DUG Options History — December 2012

In December 2012, DUG traded between $1618.40 and $1752.80. ATM implied volatility averaged 35.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 8.1% (HV 20d: 27.4%). Max pain ranged from $1680.00 to $1760.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2012-12-13: Highest Volume — 16 contracts
  • 2012-12-28: Largest IV spike — 16.9% change
  • 2012-12-28: Highest IV Rank — 51.2%
  • 2012-12-28: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1687.48$1618.40$1752.80$1740.00$1683.20
Max Pain$1756.00$1680.00$1760.00$1760.00$1680.00
ATM IV35.5%30.9%44.0%36.5%37.8%
Expected Move10.5%9.2%12.6%10.5%10.8%
HV 20d27.4%23.0%36.8%36.8%29.7%
HV 60d32.1%30.9%34.5%34.5%33.1%
IV Rank22.9%9.5%51.2%21.4%33.0%
IV Percentile28.4%3.6%78.2%32.1%46.8%
Term Structure4.1%-1.9%14.1%2.0%1.6%
VWIV35.7%24.3%44.3%37.9%39.0%
Skew 25d-7.6%-10.3%-4.9%-10.3%-8.6%
Skew 10d-15.8%-26.6%3.5%-5.2%-25.3%
Call IV 25d41.5%37.0%50.3%40.7%44.6%
Put IV 25d33.9%29.6%41.2%30.4%36.0%
Bid-Ask Spread %39.4812.1599.6732.3912.15
Gamma HHI0.140.120.200.160.20
Net GEX58.3K-3.0K104.3K78.7K104.3K
Net DEX-141.0K-1.9M1.9M-1.4M-1.5M
Net VEX-16.8K-20.7K-13.8K-20.3K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.380.440.51
Total Volume4.2501633
Total OI100.17611210194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$1740.00$1760.0036.5%10.5%36.8%21.4%37.9%-10.3%2.0%78.7K-1.4M-20.3K0.4432.39N/AN/A216833
2012-12-04$1750.40$1760.0036.4%10.4%36.3%21.1%36.2%-8.8%4.4%81.7K-1.9M-20.7K0.0030.77N/AN/A106933
2012-12-05$1720.80$1760.0036.8%10.6%35.0%22.0%24.3%-8.5%3.5%89.6K-1.2M-20.0K0.0031.74N/AN/A507033
2012-12-06$1708.80$1760.0032.2%9.2%29.4%12.2%31.9%-4.9%6.0%79.1K-798.3K-19.1K0.0016.02N/AN/A406933
2012-12-07$1687.20$1760.0031.5%10.8%26.6%10.6%0.0%-9.3%4.2%88.4K-580.4K-18.4K1.3829.99N/AN/A117233
2012-12-10$1692.00$1760.0032.6%10.8%26.7%12.9%37.2%-9.2%-1.5%69.6K-419.7K-17.7K0.0783.88N/AN/A007134
2012-12-11$1673.60$1760.0031.6%10.6%26.8%11.0%38.9%-7.9%2.9%55.6K87.1K-16.7K0.7826.63N/AN/A007134
2012-12-12$1661.60$1760.0030.9%10.3%26.2%9.5%42.3%-6.8%14.1%49.5K876.6K-14.4K0.0228.25N/AN/A307034
2012-12-13$1693.60$1760.0035.9%10.3%25.8%19.9%38.0%-6.8%3.9%49.8K-307.4K-16.4K0.4828.90N/AN/A1157134
2012-12-14$1708.80$1760.0036.4%10.4%26.2%21.1%35.6%-8.4%4.0%82.4K-976.6K-18.3K0.3728.73N/AN/A1047537
2012-12-17$1677.60$1760.0034.3%9.8%26.7%16.5%35.1%-7.0%5.8%49.2K317.9K-17.3K0.0038.21N/AN/A007337
2012-12-18$1618.40$1760.0033.5%9.6%24.2%18.0%32.8%-8.2%10.9%48.3K1.9M-14.3K0.0833.85N/AN/A207337
2012-12-19$1642.40$1760.0038.8%11.1%24.7%36.0%37.6%-4.9%4.2%46.4K1.4M-15.2K0.1622.98N/AN/A107437
2012-12-20$1620.00$1760.0033.4%9.6%24.8%20.2%31.5%-6.7%9.5%49.2K1.9M-13.8K0.1131.95N/AN/A207336
2012-12-21$1654.40$1760.0037.9%10.9%24.9%33.5%33.3%-8.6%3.0%-3.0K1.4M-14.5K0.4992.64N/AN/A217236
2012-12-24$1678.40$1760.0036.3%10.4%24.6%28.8%36.1%-6.6%1.2%29.7K39.0K-15.4K0.3515.67N/AN/A115026
2012-12-26$1688.80$1760.0035.9%10.3%23.8%27.5%31.9%-6.6%3.0%31.1K-51.5K-15.3K0.0199.67N/AN/A305127
2012-12-27$1696.80$1760.0037.6%10.8%23.0%32.6%34.7%-5.9%1.0%35.1K-215.1K-15.7K0.0021.92N/AN/A505227
2012-12-28$1752.80$1760.0044.0%12.6%25.8%51.2%44.3%-9.1%-1.9%50.9K-1.5M-16.9K0.0183.28N/AN/A1605627
2012-12-31$1683.20$1680.0037.8%10.8%29.7%33.0%39.0%-8.6%1.6%104.3K-1.5M-15.8K0.5112.15N/AN/A216727