DUG Options History — August 2012

In August 2012, DUG traded between $1694.40 and $1892.80. ATM implied volatility averaged 36.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 1.6% (HV 20d: 34.5%). Max pain ranged from $1760.00 to $2080.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2012-08-27: Highest Volume — 14 contracts
  • 2012-08-13: Largest IV spike — 26.2% change
  • 2012-08-01: Highest IV Rank — 17.2%
  • 2012-08-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1745.81$1694.40$1892.80$1832.80$1749.60
Max Pain$1965.22$1760.00$2080.00$2080.00$1760.00
ATM IV36.1%26.8%43.5%43.5%39.5%
Expected Move10.9%9.7%12.5%12.5%11.3%
HV 20d34.5%20.7%41.1%38.3%20.7%
HV 60d45.7%41.3%48.2%46.7%41.4%
IV Rank11.3%0.4%17.2%17.2%16.3%
IV Percentile16.3%0.4%35.7%35.7%31.3%
Term Structure3.7%0.5%6.0%0.5%5.1%
VWIV38.6%35.4%44.7%44.7%38.4%
Skew 25d-8.4%-12.1%-6.4%-12.1%-8.8%
Skew 10d-19.0%-26.7%-13.7%-26.7%-17.9%
Call IV 25d42.8%39.5%47.9%47.9%44.8%
Put IV 25d34.4%29.1%38.4%35.8%36.0%
Bid-Ask Spread %53.3630.67101.31101.3143.57
Gamma HHI0.190.160.220.160.16
Net GEX63.1K-5.7K121.1K46.2K121.1K
Net DEX2.0M-606.9K3.7M2.0M-204.8K
Net VEX-15.8K-20.9K-14.0K-17.6K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.190.200.31
Total Volume3.8711469
Total OI101.5658012396102

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$1832.80$2080.0043.5%12.5%38.3%17.2%44.7%-12.1%0.5%46.2K2.0M-17.6K0.20101.31N/AN/A516135
2012-08-02$1892.80$2080.0043.2%12.4%39.0%16.9%39.8%-8.1%3.0%59.2K889.0K-20.9K0.1675.60N/AN/A206636
2012-08-03$1803.20$2000.0037.5%10.7%41.1%11.1%38.8%-11.0%4.3%57.0K2.5M-17.0K0.0874.53N/AN/A206736
2012-08-06$1793.60$2080.0035.2%11.2%40.7%8.8%42.6%-11.1%3.6%59.6K2.6M-16.7K0.1356.12N/AN/A306836
2012-08-07$1742.40$2080.0036.5%11.5%38.9%10.2%39.9%-8.5%1.5%55.2K3.2M-14.9K0.2153.36N/AN/A417036
2012-08-08$1736.00$2080.0035.4%11.9%38.5%10.4%39.5%-10.2%2.1%61.7K3.1M-15.5K0.4452.86N/AN/A117337
2012-08-09$1717.60$2080.0029.4%10.6%38.0%3.4%39.1%-8.1%3.2%55.2K3.5M-14.5K0.6254.91N/AN/A327437
2012-08-10$1708.00$2080.0026.8%10.1%36.9%0.4%38.9%-8.2%4.0%34.5K3.7M-14.3K0.0061.97N/AN/A107639
2012-08-13$1724.80$2080.0033.8%11.2%37.4%9.2%38.9%-7.9%2.3%51.7K3.5M-14.1K0.0351.76N/AN/A607639
2012-08-14$1724.80$2000.0034.6%10.7%37.0%10.2%37.5%-6.6%3.9%72.9K3.3M-14.4K0.1653.86N/AN/A208139
2012-08-15$1730.40$2000.0030.0%10.5%36.8%4.4%36.6%-7.1%3.8%91.4K3.1M-15.6K0.6049.22N/AN/A118239
2012-08-16$1694.40$2000.0036.3%10.4%37.3%12.4%37.6%-7.0%5.5%-5.7K3.5M-14.3K0.6843.44N/AN/A218239
2012-08-17$1696.00$2000.0035.3%10.1%37.3%11.1%38.2%-7.6%3.4%-3453.5M-14.4K1.1956.07N/AN/A118340
2012-08-20$1710.40$2000.0034.0%9.7%36.3%9.5%36.3%-6.4%4.3%46.7K1.6M-14.0K0.0752.72N/AN/A105327
2012-08-21$1724.00$2000.0037.1%10.6%34.6%13.3%35.4%-6.8%4.4%49.9K1.5M-14.1K0.0538.18N/AN/A405327
2012-08-22$1713.60$1840.0035.0%10.0%34.4%10.7%36.8%-8.2%3.2%63.5K1.2M-14.7K0.5744.71N/AN/A115627
2012-08-23$1749.60$1840.0037.1%10.6%31.0%13.4%37.1%-9.3%4.7%68.9K782.9K-16.2K0.4941.87N/AN/A215728
2012-08-24$1726.40$1840.0036.5%10.5%28.9%12.7%37.3%-8.0%4.7%73.4K996.2K-15.2K0.4336.19N/AN/A215827
2012-08-27$1730.40$1840.0037.1%10.6%28.9%13.3%35.8%-6.9%6.0%77.9K1.2M-14.6K0.0534.54N/AN/A1315928
2012-08-28$1725.60$1840.0038.1%10.9%27.3%14.6%39.8%-8.9%3.6%96.7K769.7K-16.0K0.1956.67N/AN/A106529
2012-08-29$1744.80$1840.0039.4%11.3%27.6%16.2%36.0%-8.0%3.1%103.3K446.2K-16.3K0.3863.23N/AN/A216629
2012-08-30$1782.40$1760.0038.6%11.1%26.1%15.3%42.0%-8.4%5.4%111.5K-606.9K-18.7K0.1830.67N/AN/A716830
2012-08-31$1749.60$1760.0039.5%11.3%20.7%16.3%38.4%-8.8%5.1%121.1K-204.8K-18.1K0.3143.57N/AN/A727230