DUG Options History — April 2013

In April 2013, DUG traded between $1341.60 and $1515.20. ATM implied volatility averaged 34.2%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.5% (HV 20d: 32.7%). Max pain ranged from $1280.00 to $1520.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2013-04-15: Highest Volume — 29 contracts
  • 2013-04-15: Largest IV spike — 40.7% change
  • 2013-04-15: Highest IV Rank — 64.8%
  • 2013-04-15: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1409.49$1341.60$1515.20$1347.20$1356.80
Max Pain$1323.64$1280.00$1520.00$1520.00$1280.00
ATM IV34.2%28.0%45.5%30.6%30.7%
Expected Move9.9%8.0%13.1%8.8%8.8%
HV 20d32.7%20.2%42.2%20.2%42.1%
HV 60d29.9%25.6%33.7%25.6%33.1%
IV Rank38.7%24.3%64.8%30.1%30.4%
IV Percentile37.4%7.9%85.7%17.5%19.8%
Term Structure0.7%-4.5%3.6%1.5%1.6%
VWIV33.6%25.7%43.1%33.9%34.8%
Skew 25d-9.6%-15.1%-5.4%-7.2%-15.1%
Skew 10d-18.8%-26.6%-5.4%-17.9%-23.8%
Call IV 25d39.2%33.3%47.8%33.3%34.9%
Put IV 25d29.6%19.8%38.9%26.1%19.8%
Bid-Ask Spread %17.9212.7124.1917.1118.21
Gamma HHI0.250.210.290.220.28
Net GEX266.2K137.0K364.9K137.0K348.5K
Net DEX-4.0M-8.0M-7.1K-7.1K-3.8M
Net VEX-18.4K-21.2K-15.7K-15.9K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.250.000.00
Total Volume7.36402903
Total OI142.409114179127132

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$1347.20$1520.0030.6%8.8%20.2%30.1%33.9%-7.2%1.5%137.0K-7.1K-15.9K0.0017.11N/AN/A009136
2013-04-02$1364.00$1520.0028.0%8.0%20.6%24.3%27.2%-6.7%3.6%142.2K-283.7K-15.7K0.1916.71N/AN/A109136
2013-04-03$1410.40$1520.0035.4%10.2%23.5%41.4%32.8%-8.4%-0.5%159.6K-1.6M-16.2K0.3414.68N/AN/A319136
2013-04-04$1412.80$1520.0036.4%10.4%23.5%43.6%34.2%-7.4%-1.8%166.5K-1.8M-16.8K0.0212.71N/AN/A909337
2013-04-05$1411.20$1280.0035.7%9.8%23.3%42.1%32.4%-7.7%1.2%198.6K-2.4M-17.6K0.0218.32N/AN/A7010137
2013-04-08$1391.20$1280.0029.7%9.3%23.6%28.1%34.5%-8.6%3.2%208.7K-2.3M-17.5K0.0221.39N/AN/A11010737
2013-04-09$1368.00$1280.0031.6%9.2%24.4%32.4%29.3%-8.8%1.6%231.1K-2.1M-18.5K0.0720.30N/AN/A5011737
2013-04-10$1353.60$1280.0030.0%9.2%24.6%28.8%32.0%-9.1%1.5%209.8K-1.5M-17.3K0.0017.19N/AN/A5011537
2013-04-11$1341.60$1280.0031.8%9.1%24.8%32.9%31.8%-9.3%2.1%209.6K-994.8K-17.1K0.0514.84N/AN/A2011637
2013-04-12$1379.20$1280.0032.4%9.3%24.8%34.3%33.8%-6.3%2.4%228.9K-2.6M-18.0K0.0621.46N/AN/A5011837
2013-04-15$1492.00$1280.0045.5%13.1%36.9%64.8%43.1%-8.9%-4.5%320.0K-7.1M-16.0K1.2519.18N/AN/A131612137
2013-04-16$1455.20$1280.0034.9%10.0%38.2%40.1%35.6%-5.4%1.8%364.9K-6.1M-18.9K0.0420.07N/AN/A6012842
2013-04-17$1515.20$1280.0040.7%11.7%40.0%53.7%42.0%-10.4%-1.2%324.8K-8.0M-18.4K0.5119.95N/AN/A12612942
2013-04-18$1492.00$1280.0042.9%12.3%40.2%58.8%40.8%-10.6%-2.5%342.9K-7.5M-19.5K0.6614.68N/AN/A5313243
2013-04-19$1492.80$1280.0039.9%11.4%40.0%51.7%39.7%-8.9%-1.3%310.2K-7.8M-19.0K0.0914.90N/AN/A4013544
2013-04-22$1457.60$1280.0033.4%9.6%40.5%36.6%35.9%-8.0%1.3%277.5K-6.8M-18.8K0.0915.39N/AN/A409618
2013-04-23$1426.40$1280.0035.1%10.1%41.5%40.7%33.1%-11.7%0.1%312.7K-6.0M-19.7K0.0620.00N/AN/A919818
2013-04-24$1388.80$1280.0031.1%8.9%41.9%31.4%28.9%-13.9%1.1%350.7K-4.8M-19.6K0.3624.19N/AN/A7310419
2013-04-25$1392.80$1280.0032.2%9.2%41.7%33.8%25.7%-9.8%1.4%335.8K-5.0M-21.1K0.1015.93N/AN/A10110621
2013-04-26$1392.00$1280.0032.6%9.3%41.7%34.8%32.5%-13.1%1.7%328.0K-4.9M-21.2K0.0018.68N/AN/A7010722
2013-04-29$1368.00$1280.0032.9%9.4%42.2%35.6%26.0%-14.8%0.6%347.1K-4.2M-20.8K0.4518.25N/AN/A2111022
2013-04-30$1356.80$1280.0030.7%8.8%42.1%30.4%34.8%-15.1%1.6%348.5K-3.8M-20.3K0.0018.21N/AN/A3011022