DUG Options History — August 2013

In August 2013, DUG traded between $1157.20 and $1269.00. ATM implied volatility averaged 30.8%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 9.0% (HV 20d: 21.8%). Max pain ranged from $1140.00 to $1220.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2013-08-08: Highest Volume — 33 contracts
  • 2013-08-15: Largest IV spike — 31.7% change
  • 2013-08-20: Highest IV Rank — 67.4%
  • 2013-08-20: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1211.33$1157.20$1269.00$1157.20$1221.20
Max Pain$1213.64$1140.00$1220.00$1140.00$1220.00
ATM IV30.8%24.9%37.4%28.9%35.3%
Expected Move9.2%7.4%10.7%8.3%10.1%
HV 20d21.8%17.1%25.7%23.1%24.6%
HV 60d29.5%28.4%30.3%30.2%28.8%
IV Rank44.9%25.0%67.4%38.4%60.2%
IV Percentile34.3%2.8%80.2%16.3%66.7%
Term Structure1.9%-1.5%5.1%2.1%2.0%
VWIV32.7%25.3%38.3%25.4%36.5%
Skew 25d-7.2%-10.0%-5.0%-5.0%-7.3%
Skew 10d-14.4%-17.5%-12.2%-15.5%-13.0%
Call IV 25d36.1%31.1%40.7%32.1%40.7%
Put IV 25d28.9%22.9%33.4%27.1%33.4%
Bid-Ask Spread %73.4954.8497.4896.7574.11
Gamma HHI0.120.080.170.080.12
Net GEX123.4K60.4K207.5K60.4K107.0K
Net DEX-1.1M-3.1M1.0M1.0M-1.6M
Net VEX-24.0K-31.2K-18.2K-18.4K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.171.390.23
Total Volume10.182133210
Total OI173.864126212126212

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$1157.20$1140.0028.9%8.3%23.1%38.4%25.4%-5.0%2.1%60.4K1.0M-18.4K1.3996.75N/AN/A117947
2013-08-02$1168.00$1160.0025.8%7.4%22.7%27.9%25.3%-8.2%5.1%68.4K831.5K-19.3K0.0697.48N/AN/A208048
2013-08-05$1172.80$1220.0027.4%8.8%22.6%33.2%28.6%-5.7%1.7%83.2K747.8K-18.2K3.1758.85N/AN/A018148
2013-08-06$1187.00$1220.0027.2%9.0%22.0%32.8%35.6%-7.5%1.0%90.6K359.3K-19.3K0.1757.51N/AN/A418149
2013-08-07$1196.80$1220.0027.3%9.1%21.9%33.1%34.4%-7.1%1.2%117.6K-153.7K-19.5K0.1654.84N/AN/A618550
2013-08-08$1183.60$1220.0025.9%8.7%21.3%28.3%35.9%-7.8%1.4%128.2K47.4K-19.3K0.0157.59N/AN/A3308950
2013-08-09$1191.40$1220.0026.6%9.0%21.4%30.5%33.3%-6.8%1.7%201.4K-900.7K-22.6K0.0955.60N/AN/A2012150
2013-08-12$1203.00$1220.0029.7%8.9%21.7%41.3%28.0%-7.2%1.5%205.0K-1.4M-22.3K0.2173.24N/AN/A4112150
2013-08-13$1197.40$1220.0028.3%8.9%21.3%36.6%30.2%-6.3%2.3%207.5K-1.5M-21.4K1.6368.92N/AN/A81312450
2013-08-14$1207.80$1220.0024.9%8.6%21.3%25.0%28.0%-5.3%1.3%171.8K-738.3K-23.1K0.4377.86N/AN/A2112061
2013-08-15$1220.80$1220.0032.9%9.4%20.2%51.9%36.1%-7.2%1.5%192.7K-1.4M-22.9K0.2071.18N/AN/A8211861
2013-08-16$1231.20$1220.0032.8%9.4%17.1%51.8%34.3%-8.1%1.5%179.4K-2.3M-24.1K0.2564.23N/AN/A19512461
2013-08-19$1268.20$1220.0032.7%9.4%19.5%51.4%32.5%-7.9%2.2%106.0K-1.9M-24.4K0.7171.26N/AN/A13910757
2013-08-20$1255.00$1220.0037.4%10.7%20.0%67.4%33.0%-10.0%5.0%100.2K-1.9M-26.0K0.3486.10N/AN/A10411865
2013-08-21$1269.00$1220.0033.9%9.7%19.2%55.4%37.8%-8.8%-1.5%122.2K-3.1M-29.3K0.1171.94N/AN/A11112768
2013-08-22$1235.00$1220.0035.5%10.2%21.7%60.9%33.9%-6.8%1.7%103.4K-2.4M-29.0K0.2486.67N/AN/A6213369
2013-08-23$1215.20$1220.0029.7%8.5%22.7%41.2%29.9%-5.7%3.9%89.0K-1.7M-27.7K0.0881.81N/AN/A1013470
2013-08-26$1221.00$1220.0031.4%9.0%22.1%47.1%34.8%-7.4%2.0%95.3K-1.7M-27.0K0.0081.56N/AN/A9013470
2013-08-27$1236.20$1220.0035.3%10.1%22.4%60.2%38.3%-8.8%0.6%104.7K-1.7M-27.2K0.0481.14N/AN/A6013070
2013-08-28$1194.00$1220.0033.3%9.5%25.7%53.4%33.5%-5.2%1.1%65.9K-779.3K-26.2K0.4675.87N/AN/A7313370
2013-08-29$1217.40$1220.0035.3%10.1%24.7%60.3%33.5%-7.7%2.0%115.0K-1.6M-29.7K0.1872.28N/AN/A14313872
2013-08-30$1221.20$1220.0035.3%10.1%24.6%60.2%36.5%-7.3%2.0%107.0K-1.6M-31.2K0.2374.11N/AN/A8213874