DUG Options History — October 2012

In October 2012, DUG traded between $1564.00 and $1725.60. ATM implied volatility averaged 35.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.2% (HV 20d: 30.4%). Max pain ranged from $1600.00 to $1760.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-10-23: Highest Volume — 18 contracts
  • 2012-10-23: Largest IV spike — 14.7% change
  • 2012-10-24: Highest IV Rank — 28.4%
  • 2012-10-24: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1642.93$1564.00$1725.60$1612.80$1693.60
Max Pain$1691.43$1600.00$1760.00$1680.00$1680.00
ATM IV35.6%30.3%41.7%34.7%40.4%
Expected Move10.4%9.0%12.0%10.0%11.6%
HV 20d30.4%25.4%34.7%33.9%31.7%
HV 60d31.6%29.2%32.6%32.6%29.2%
IV Rank16.4%6.9%28.4%10.4%25.8%
IV Percentile22.3%2.4%54.4%12.7%48.8%
Term Structure2.2%-1.6%5.2%2.3%-0.8%
VWIV37.0%28.7%47.1%35.9%40.4%
Skew 25d-9.3%-21.8%-5.7%-6.2%-21.8%
Skew 10d-15.8%-30.0%4.7%-1.5%1.0%
Call IV 25d41.5%36.7%46.9%39.8%44.9%
Put IV 25d32.2%23.0%37.7%33.7%23.0%
Bid-Ask Spread %29.4712.26110.3779.71110.37
Gamma HHI0.250.170.640.170.25
Net GEX155.2K16.7K287.3K137.3K80.7K
Net DEX-28.5K-1.6M1.8M1.2M-1.5M
Net VEX-12.8K-17.4K-9.8K-11.7K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.0313.320.110.92
Total Volume7.71401852
Total OI111.9055814011383

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$1612.80$1680.0034.7%10.0%33.9%10.4%35.9%-6.2%2.3%137.3K1.2M-11.7K0.1179.71N/AN/A418132
2012-10-02$1613.60$1680.0032.8%9.4%33.3%8.0%29.9%-5.8%2.4%137.3K1.2M-11.6K0.0334.61N/AN/A508233
2012-10-03$1653.60$1760.0034.5%9.9%34.7%11.4%32.9%-9.6%3.8%158.4K625.6K-12.2K0.0515.66N/AN/A1018133
2012-10-04$1620.00$1680.0031.4%9.0%32.3%8.6%28.7%-14.0%4.2%175.4K683.1K-12.0K0.3812.31N/AN/A528733
2012-10-05$1627.20$1600.0030.3%10.2%30.2%6.9%47.1%-8.8%2.8%188.9K317.1K-12.5K0.4339.62N/AN/A219134
2012-10-08$1622.40$1680.0031.8%10.3%29.8%9.8%38.4%-7.6%2.3%193.7K230.0K-12.3K0.4331.88N/AN/A009234
2012-10-09$1620.80$1680.0032.5%10.6%29.1%11.1%35.6%-9.7%1.3%193.9K315.7K-12.0K0.0823.13N/AN/A209235
2012-10-10$1677.60$1680.0036.9%11.4%31.5%19.4%38.0%-8.4%1.4%233.4K-1.1M-12.6K0.1627.18N/AN/A719334
2012-10-11$1654.40$1600.0038.1%10.9%28.3%21.7%39.5%-7.7%2.3%239.9K-634.6K-11.9K0.2834.01N/AN/A1039535
2012-10-12$1670.40$1680.0037.0%10.6%25.4%19.6%40.9%-8.8%2.5%233.4K-954.1K-12.4K0.2423.88N/AN/A1339536
2012-10-15$1653.60$1760.0036.5%10.5%25.4%18.6%36.3%-10.1%1.6%245.0K-696.0K-11.5K0.0919.81N/AN/A719937
2012-10-16$1603.20$1760.0034.9%10.0%27.7%15.6%38.4%-9.7%2.7%205.4K680.8K-11.0K0.1432.62N/AN/A3110037
2012-10-17$1565.60$1760.0033.9%9.7%28.1%13.7%32.6%-9.3%3.1%165.4K1.7M-9.9K0.2214.65N/AN/A4110138
2012-10-18$1564.00$1680.0034.2%9.8%28.0%14.3%38.3%-5.7%3.4%136.2K1.8M-9.8K13.3215.81N/AN/A179838
2012-10-19$1608.00$1760.0033.7%9.7%29.7%13.5%36.7%-6.4%5.2%287.3K884.2K-10.6K1.1322.23N/AN/A789941
2012-10-22$1626.40$1680.0033.8%9.7%29.8%13.6%34.8%-8.1%2.9%16.7K361.5K-12.2K0.2212.26N/AN/A923424
2012-10-23$1703.20$1680.0038.8%11.1%33.2%22.8%38.5%-10.8%2.7%45.0K-1.1M-14.9K0.0417.93N/AN/A1714225
2012-10-24$1725.60$1680.0041.7%12.0%32.9%28.4%41.2%-7.3%1.7%58.7K-1.6M-16.2K0.1721.06N/AN/A814626
2012-10-25$1694.40$1680.0040.7%11.7%32.0%26.5%33.2%-10.7%-1.6%57.6K-1.3M-16.9K0.1715.41N/AN/A614827
2012-10-26$1691.20$1680.0039.8%11.4%32.0%24.8%38.8%-9.4%0.7%69.3K-1.5M-17.4K0.1814.73N/AN/A415128
2012-10-31$1693.60$1680.0040.4%11.6%31.7%25.8%40.4%-21.8%-0.8%80.7K-1.5M-16.8K0.92110.37N/AN/A115429