DUG Options History — June 2012

In June 2012, DUG traded between $2032.00 and $2416.00. ATM implied volatility averaged 48.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.5% (HV 20d: 49.2%). Max pain ranged from $2000.00 to $2160.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-06-04: Highest Volume — 26 contracts
  • 2012-06-21: Largest IV spike — 20.1% change
  • 2012-06-04: Highest IV Rank — 34.6%
  • 2012-06-04: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2228.50$2032.00$2416.00$2415.20$2032.00
Max Pain$2064.76$2000.00$2160.00$2160.00$2080.00
ATM IV48.7%37.5%60.7%60.5%37.5%
Expected Move14.1%10.7%17.4%17.3%10.7%
HV 20d49.2%37.3%58.3%39.1%56.5%
HV 60d40.6%36.7%46.1%36.9%46.1%
IV Rank22.5%11.1%34.6%34.4%11.1%
IV Percentile46.9%18.3%63.9%63.9%18.3%
Term Structure2.2%-1.3%7.1%0.9%4.9%
VWIV51.6%39.7%66.2%59.2%39.7%
Skew 25d-13.2%-20.4%-7.1%-14.0%-7.1%
Skew 10d-27.0%-37.3%-18.7%-23.1%-28.1%
Call IV 25d58.2%43.1%74.3%69.8%43.1%
Put IV 25d45.0%36.1%55.8%55.8%36.1%
Bid-Ask Spread %30.9813.2467.7420.5458.91
Gamma HHI0.160.110.350.150.15
Net GEX66.8K-58.4K156.5K54.3K38.8K
Net DEX-4.3M-8.4M873.2K-8.3M873.2K
Net VEX-24.5K-27.4K-20.6K-20.6K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.022.250.870.11
Total Volume10.812261717
Total OI123.23899136103129

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$2415.20$2160.0060.5%17.3%39.1%34.4%59.2%-14.0%0.9%54.3K-8.3M-20.6K0.8720.54N/AN/A985746
2012-06-04$2416.00$2000.0060.7%17.4%37.3%34.6%66.2%-20.4%-0.4%49.1K-8.4M-21.6K0.6114.37N/AN/A16106150
2012-06-05$2377.60$2000.0057.1%16.5%38.3%31.0%58.8%-18.5%-1.3%65.3K-8.2M-24.6K2.0014.60N/AN/A357253
2012-06-06$2225.60$2000.0050.7%14.8%46.5%24.5%54.5%-16.3%3.3%-7.6K-3.1M-25.5K0.9017.70N/AN/A667057
2012-06-07$2218.40$2000.0049.0%14.8%46.4%22.8%54.7%-15.4%-1.3%10.6K-2.9M-24.7K0.5321.08N/AN/A747154
2012-06-08$2224.80$2000.0048.9%14.6%46.1%22.7%51.4%-14.7%2.1%5.4K-3.7M-25.2K2.2518.46N/AN/A6137455
2012-06-11$2277.60$2080.0056.1%16.0%46.5%30.0%54.8%-15.7%-0.7%87.4K-5.5M-26.0K0.9913.24N/AN/A447755
2012-06-12$2213.60$2080.0050.1%15.4%46.8%23.9%57.1%-15.0%2.6%68.5K-4.0M-25.5K0.0221.72N/AN/A407956
2012-06-13$2264.80$2080.0050.9%15.7%46.4%24.7%58.5%-15.9%-1.3%120.8K-5.6M-25.8K0.7219.38N/AN/A328056
2012-06-14$2188.00$2080.0052.4%15.0%48.0%26.2%51.8%-14.8%0.9%60.0K-2.6M-24.3K0.7923.87N/AN/A437855
2012-06-15$2108.00$2080.0045.6%13.1%49.4%19.3%49.2%-14.8%4.1%-58.4K-156.0K-22.1K2.0741.78N/AN/A478055
2012-06-18$2147.20$2080.0043.6%12.5%49.6%17.3%49.4%-11.9%3.2%52.4K-2.7M-21.8K0.2039.78N/AN/A1336336
2012-06-19$2082.40$2080.0040.6%11.7%47.9%14.3%44.4%-10.5%4.8%72.1K-1.9M-22.3K1.0734.80N/AN/A457236
2012-06-20$2096.80$2080.0039.9%11.4%47.9%13.5%41.4%-9.5%7.1%64.8K-1.9M-22.9K1.0267.74N/AN/A557339
2012-06-21$2274.40$2080.0047.8%13.7%56.3%21.6%49.8%-11.6%4.2%103.0K-5.6M-25.5K0.2648.62N/AN/A1037444
2012-06-22$2244.80$2080.0046.0%13.2%56.5%19.7%48.1%-10.6%2.4%119.3K-5.3M-27.4K0.0229.75N/AN/A308043
2012-06-25$2339.20$2080.0048.3%13.8%58.3%22.0%48.3%-11.4%2.8%156.5K-7.8M-27.1K0.3035.92N/AN/A728143
2012-06-26$2285.60$2080.0049.0%14.1%57.9%22.8%46.5%-9.3%1.9%145.0K-6.4M-27.2K2.2533.67N/AN/A498244
2012-06-27$2195.20$2080.0044.0%12.6%55.9%17.7%47.9%-10.1%3.3%100.6K-3.8M-26.6K0.1835.35N/AN/A208346
2012-06-28$2171.20$2080.0044.2%12.7%55.5%17.9%51.2%-10.0%3.0%94.2K-3.1M-26.0K0.0239.32N/AN/A708346
2012-06-29$2032.00$2080.0037.5%10.7%56.5%11.1%39.7%-7.1%4.9%38.8K873.2K-21.0K0.1158.91N/AN/A1528346