DUG Options History — September 2013

In September 2013, DUG traded between $1110.40 and $1207.20. ATM implied volatility averaged 31.3%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.3% (HV 20d: 23.0%). Max pain ranged from $1200.00 to $1300.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2013-09-11: Highest Volume — 23 contracts
  • 2013-09-11: Largest IV drop — 13.6% change
  • 2013-09-03: Highest IV Rank — 64.1%
  • 2013-09-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1150.80$1110.40$1207.20$1207.20$1160.20
Max Pain$1228.00$1200.00$1300.00$1220.00$1200.00
ATM IV31.3%27.1%36.4%36.4%34.3%
Expected Move9.2%8.2%10.4%10.4%9.8%
HV 20d23.0%16.4%26.0%25.0%17.4%
HV 60d24.4%21.8%28.8%28.8%21.8%
IV Rank46.7%32.4%64.1%64.1%56.9%
IV Percentile37.9%8.7%75.4%75.4%63.9%
Term Structure3.3%0.1%9.9%0.1%1.3%
VWIV33.7%25.2%40.6%35.7%34.0%
Skew 25d-5.1%-10.1%3.5%-6.3%-7.1%
Skew 10d-6.5%-23.7%11.8%-13.3%-19.9%
Call IV 25d36.5%33.5%41.3%40.3%39.0%
Put IV 25d31.4%25.1%37.8%34.0%31.9%
Bid-Ask Spread %60.2242.2984.2082.5057.91
Gamma HHI0.120.080.140.130.10
Net GEX15.0K-46.0K93.4K93.4K20.5K
Net DEX697.5K-841.0K2.7M-841.0K-454.1K
Net VEX-26.7K-29.6K-24.8K-29.6K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.031.280.070.18
Total Volume6.85123138
Total OI229.75201264213207

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$1207.20$1220.0036.4%10.4%25.0%64.1%35.7%-6.3%0.1%93.4K-841.0K-29.6K0.0782.50N/AN/A12113875
2013-09-04$1192.00$1220.0033.1%9.5%25.2%52.7%31.8%-6.0%3.5%75.9K-266.0K-28.7K0.0384.20N/AN/A10014075
2013-09-05$1184.40$1220.0031.3%9.0%25.1%46.5%32.8%-4.5%3.7%69.6K-293.5K-28.2K0.0484.15N/AN/A6014775
2013-09-06$1181.80$1300.0032.1%9.9%24.8%49.5%36.8%-9.0%4.2%67.4K-257.8K-28.4K0.1143.90N/AN/A6114875
2013-09-09$1156.80$1260.0032.1%10.1%25.8%49.4%35.9%-7.9%2.3%57.0K453.7K-27.5K0.1146.25N/AN/A6115376
2013-09-10$1155.40$1240.0031.4%9.8%25.4%46.9%35.7%-7.0%4.4%53.7K527.0K-26.7K0.0545.12N/AN/A8015676
2013-09-11$1136.80$1220.0027.1%9.0%25.9%32.4%32.4%-10.1%5.7%40.1K1.1M-26.3K0.6553.97N/AN/A14916376
2013-09-12$1148.60$1240.0030.7%8.8%26.0%44.6%37.6%-7.0%3.8%14.1K1.1M-28.3K0.8242.29N/AN/A2216685
2013-09-13$1149.20$1240.0031.5%9.0%25.6%47.2%26.5%-6.9%5.2%-6.6K1.4M-28.3K0.1347.04N/AN/A4116585
2013-09-16$1148.80$1240.0031.6%9.1%25.2%47.6%30.8%-6.7%3.4%1581.3M-27.8K0.5846.27N/AN/A7416886
2013-09-17$1136.00$1240.0028.5%8.2%22.1%37.1%33.4%-1.6%3.7%-46.0K1.7M-27.0K0.1351.40N/AN/A1017087
2013-09-18$1110.40$1240.0030.7%8.8%22.9%44.5%25.2%-8.4%9.9%-37.6K2.7M-25.0K0.0982.27N/AN/A10117087
2013-09-19$1115.20$1220.0029.0%8.3%22.3%38.7%31.8%-5.3%4.4%-38.8K2.4M-25.8K0.2264.50N/AN/A1017687
2013-09-20$1131.60$1220.0031.9%9.1%22.1%48.5%40.6%3.5%4.0%-43.5K1.7M-25.2K0.8155.98N/AN/A4317787
2013-09-23$1142.80$1220.0030.2%8.7%22.2%42.8%32.6%-2.0%1.9%-2.8K198.8K-25.6K1.1060.08N/AN/A2212774
2013-09-24$1140.20$1220.0031.2%8.9%22.0%46.3%32.2%-0.0%0.8%-7.4K421.2K-25.4K0.0664.04N/AN/A3012775
2013-09-25$1139.00$1200.0031.0%8.9%21.3%45.6%37.8%-0.4%2.0%-2.0K426.9K-25.2K1.2566.09N/AN/A1112975
2013-09-26$1135.80$1200.0031.1%8.9%17.9%45.9%35.3%-6.8%0.5%-6.8K443.9K-24.8K1.2865.06N/AN/A1112976
2013-09-27$1143.80$1200.0031.2%9.0%16.4%46.4%34.8%-2.8%2.1%75196.9K-25.4K1.0061.28N/AN/A2213077
2013-09-30$1160.20$1200.0034.3%9.8%17.4%56.9%34.0%-7.1%1.3%20.5K-454.1K-25.9K0.1857.91N/AN/A7113077