DUG Options History — November 2013

In November 2013, DUG traded between $1004.60 and $1075.20. ATM implied volatility averaged 27.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.8% (HV 20d: 26.3%). Max pain ranged from $940.00 to $1080.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.22.

Notable Days

  • 2013-11-14: Highest Volume — 56 contracts
  • 2013-11-07: Largest IV spike — 27.2% change
  • 2013-11-07: Highest IV Rank — 51.1%
  • 2013-11-07: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1037.43$1004.60$1075.20$1068.20$1047.80
Max Pain$1004.00$940.00$1080.00$1080.00$940.00
ATM IV27.1%23.7%32.4%26.1%27.2%
Expected Move7.9%6.8%9.0%7.5%7.8%
HV 20d26.3%24.6%27.8%26.6%26.1%
HV 60d24.5%23.5%25.6%23.7%24.1%
IV Rank32.8%20.9%51.1%29.1%33.2%
IV Percentile15.1%2.0%57.1%6.3%17.1%
Term Structure1.2%-0.6%3.4%3.4%0.7%
VWIV29.0%25.2%34.3%28.7%26.7%
Skew 25d-6.6%-7.8%-3.6%-6.7%-5.1%
Skew 10d-12.9%-16.7%-9.3%-13.7%-9.3%
Call IV 25d32.0%28.4%36.1%31.8%31.1%
Put IV 25d25.5%22.3%28.4%25.1%26.0%
Bid-Ask Spread %62.9330.4081.9438.5249.15
Gamma HHI0.110.080.310.080.08
Net GEX39.0K-210.2K328.6K-107.6K328.6K
Net DEX530.8K-2.6M5.5M-57.6K-2.6M
Net VEX-27.6K-33.8K-21.8K-33.8K-28.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.990.011.99
Total Volume13.15156812
Total OI275.4206343304243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$1068.20$1080.0026.1%7.5%26.6%29.1%28.7%-6.7%3.4%-107.6K-57.6K-33.8K0.0138.52N/AN/A80185119
2013-11-04$1039.60$1040.0026.6%8.1%27.1%30.5%27.8%-6.9%1.3%-121.7K2.6M-30.6K0.0062.38N/AN/A40191119
2013-11-05$1055.20$1040.0028.0%8.4%26.2%35.2%32.3%-7.4%3.2%-114.6K1.1M-31.8K0.0045.63N/AN/A260191119
2013-11-06$1046.20$1040.0025.5%8.3%25.8%27.2%34.3%-7.6%-0.5%-202.8K2.3M-29.5K0.0452.46N/AN/A40173119
2013-11-07$1075.20$1040.0032.4%9.0%26.0%51.1%34.0%-7.7%1.9%-159.2K-266.4K-31.1K0.0030.40N/AN/A320175119
2013-11-08$1042.00$1040.0027.1%8.2%27.1%32.6%29.5%-7.6%0.2%-166.8K2.0M-30.4K0.1634.60N/AN/A122198119
2013-11-11$1036.60$1000.0027.7%8.2%26.9%34.8%28.5%-6.8%-0.3%-151.3K2.3M-29.5K0.0660.87N/AN/A91209119
2013-11-12$1056.00$1000.0029.7%8.4%27.8%41.6%31.8%-7.7%2.9%-175.9K131.9K-31.8K0.2371.67N/AN/A41217120
2013-11-13$1040.80$1000.0027.0%8.0%26.6%32.2%27.4%-7.8%0.3%-184.9K1.6M-29.9K0.0376.11N/AN/A141220120
2013-11-14$1025.40$1000.0027.5%7.9%27.0%34.0%29.8%-7.6%1.2%-210.2K3.1M-27.0K0.0176.52N/AN/A551224119
2013-11-15$1012.00$1000.0026.5%7.6%26.4%30.8%29.9%-3.6%3.0%-44.8K5.5M-21.9K0.3280.05N/AN/A93213119
2013-11-18$1028.20$1000.0026.3%7.5%27.0%30.1%26.4%-6.5%0.7%220.5K-623.8K-24.8K0.0578.97N/AN/A8115947
2013-11-19$1028.00$980.0027.2%7.8%26.7%33.0%26.9%-5.9%0.7%252.7K-967.4K-25.0K0.8880.17N/AN/A1116747
2013-11-20$1034.20$1000.0027.6%7.9%24.6%34.6%28.5%-6.7%-0.6%259.7K-1.2M-25.4K0.0581.94N/AN/A7016847
2013-11-21$1014.60$1000.0026.3%7.5%25.1%29.9%25.2%-6.2%0.9%252.9K-574.5K-23.8K0.0081.61N/AN/A13017448
2013-11-22$1004.60$1000.0023.7%6.8%25.2%20.9%33.8%-6.1%2.5%232.6K16.6K-21.8K0.0078.33N/AN/A1017348
2013-11-25$1022.80$1000.0026.4%7.6%26.2%30.2%25.6%-5.3%0.5%265.3K-657.8K-23.5K0.0081.71N/AN/A5017348
2013-11-26$1027.40$940.0026.3%7.5%25.8%30.0%27.5%-4.8%1.3%281.8K-1.0M-23.7K0.1256.56N/AN/A14217648
2013-11-27$1043.80$940.0027.6%7.9%26.1%34.4%25.9%-7.0%-0.1%325.5K-2.2M-27.5K0.4840.97N/AN/A8418748
2013-11-29$1047.80$940.0027.2%7.8%26.1%33.2%26.7%-5.1%0.7%328.6K-2.6M-28.1K1.9949.15N/AN/A4819251