DUG Options History — May 2013

In May 2013, DUG traded between $1199.20 and $1396.80. ATM implied volatility averaged 31.6%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.6% (HV 20d: 34.2%). Max pain ranged from $1120.00 to $1440.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2013-05-24: Highest Volume — 14 contracts
  • 2013-05-24: Largest IV spike — 26.0% change
  • 2013-05-31: Highest IV Rank — 47.7%
  • 2013-05-31: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1264.87$1199.20$1396.80$1396.80$1277.60
Max Pain$1290.91$1120.00$1440.00$1280.00$1120.00
ATM IV31.6%26.2%38.1%34.2%38.1%
Expected Move9.2%7.5%10.9%9.8%10.9%
HV 20d34.2%25.7%44.6%41.7%31.0%
HV 60d33.3%31.5%34.6%33.4%32.8%
IV Rank32.5%20.0%47.7%38.6%47.7%
IV Percentile29.1%4.4%72.2%39.3%72.2%
Term Structure1.5%-1.0%5.3%-1.0%-0.3%
VWIV32.0%20.8%38.5%34.5%38.5%
Skew 25d-10.6%-16.3%-5.0%-11.8%-7.6%
Skew 10d-16.8%-26.6%2.1%-12.9%-16.7%
Call IV 25d38.0%34.7%42.7%39.7%42.7%
Put IV 25d27.4%20.0%35.1%27.9%35.1%
Bid-Ask Spread %20.1915.0634.8422.1918.12
Gamma HHI0.310.180.610.260.21
Net GEX238.9K91.1K393.6K357.3K141.1K
Net DEX-1.5M-5.2M232.3K-5.2M-2.9M
Net VEX-17.4K-21.4K-13.3K-21.4K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.220.020.56
Total Volume4.59111432
Total OI131.09195156132120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$1396.80$1280.0034.2%9.8%41.7%38.6%34.5%-11.8%-1.0%357.3K-5.2M-21.4K0.0222.19N/AN/A3011022
2013-05-02$1362.40$1280.0032.5%9.3%42.5%34.6%20.8%-15.0%2.0%367.8K-3.9M-20.5K0.0016.05N/AN/A7011222
2013-05-03$1309.60$1280.0026.3%7.5%44.6%20.1%35.3%-12.1%5.3%332.5K-2.2M-19.4K0.0016.76N/AN/A4011722
2013-05-06$1293.60$1440.0029.3%9.2%44.5%27.1%32.8%-9.2%1.0%318.0K-1.7M-17.8K0.0917.15N/AN/A5111822
2013-05-07$1274.40$1360.0030.4%9.2%44.5%29.7%32.1%-10.0%0.1%279.9K-1.2M-17.7K0.1925.72N/AN/A5112122
2013-05-08$1269.60$1360.0030.3%9.3%44.4%29.4%35.6%-10.7%0.8%274.6K-1.1M-17.7K0.0718.09N/AN/A2012423
2013-05-09$1273.60$1360.0031.1%9.5%44.4%31.3%34.1%-11.4%0.2%295.6K-1.3M-18.1K0.0120.10N/AN/A6012523
2013-05-10$1287.20$1360.0027.4%9.3%43.3%22.8%36.3%-8.4%0.3%393.6K-1.9M-18.3K0.0019.70N/AN/A7012923
2013-05-13$1288.00$1360.0031.3%9.4%30.7%31.7%35.9%-16.3%0.8%387.2K-1.8M-17.4K0.1026.35N/AN/A3012823
2013-05-14$1253.60$1360.0034.9%9.5%30.8%40.2%33.1%-14.1%0.9%263.2K-502.0K-15.6K0.0417.47N/AN/A5013024
2013-05-15$1260.80$1360.0032.4%9.5%25.7%34.3%33.2%-11.6%2.3%310.6K-825.4K-16.3K1.2216.83N/AN/A1113224
2013-05-16$1272.80$1360.0033.0%9.5%26.4%35.8%32.6%-7.8%3.3%372.1K-1.1M-16.8K0.0421.98N/AN/A2013124
2013-05-17$1232.80$1360.0026.2%7.5%27.5%20.0%31.1%-14.8%4.9%216.1K-411.6K-16.1K0.1334.84N/AN/A4113224
2013-05-20$1199.20$1360.0027.1%7.8%27.8%22.1%28.0%-5.0%3.2%91.1K232.3K-13.3K0.2220.69N/AN/A417322
2013-05-21$1200.80$1280.0031.7%9.1%27.7%32.8%35.7%-6.3%0.3%98.8K108.6K-14.0K0.1225.55N/AN/A207523
2013-05-22$1231.20$1280.0034.4%9.8%29.3%38.9%32.7%-5.5%0.1%104.2K-476.9K-15.9K0.3315.95N/AN/A527723
2013-05-23$1233.60$1280.0028.4%8.1%29.2%25.1%22.8%-15.8%3.7%109.9K-648.2K-16.5K0.0017.88N/AN/A607924
2013-05-24$1243.20$1200.0035.8%10.3%29.6%42.2%24.5%-12.1%0.7%117.0K-940.0K-16.7K0.0216.07N/AN/A1408124
2013-05-28$1218.40$1120.0034.4%9.9%29.7%39.1%31.9%-7.2%0.9%134.8K-1.6M-17.9K0.0417.90N/AN/A309324
2013-05-29$1220.80$1120.0032.4%9.3%29.9%34.3%30.6%-7.2%1.2%143.6K-1.6M-17.5K0.0623.67N/AN/A309524
2013-05-30$1227.20$1120.0033.5%9.6%27.3%36.8%0.0%-14.0%2.4%145.4K-1.9M-18.4K0.3015.06N/AN/A109624
2013-05-31$1277.60$1120.0038.1%10.9%31.0%47.7%38.5%-7.6%-0.3%141.1K-2.9M-19.7K0.5618.12N/AN/A119624