K-13.6K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.048.240.150.19
Total Volume501461
Total OI98.45611219579

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$1800.00$1920.0033.2%9.5%35.3%6.8%34.0%-4.9%3.7%41.1K1.1M-13.6K0.1516.81N/AN/A515837
2012-04-03$1829.60$1920.0033.7%9.6%33.9%7.2%33.2%-4.0%4.2%51.7K200.6K-14.5K0.0412.49N/AN/A306137
2012-04-04$1879.20$1920.0035.0%10.0%34.4%8.6%34.9%-5.0%4.2%45.2K-807.3K-15.4K0.7416.33N/AN/A116137
2012-04-05$1901.60$1920.0037.2%10.7%34.1%10.8%39.4%-5.4%3.0%40.2K-1.2M-15.4K8.2418.06N/AN/A1106138
2012-04-09$1948.80$1760.0039.3%12.2%34.8%12.9%43.0%-9.4%0.7%27.9K-1.8M-16.7K0.1233.59N/AN/A306241
2012-04-10$2027.20$1760.0044.6%13.0%36.9%18.3%48.1%-10.3%0.9%27.1K-3.5M-16.5K0.1832.21N/AN/A516241
2012-04-11$2028.80$1760.0044.3%13.2%34.7%18.0%45.9%-10.0%0.1%31.0K-3.6M-16.5K0.2632.13N/AN/A1136342
2012-04-12$1940.00$1920.0041.5%11.9%39.1%15.2%47.2%-10.3%1.5%67.9K-2.1M-18.3K1.8631.61N/AN/A367345
2012-04-13$2004.00$2000.0046.2%13.3%40.1%19.9%43.2%-9.7%0.9%88.5K-3.8M-19.7K0.5835.16N/AN/A117644
2012-04-16$2022.40$2000.0045.9%13.2%38.1%19.6%44.9%-11.0%-0.4%92.5K-4.2M-18.5K1.0441.22N/AN/A007545
2012-04-17$1953.60$2000.0042.1%12.1%40.4%15.8%40.1%-10.4%1.5%45.2K-2.0M-17.5K0.0736.76N/AN/A107545
2012-04-18$1961.60$2000.0043.5%12.5%39.4%17.2%44.6%-10.4%1.6%17.9K-2.1M-16.9K0.1030.25N/AN/A207545
2012-04-19$1969.60$2000.0043.6%12.5%39.1%17.3%42.7%-10.0%0.6%-28.3K-2.1M-16.6K1.4833.02N/AN/A357545
2012-04-20$1976.00$2000.0041.3%11.8%36.5%14.9%39.6%-9.7%3.5%-117.2K-1.8M-16.0K0.2728.59N/AN/A317546
2012-04-23$1980.00$2000.0042.7%12.2%35.3%16.4%42.6%-8.2%-0.4%11.0K-1.9M-15.7K1.0036.49N/AN/A553526
2012-04-24$1951.20$2000.0040.6%11.6%35.0%14.3%40.7%-11.5%0.2%6.0K-1.4M-17.2K0.3428.91N/AN/A113930
2012-04-25$1910.40$2000.0038.2%10.9%35.6%11.8%38.7%-8.8%2.7%8.3K-772.2K-16.5K0.3946.13N/AN/A424030
2012-04-26$1877.60$2000.0034.5%9.9%35.0%8.1%37.6%-7.3%2.5%14.8K-254.6K-16.2K0.0621.35N/AN/A714131
2012-04-27$1878.40$1920.0035.3%10.1%35.0%8.9%35.5%-7.6%1.9%50.3K-737.6K-17.3K0.0914.81N/AN/A204731
2012-04-30$1860.80$1920.0035.8%10.3%34.8%9.4%38.3%-9.8%1.4%57.0K-597.6K-16.7K0.1915.55N/AN/A104831