DUG Options History — July 2013

In July 2013, DUG traded between $1152.40 and $1303.60. ATM implied volatility averaged 30.6%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.1% (HV 20d: 29.5%). Max pain ranged from $1140.00 to $1320.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-07-08: Highest Volume — 54 contracts
  • 2013-07-05: Largest IV drop — 13.7% change
  • 2013-07-03: Highest IV Rank — 63.2%
  • 2013-07-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1211.90$1152.40$1303.60$1303.60$1186.40
Max Pain$1216.36$1140.00$1320.00$1320.00$1140.00
ATM IV30.6%26.8%36.2%36.0%28.1%
Expected Move9.0%7.7%10.4%10.3%8.1%
HV 20d29.5%19.0%38.4%38.4%22.0%
HV 60d33.3%29.9%37.4%37.1%29.9%
IV Rank44.1%31.3%63.2%58.7%35.7%
IV Percentile25.2%6.3%59.9%59.1%10.7%
Term Structure3.6%0.2%6.1%1.1%5.0%
VWIV31.4%27.6%35.7%34.6%29.9%
Skew 25d-6.5%-9.3%-2.2%-8.3%-6.7%
Skew 10d-13.5%-24.5%1.1%-12.7%0.3%
Call IV 25d35.5%29.8%41.6%41.6%34.2%
Put IV 25d29.0%24.4%33.3%33.3%27.5%
Bid-Ask Spread %85.2544.18100.8890.6699.19
Gamma HHI0.150.090.260.180.09
Net GEX50.5K-29.4K111.2K97.9K73.7K
Net DEX2.1M-700.4K4.8M-700.4K552.5K
Net VEX-16.2K-18.5K-12.7K-16.0K-18.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.023.972.000.04
Total Volume10.27305407
Total OI126.591102161102120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$1303.60$1320.0036.0%10.3%38.4%58.7%0.0%-8.3%1.1%97.9K-700.4K-16.0K2.0090.66N/AN/A006240
2013-07-02$1297.20$1320.0034.9%10.0%37.7%59.0%34.6%-9.3%2.8%104.0K-495.0K-15.7K1.6489.18N/AN/A226240
2013-07-03$1296.00$1320.0036.2%10.4%37.4%63.2%31.6%-9.0%0.2%101.5K-407.4K-16.3K0.3393.29N/AN/A006342
2013-07-05$1266.40$1300.0031.2%10.2%37.5%46.3%34.4%-8.8%3.4%108.6K710.9K-14.7K0.7444.18N/AN/A116342
2013-07-08$1248.80$1300.0029.4%9.8%37.5%40.3%35.7%-7.6%4.3%111.2K1.6M-12.7K2.9860.55N/AN/A14406442
2013-07-09$1221.80$1280.0029.0%9.3%37.4%38.9%32.2%-7.8%6.1%-6.3K3.9M-16.0K0.0362.89N/AN/A1617567
2013-07-10$1235.00$1200.0029.2%9.7%35.6%39.4%33.6%-7.3%4.2%7.6K3.4M-17.4K0.0269.39N/AN/A707867
2013-07-11$1212.60$1200.0032.7%9.4%35.0%51.5%30.5%-7.1%4.4%-6854.4M-16.0K0.6375.71N/AN/A328468
2013-07-12$1204.80$1200.0031.1%8.9%33.0%46.1%30.4%-6.4%5.6%25.6K4.2M-16.0K0.5873.87N/AN/A328669
2013-07-15$1206.00$1200.0031.1%8.9%32.2%46.0%33.1%-6.4%3.9%20.3K4.5M-15.3K0.0677.86N/AN/A3028970
2013-07-16$1219.80$1200.0032.1%9.2%31.3%49.3%30.0%-5.9%6.1%-29.4K3.9M-17.1K0.0987.90N/AN/A618472
2013-07-17$1209.40$1200.0031.1%8.9%31.2%46.0%31.7%-4.4%2.3%44.3K4.0M-16.8K0.3596.67N/AN/A318972
2013-07-18$1184.60$1200.0029.7%8.5%31.1%41.2%31.5%-7.3%5.0%98.4K4.3M-15.3K3.9794.58N/AN/A4158968
2013-07-19$1152.40$1200.0028.0%8.0%23.0%35.3%27.7%-9.1%5.9%47.4K4.8M-14.1K1.5798.50N/AN/A7118967
2013-07-22$1156.80$1200.0028.5%8.2%23.3%37.2%27.7%-2.2%2.1%25.4K1.5M-15.0K1.05100.88N/AN/A336141
2013-07-23$1152.60$1160.0028.2%8.1%19.0%36.1%35.6%-4.6%2.5%28.2K1.6M-15.2K0.0394.76N/AN/A1416343
2013-07-24$1177.20$1160.0031.1%8.9%20.9%45.8%31.0%-5.9%1.8%35.4K1.1M-17.0K0.0789.23N/AN/A406243
2013-07-25$1166.40$1160.0028.6%8.2%20.7%37.4%31.2%-3.7%3.3%42.2K1.1M-16.9K1.2192.42N/AN/A226543
2013-07-26$1174.00$1160.0026.8%7.7%21.1%31.3%29.2%-4.9%3.3%45.3K962.3K-17.8K0.1193.95N/AN/A616645
2013-07-29$1193.20$1160.0030.3%8.7%22.1%43.1%30.6%-6.1%2.3%64.9K661.0K-18.0K0.3095.38N/AN/A316945
2013-07-30$1196.80$1180.0029.8%8.5%21.9%41.4%27.6%-5.2%2.5%65.8K562.8K-18.4K0.1794.47N/AN/A417046
2013-07-31$1186.40$1140.0028.1%8.1%22.0%35.7%29.9%-6.7%5.0%73.7K552.5K-18.5K0.0499.19N/AN/A707347