DUG Options History — May 2012

In May 2012, DUG traded between $1814.40 and $2304.80. ATM implied volatility averaged 48.5%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 13.5% (HV 20d: 34.9%). Max pain ranged from $1840.00 to $2160.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-05-07: Highest Volume — 15 contracts
  • 2012-05-21: Largest IV drop — 16.6% change
  • 2012-05-18: Highest IV Rank — 33.5%
  • 2012-05-18: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2119.02$1814.40$2304.80$1814.40$2304.80
Max Pain$2040.00$1840.00$2160.00$1920.00$2160.00
ATM IV48.5%35.2%59.6%35.2%55.7%
Expected Move13.9%10.1%17.1%10.1%16.0%
HV 20d34.9%31.0%39.8%35.2%37.6%
HV 60d33.5%31.2%36.5%31.2%36.1%
IV Rank22.2%8.8%33.5%8.8%29.5%
IV Percentile49.8%10.3%63.9%10.3%61.1%
Term Structure0.2%-2.1%3.5%2.0%1.0%
VWIV49.1%34.6%56.9%34.6%55.8%
Skew 25d-11.5%-15.3%-5.5%-11.1%-11.1%
Skew 10d-21.9%-29.6%-4.5%-25.2%-21.9%
Call IV 25d56.2%38.7%69.3%38.7%62.7%
Put IV 25d44.7%27.6%54.0%27.6%51.5%
Bid-Ask Spread %24.8713.1263.2315.7525.65
Gamma HHI0.190.130.320.210.16
Net GEX24.6K-48.5K97.8K64.9K28.6K
Net DEX-4.8M-9.9M324.3K324.3K-6.9M
Net VEX-20.5K-23.3K-15.2K-15.2K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.174.420.490.26
Total Volume7.31821566
Total OI99.5917912179103

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$1814.40$1920.0035.2%10.1%35.2%8.8%34.6%-11.1%2.0%64.9K324.3K-15.2K0.4915.75N/AN/A424831
2012-05-02$1869.60$1920.0036.8%10.5%36.3%10.4%37.6%-5.5%0.0%63.4K-759.4K-17.4K0.2114.23N/AN/A315033
2012-05-03$1931.20$1920.0039.7%11.4%36.9%13.3%42.1%-9.0%0.5%63.9K-2.1M-18.2K0.9313.12N/AN/A115233
2012-05-04$2017.60$1840.0044.8%12.7%39.8%18.5%45.0%-10.4%-0.4%46.6K-3.9M-19.2K0.9235.10N/AN/A325234
2012-05-07$2024.00$1840.0042.8%12.6%38.9%16.5%43.9%-10.2%-0.6%32.1K-4.1M-18.9K2.7622.65N/AN/A4115336
2012-05-08$2040.00$1840.0043.6%12.5%36.4%17.3%47.8%-10.8%0.2%13.2K-4.1M-20.4K0.2932.92N/AN/A825542
2012-05-09$2069.60$1840.0048.6%13.3%36.8%22.4%46.8%-11.0%0.2%23.3K-4.7M-21.0K0.9821.49N/AN/A775843
2012-05-10$2048.80$2080.0046.2%13.2%32.9%19.9%45.5%-11.1%0.5%646-3.5M-22.8K4.4228.83N/AN/A145847
2012-05-11$2077.60$2080.0046.4%13.3%31.3%20.1%43.1%-11.0%0.0%-27.5K-4.2M-22.2K0.7923.73N/AN/A435951
2012-05-14$2142.40$2080.0051.3%14.7%32.9%25.1%50.5%-11.8%-2.1%-48.5K-6.3M-21.6K0.1720.87N/AN/A716254
2012-05-15$2206.40$2080.0054.1%15.5%31.0%27.9%52.9%-12.8%-0.9%15.0K-8.3M-20.0K0.2117.91N/AN/A516354
2012-05-16$2219.20$2080.0055.4%15.9%31.0%29.2%54.5%-12.5%-0.8%42.5K-8.2M-20.1K0.3221.31N/AN/A316355
2012-05-17$2250.40$2080.0057.2%16.4%31.1%31.1%56.3%-15.0%-1.6%97.8K-8.9M-19.8K0.4018.76N/AN/A426355
2012-05-18$2282.40$2080.0059.6%17.1%31.2%33.5%56.9%-15.3%-1.2%92.8K-9.9M-19.6K0.2715.92N/AN/A526655
2012-05-21$2176.80$2080.0049.7%14.3%36.7%23.5%52.0%-12.8%-0.4%6.5K-4.2M-20.1K2.1519.89N/AN/A494636
2012-05-22$2192.00$2160.0050.4%14.4%36.0%24.1%52.3%-13.2%-0.4%-21.4K-4.0M-21.8K0.4327.63N/AN/A634944
2012-05-23$2176.00$2160.0049.5%14.2%34.9%23.3%53.0%-11.7%1.1%-15.5K-4.2M-22.9K0.4320.15N/AN/A945244
2012-05-24$2180.80$2160.0050.4%14.5%33.8%24.2%52.8%-12.8%1.5%14.5K-4.3M-23.3K0.3318.74N/AN/A415542
2012-05-25$2196.80$2160.0047.8%13.7%33.7%21.5%50.8%-13.2%3.5%16.7K-4.6M-23.1K0.3463.23N/AN/A315543
2012-05-29$2133.60$2160.0048.0%13.8%35.8%21.7%51.5%-9.8%2.0%1.7K-3.3M-21.7K0.3335.16N/AN/A315543
2012-05-30$2264.00$2160.0053.5%15.3%38.2%27.3%54.0%-11.2%0.8%31.0K-6.1M-21.0K1.7534.01N/AN/A355742
2012-05-31$2304.80$2160.0055.7%16.0%37.6%29.5%55.8%-11.1%1.0%28.6K-6.9M-20.6K0.2625.65N/AN/A515845