DUG Options History — March 2013

In March 2013, DUG traded between $1333.60 and $1423.20. ATM implied volatility averaged 28.5%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.4% (HV 20d: 30.9%). Max pain ranged from $1280.00 to $1760.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-03-15: Highest Volume — 14 contracts
  • 2013-03-12: Largest IV spike — 38.0% change
  • 2013-03-04: Highest IV Rank — 40.9%
  • 2013-03-04: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1371.60$1333.60$1423.20$1413.60$1344.80
Max Pain$1664.00$1280.00$1760.00$1280.00$1520.00
ATM IV28.5%19.9%35.2%33.3%29.0%
Expected Move8.7%8.2%10.1%9.6%8.3%
HV 20d30.9%19.9%34.9%34.9%20.3%
HV 60d29.5%27.4%30.0%30.0%27.4%
IV Rank25.4%5.3%40.9%36.5%26.6%
IV Percentile12.1%0.4%39.7%24.6%12.7%
Term Structure2.9%0.4%4.9%2.2%3.7%
VWIV30.6%26.7%37.5%37.5%30.1%
Skew 25d-7.1%-9.4%-5.0%-9.4%-5.0%
Skew 10d-15.9%-25.3%0.8%-22.9%-14.2%
Call IV 25d34.7%29.9%41.3%37.3%31.5%
Put IV 25d27.6%22.4%32.4%27.9%26.5%
Bid-Ask Spread %35.5212.8895.5695.5614.25
Gamma HHI0.210.160.230.170.22
Net GEX101.7K39.5K133.2K112.0K131.5K
Net DEX421.2K-698.6K1.5M-504.2K92.0K
Net VEX-13.7K-16.3K-10.9K-14.8K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.000.800.100.30
Total Volume4.101411
Total OI105.759812698126

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$1413.60$1280.0033.3%9.6%34.9%36.5%37.5%-9.4%2.2%112.0K-504.2K-14.8K0.1095.56N/AN/A107127
2013-03-04$1423.20$1760.0035.2%10.1%34.5%40.9%33.2%-8.8%2.1%116.6K-698.6K-15.0K0.0819.37N/AN/A207127
2013-03-05$1401.60$1760.0032.7%9.9%34.4%35.0%30.8%-9.2%2.3%124.7K-343.4K-14.3K0.0226.23N/AN/A207327
2013-03-06$1396.80$1760.0027.7%8.8%33.9%23.6%35.5%-7.5%3.8%129.3K-274.1K-13.9K0.0072.51N/AN/A107427
2013-03-07$1386.40$1760.0025.2%8.9%34.0%17.7%29.8%-7.8%2.5%130.1K-26.9K-13.0K0.3244.83N/AN/A007427
2013-03-08$1371.20$1760.0022.4%8.6%34.1%11.3%0.0%-8.3%3.4%127.8K217.4K-12.6K0.0012.88N/AN/A607427
2013-03-11$1372.80$1760.0019.9%8.2%33.5%5.3%32.4%-6.1%4.9%133.2K369.2K-12.4K0.3788.22N/AN/A107427
2013-03-12$1368.00$1760.0027.4%8.7%33.2%22.8%31.3%-5.7%4.1%127.4K547.5K-12.1K0.7814.38N/AN/A217328
2013-03-13$1370.40$1760.0022.0%8.3%33.2%10.3%30.5%-5.3%4.0%119.5K536.0K-11.9K0.0516.02N/AN/A407328
2013-03-14$1334.40$1680.0028.5%8.2%34.4%25.3%28.0%-7.4%3.0%111.4K1.2M-10.9K0.7918.30N/AN/A657628
2013-03-15$1336.80$1680.0028.9%8.3%34.1%26.2%29.4%-5.1%4.7%85.9K1.5M-11.3K0.8014.17N/AN/A867632
2013-03-18$1359.20$1680.0030.6%8.8%33.7%30.3%32.2%-7.2%1.5%39.5K1.3M-13.2K0.0354.45N/AN/A406634
2013-03-19$1386.40$1680.0031.5%9.0%33.4%32.2%30.7%-7.5%0.4%54.6K635.4K-14.5K0.1315.63N/AN/A416834
2013-03-20$1368.00$1600.0028.9%8.3%30.6%26.3%27.0%-7.1%2.9%60.4K766.7K-14.4K0.2822.56N/AN/A107135
2013-03-21$1386.40$1680.0030.6%8.8%30.6%30.2%29.4%-5.6%2.3%65.6K530.4K-14.7K0.0060.88N/AN/A207135
2013-03-22$1362.40$1600.0028.7%8.2%30.0%25.8%27.4%-7.5%2.4%67.7K854.8K-13.9K0.0715.19N/AN/A717335
2013-03-25$1372.80$1600.0030.1%8.6%22.4%29.0%29.2%-9.3%3.5%91.3K326.1K-15.1K0.4124.05N/AN/A427835
2013-03-26$1343.20$1600.0029.3%8.4%22.7%27.1%31.0%-5.2%2.6%90.0K764.9K-14.5K0.0261.81N/AN/A608136
2013-03-27$1333.60$1600.0028.5%8.2%19.9%25.3%26.7%-7.1%2.4%115.2K613.8K-15.4K0.0219.16N/AN/A408736
2013-03-28$1344.80$1520.0029.0%8.3%20.3%26.6%30.1%-5.0%3.7%131.5K92.0K-16.3K0.3014.25N/AN/A109036