DUG Options History — October 2013

In October 2013, DUG traded between $1043.60 and $1187.80. ATM implied volatility averaged 30.6%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.1% (HV 20d: 24.5%). Max pain ranged from $1080.00 to $1220.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2013-10-14: Highest Volume — 57 contracts
  • 2013-10-10: Largest IV drop — 13.2% change
  • 2013-10-08: Highest IV Rank — 73.8%
  • 2013-10-09: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1102.21$1043.60$1187.80$1143.00$1060.60
Max Pain$1125.22$1080.00$1220.00$1200.00$1080.00
ATM IV30.6%25.3%39.3%32.0%25.9%
Expected Move8.8%7.2%11.4%9.2%7.4%
HV 20d24.5%17.5%28.7%17.7%26.7%
HV 60d23.1%21.5%24.2%21.8%23.7%
IV Rank44.2%26.1%73.8%49.0%28.2%
IV Percentile35.7%3.6%88.9%46.4%5.2%
Term Structure2.3%-1.1%7.1%2.1%3.2%
VWIV32.2%25.1%43.3%32.4%30.3%
Skew 25d-7.9%-12.1%-5.5%-7.1%-5.5%
Skew 10d-16.2%-23.2%5.8%-19.4%-11.1%
Call IV 25d36.0%29.8%48.0%37.6%29.8%
Put IV 25d28.1%22.7%35.9%30.4%24.3%
Bid-Ask Spread %55.9926.7474.7759.4345.00
Gamma HHI0.100.080.160.110.09
Net GEX-46.5K-225.8K184.8K4.5K-121.3K
Net DEX799.9K-3.8M4.9M173.8K848.2K
Net VEX-32.2K-36.6K-24.9K-24.9K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.008.208.200.25
Total Volume21.565157113
Total OI290.696212390212303

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$1143.00$1200.0032.0%9.2%17.7%49.0%32.4%-7.1%2.1%4.5K173.8K-24.9K8.2059.43N/AN/A11013379
2013-10-02$1131.00$1220.0032.2%9.2%17.5%49.8%35.3%-5.8%1.8%-37.0K776.4K-26.2K1.2265.38N/AN/A141713188
2013-10-03$1156.60$1220.0034.5%9.9%19.5%57.5%34.9%-7.3%0.5%-57.9K491.3K-29.5K0.0463.38N/AN/A141140105
2013-10-04$1137.60$1160.0033.0%9.9%20.3%52.5%34.5%-8.1%1.2%-56.3K1.4M-29.5K0.1154.07N/AN/A61143105
2013-10-07$1154.20$1140.0036.9%10.7%19.7%65.8%39.8%-8.7%-0.2%-16.1K255.2K-29.5K0.9252.79N/AN/A1615149105
2013-10-08$1179.80$1140.0039.3%11.4%21.2%73.8%43.3%-10.7%-1.1%61.0K-2.0M-32.2K0.0554.16N/AN/A282162110
2013-10-09$1187.80$1140.0038.8%11.4%20.3%72.2%42.0%-12.1%-0.9%184.8K-3.8M-33.3K0.4749.31N/AN/A3316180109
2013-10-10$1146.00$1140.0033.7%9.7%24.1%54.7%36.8%-10.3%1.5%113.7K-1.2M-33.5K0.0826.74N/AN/A302195116
2013-10-11$1121.00$1120.0032.0%9.2%25.3%49.2%33.9%-9.8%1.7%-21.4K468.9K-31.7K0.0030.89N/AN/A240197118
2013-10-14$1107.00$1120.0032.8%9.4%25.6%51.6%32.5%-8.8%4.0%-7.2K588.8K-34.1K0.5456.36N/AN/A3720219118
2013-10-15$1115.00$1120.0033.7%9.7%25.6%54.8%29.9%-11.2%0.8%5.0K282.8K-36.6K0.0763.98N/AN/A403229137
2013-10-16$1084.80$1120.0030.1%8.6%26.1%42.6%27.8%-7.5%4.3%-78.9K3.0M-34.1K0.3360.91N/AN/A248244139
2013-10-17$1079.80$1120.0027.7%7.9%26.1%34.5%25.1%-7.2%7.1%-225.8K3.6M-32.6K1.5764.45N/AN/A35241143
2013-10-18$1057.60$1100.0026.6%7.6%26.2%30.6%27.0%-6.8%6.7%-158.9K4.9M-30.8K0.3268.66N/AN/A134243147
2013-10-21$1065.40$1100.0026.7%7.6%26.0%30.8%27.3%-7.0%2.4%-165.6K2.2M-30.2K0.1170.27N/AN/A121130102
2013-10-22$1052.80$1100.0027.5%7.9%26.2%33.6%28.5%-6.9%2.9%-154.7K2.7M-31.6K0.0272.00N/AN/A200141103
2013-10-23$1082.40$1100.0028.4%8.2%28.5%36.9%29.7%-8.4%2.6%-66.9K-66.2K-35.2K0.0344.63N/AN/A231157103
2013-10-24$1069.60$1100.0026.5%7.6%28.7%30.3%30.5%-6.6%2.5%-42.7K-91.2K-35.4K0.2747.33N/AN/A195177103
2013-10-25$1060.00$1100.0025.3%7.2%28.5%26.1%26.7%-7.0%2.8%-64.1K607.9K-35.9K0.0466.73N/AN/A60174107
2013-10-28$1059.00$1080.0026.4%7.6%27.7%30.0%40.9%-6.8%2.4%-46.0K694.3K-34.9K0.0043.89N/AN/A10179107
2013-10-29$1043.60$1080.0026.5%7.6%27.7%30.2%26.5%-6.2%1.9%-57.7K1.7M-33.2K0.0674.77N/AN/A30180107
2013-10-30$1056.20$1080.0027.1%7.8%28.2%32.3%25.7%-5.9%2.4%-58.9K733.2K-33.7K3.9252.66N/AN/A312181107
2013-10-31$1060.60$1080.0025.9%7.4%26.7%28.2%30.3%-5.5%3.2%-121.3K848.2K-33.1K0.2545.00N/AN/A21184119