DUG Options History — December 2013

In December 2013, DUG traded between $984.20 and $1082.00. ATM implied volatility averaged 28.4%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.1% (HV 20d: 21.4%). Max pain ranged from $940.00 to $1120.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2013-12-10: Highest Volume — 96 contracts
  • 2013-12-18: Largest IV drop — 24.4% change
  • 2013-12-16: Highest IV Rank — 55.1%
  • 2013-12-16: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1037.83$984.20$1082.00$1044.60$984.20
Max Pain$1080.95$940.00$1120.00$940.00$1120.00
ATM IV28.4%23.5%33.6%28.6%28.1%
Expected Move8.2%6.7%9.6%8.2%8.1%
HV 20d21.4%18.2%26.0%26.0%22.5%
HV 60d24.3%23.6%25.1%24.1%24.7%
IV Rank37.3%20.4%55.1%38.0%36.3%
IV Percentile31.6%2.0%72.6%29.8%28.2%
Term Structure2.5%-1.0%7.2%-1.0%-0.4%
VWIV30.0%24.9%42.5%29.4%28.1%
Skew 25d-7.5%-12.4%-0.0%-5.3%-12.4%
Skew 10d-15.0%-20.7%3.4%-11.7%-19.8%
Call IV 25d32.9%28.8%36.7%31.9%32.3%
Put IV 25d25.5%18.3%30.3%26.6%20.0%
Bid-Ask Spread %52.9717.5475.8146.1617.54
Gamma HHI0.200.070.550.080.29
Net GEX298.6K-114.3K1.1M301.5K-101.0K
Net DEX-1.9M-11.7M3.9M-2.2M3.8M
Net VEX-27.9K-34.1K-22.5K-28.0K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0010.292.500.22
Total Volume16.8119685
Total OI306.19251377251291

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$1044.60$940.0028.6%8.2%26.0%38.0%29.4%-5.3%-1.0%301.5K-2.2M-28.0K2.5046.16N/AN/A2619358
2013-12-03$1039.40$940.0029.0%8.3%24.2%39.3%27.3%-6.7%-0.1%276.1K-1.9M-29.0K0.8651.57N/AN/A1119464
2013-12-04$1046.40$940.0029.6%8.5%23.7%41.5%28.7%-6.5%-0.5%280.8K-2.3M-29.4K3.0649.67N/AN/A1319364
2013-12-05$1053.20$940.0031.3%9.0%23.6%47.1%30.2%-6.2%2.3%286.7K-2.6M-29.6K0.2146.74N/AN/A1019466
2013-12-06$1046.00$1120.0028.3%8.1%21.4%37.0%29.2%-8.2%5.4%286.3K-2.1M-27.4K10.2963.54N/AN/A21619466
2013-12-09$1045.40$1120.0028.6%8.1%18.2%37.9%28.3%-8.2%5.4%224.9K-1.4M-28.8K7.0350.75N/AN/A21419582
2013-12-10$1051.60$1120.0030.2%9.1%18.2%43.5%27.5%-8.1%1.3%178.3K-1.2M-29.8K0.0158.09N/AN/A95119496
2013-12-11$1082.00$1120.0032.5%9.2%19.8%51.4%35.7%-6.5%2.4%622.3K-11.7M-34.1K0.0318.89N/AN/A37128196
2013-12-12$1071.60$1100.0033.0%9.5%19.3%53.1%30.1%-7.0%0.8%652.9K-9.9M-32.8K0.0147.64N/AN/A67127497
2013-12-13$1080.60$1100.0032.6%9.3%18.5%51.6%32.2%-6.2%2.0%416.6K-7.3M-31.7K0.2441.76N/AN/A13324397
2013-12-16$1057.80$1100.0033.6%9.6%19.6%55.1%42.5%-7.5%0.2%480.3K-5.5M-30.3K0.0138.76N/AN/A25024999
2013-12-17$1070.20$1100.0033.4%9.6%19.3%54.4%31.9%-6.2%1.3%462.7K-6.4M-29.8K5.1638.20N/AN/A313253100
2013-12-18$1035.60$1100.0025.3%7.2%22.9%26.4%25.2%-6.4%6.5%545.5K-2.0M-29.3K0.5669.38N/AN/A21251112
2013-12-19$1033.20$1120.0024.4%7.0%22.8%23.6%30.5%-7.3%7.2%675.7K-1.8M-28.1K0.4667.14N/AN/A53238113
2013-12-20$1026.40$1120.0025.1%7.2%21.8%25.8%31.4%-0.0%6.2%1.1M-814.9K-26.4K0.1166.63N/AN/A41242115
2013-12-23$1026.00$1120.0023.9%6.9%21.5%21.9%29.6%-7.8%3.4%-56.8K2.3M-25.1K0.0058.85N/AN/A70178102
2013-12-24$1014.00$1120.0023.5%6.7%21.0%20.4%28.2%-8.3%4.2%-75.1K2.8M-24.1K0.2075.81N/AN/A31183102
2013-12-26$997.40$1120.0024.4%7.0%21.6%23.6%24.9%-10.6%2.0%-103.6K3.5M-23.3K0.3069.19N/AN/A11184102
2013-12-27$986.60$1120.0025.1%7.2%20.9%25.9%26.0%-11.4%1.5%-114.3K3.9M-22.5K0.1071.16N/AN/A51185102
2013-12-30$1002.20$1120.0026.5%7.6%21.8%30.5%33.4%-10.2%1.6%-107.9K3.3M-23.0K0.0064.88N/AN/A50186102
2013-12-31$984.20$1120.0028.1%8.1%22.5%36.3%28.1%-12.4%-0.4%-101.0K3.8M-22.7K0.2217.54N/AN/A41189102