DUG Options History — January 2013

In January 2013, DUG traded between $1400.00 and $1600.80. ATM implied volatility averaged 27.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 4.1% (HV 20d: 31.3%). Max pain ranged from $1440.00 to $1760.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-01-15: Highest Volume — 20 contracts
  • 2013-01-30: Largest IV spike — 63.8% change
  • 2013-01-31: Highest IV Rank — 29.9%
  • 2013-01-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1517.26$1400.00$1600.80$1600.80$1424.80
Max Pain$1542.86$1440.00$1760.00$1680.00$1440.00
ATM IV27.2%17.6%32.1%28.3%30.5%
Expected Move8.1%5.0%9.4%8.1%8.7%
HV 20d31.3%19.3%35.1%34.1%19.3%
HV 60d32.8%30.8%34.5%34.3%30.8%
IV Rank8.3%0.0%29.9%5.2%29.9%
IV Percentile2.9%0.0%9.5%0.8%9.5%
Term Structure4.4%-1.0%11.5%6.3%1.6%
VWIV29.7%23.4%35.3%35.3%31.2%
Skew 25d-7.9%-16.0%4.4%-16.0%-2.5%
Skew 10d-11.4%-20.0%3.1%-20.0%1.9%
Call IV 25d31.4%17.6%37.1%33.8%32.1%
Put IV 25d23.6%15.6%30.7%17.8%29.7%
Bid-Ask Spread %45.8022.8297.3890.6688.11
Gamma HHI0.230.150.510.210.20
Net GEX90.8K13.8K144.4K136.1K48.9K
Net DEX1.7M597.7K3.6M597.7K1.3M
Net VEX-9.5K-12.6K-6.1K-12.6K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.008.290.120.08
Total Volume3.66702091
Total OI83.619561079468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$1600.80$1680.0028.3%8.1%34.1%5.2%35.3%-16.0%6.3%136.1K597.7K-12.6K0.1290.66N/AN/A816727
2013-01-03$1600.80$1760.0027.6%7.9%33.9%3.4%23.4%-12.9%5.0%116.8K644.8K-12.4K0.0290.77N/AN/A906628
2013-01-04$1568.00$1600.0029.0%9.4%34.1%7.3%30.7%-8.2%4.4%113.0K1.6M-10.6K0.0664.23N/AN/A406528
2013-01-07$1589.60$1600.0029.1%9.4%34.7%7.6%0.0%-6.4%3.9%118.8K1.5M-10.5K0.0030.03N/AN/A106528
2013-01-08$1595.20$1600.0026.1%9.3%34.7%0.0%35.3%-4.6%2.9%126.2K1.5M-10.3K0.1830.12N/AN/A206528
2013-01-09$1600.00$1600.0026.5%9.0%34.7%1.3%33.7%-8.1%5.0%130.8K1.4M-10.5K0.0232.30N/AN/A206528
2013-01-10$1568.80$1600.0032.1%9.2%35.1%17.3%33.5%-7.5%4.4%134.8K1.8M-9.3K0.0622.82N/AN/A306728
2013-01-11$1562.40$1520.0031.6%9.1%35.0%16.2%0.0%-6.3%3.5%132.5K1.9M-9.3K0.0033.81N/AN/A106729
2013-01-14$1562.40$1520.0032.0%9.2%34.1%17.1%32.3%-6.9%3.8%139.2K1.7M-8.6K0.0537.57N/AN/A106829
2013-01-15$1547.20$1520.0025.8%7.4%33.8%0.0%29.5%-12.4%7.2%144.4K2.0M-8.1K8.2969.17N/AN/A2186929
2013-01-16$1539.20$1520.0026.6%7.6%33.4%2.3%27.7%-13.3%5.2%124.5K3.0M-10.0K0.6942.11N/AN/A117037
2013-01-17$1517.60$1520.0028.6%8.2%31.5%8.0%33.4%-8.2%5.5%137.7K3.1M-10.7K0.9629.77N/AN/A216837
2013-01-18$1490.40$1520.0027.5%7.9%31.2%4.9%28.3%-7.5%4.6%85.7K3.6M-9.4K2.0028.90N/AN/A116938
2013-01-22$1464.80$1520.0024.6%7.0%31.3%0.0%26.4%-9.6%-1.0%13.8K1.9M-6.1K0.2528.39N/AN/A203620
2013-01-23$1473.60$1520.0022.3%6.4%30.1%0.0%27.4%-8.9%4.2%23.7K1.5M-8.4K0.1923.35N/AN/A103620
2013-01-24$1462.40$1520.0024.8%7.1%29.2%6.5%25.2%-5.0%4.4%21.5K1.6M-7.9K0.0726.66N/AN/A613720
2013-01-25$1436.00$1520.0025.4%7.3%29.0%8.0%25.3%-11.7%4.4%39.1K1.4M-9.1K0.2623.70N/AN/A104221
2013-01-28$1442.40$1440.0027.4%7.8%29.0%13.2%27.2%4.4%2.6%44.6K1.3M-9.4K0.6597.38N/AN/A004221
2013-01-29$1400.00$1440.0017.6%5.0%25.7%0.0%31.1%-13.3%11.5%32.0K1.6M-8.1K0.2428.09N/AN/A314221
2013-01-30$1416.00$1440.0028.8%8.3%24.4%26.0%28.4%-0.2%3.6%42.8K1.4M-9.1K0.2243.88N/AN/A204421
2013-01-31$1424.80$1440.0030.5%8.7%19.3%29.9%31.2%-2.5%1.6%48.9K1.3M-9.8K0.0888.11N/AN/A104622