DUG Options History — January 2014

In January 2014, DUG traded between $1001.20 and $1112.80. ATM implied volatility averaged 27.5%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.9% (HV 20d: 26.5%). Max pain ranged from $960.00 to $1120.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2014-01-21: Highest Volume — 43 contracts
  • 2014-01-14: Largest IV drop — 55.2% change
  • 2014-01-13: Highest IV Rank — 69.6%
  • 2014-01-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1043.00$1001.20$1112.80$1011.80$1112.80
Max Pain$1000.00$960.00$1120.00$1120.00$980.00
ATM IV27.5%17.0%37.8%28.6%34.9%
Expected Move8.2%6.9%10.0%8.2%10.0%
HV 20d26.5%23.2%29.5%25.0%27.6%
HV 60d24.6%23.6%25.6%25.2%25.5%
IV Rank34.9%0.0%69.6%38.0%60.4%
IV Percentile29.1%0.0%91.7%34.1%80.6%
Term Structure2.3%0.5%3.8%1.5%1.9%
VWIV28.0%19.7%34.3%29.9%34.3%
Skew 25d-4.9%-6.8%1.5%1.5%-5.7%
Skew 10d-9.5%-14.9%6.8%4.7%-10.2%
Call IV 25d32.5%27.2%38.1%34.5%38.1%
Put IV 25d27.6%23.3%36.0%36.0%32.4%
Bid-Ask Spread %44.9020.9260.4220.9248.09
Gamma HHI0.170.080.340.270.10
Net GEX35.9K-133.3K183.7K-59.8K183.7K
Net DEX376.5K-3.9M3.2M2.5M-3.9M
Net VEX-28.0K-38.8K-20.8K-23.9K-38.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.004.750.000.22
Total Volume12.47614359
Total OI286191356293267

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$1011.80$1120.0028.6%8.2%25.0%38.0%29.9%1.5%1.5%-59.8K2.5M-23.9K0.0020.92N/AN/A50190103
2014-01-03$1016.20$1100.0025.9%7.4%24.9%28.8%26.4%0.8%3.5%-74.8K2.4M-23.1K1.7925.63N/AN/A24194103
2014-01-06$1017.40$980.0026.6%8.2%24.7%30.9%0.0%-6.0%3.2%-80.9K2.2M-22.0K0.0035.54N/AN/A10196103
2014-01-07$1001.20$980.0025.9%7.8%25.2%28.7%25.9%-5.9%2.5%-133.3K3.2M-20.8K0.0640.14N/AN/A121196103
2014-01-08$1012.60$960.0025.9%8.2%25.6%28.6%28.1%-6.6%2.2%-103.4K2.0M-23.3K0.6352.45N/AN/A21204103
2014-01-09$1020.60$1000.0026.1%8.1%25.7%29.2%28.6%-6.0%3.2%-78.3K1.6M-22.9K1.3637.40N/AN/A68205104
2014-01-10$1015.80$1000.0025.7%7.9%23.2%28.0%29.8%-5.8%3.1%-114.1K2.2M-24.3K1.8141.13N/AN/A47208112
2014-01-13$1056.60$1000.0037.8%8.4%27.5%69.6%31.4%-5.1%2.2%124.5K-282.8K-23.7K0.1136.56N/AN/A152211112
2014-01-14$1031.20$980.0017.0%8.0%28.5%0.0%30.3%-5.9%2.6%-18.8K-66.1K-22.7K4.7535.59N/AN/A313221113
2014-01-15$1037.00$1040.0018.6%8.1%27.7%5.6%30.5%-6.2%1.9%24.9K781.4K-23.4K1.0753.27N/AN/A910220124
2014-01-16$1034.20$1040.0025.9%7.4%27.3%30.2%25.2%-4.2%3.8%15.3K710.7K-24.7K0.7649.20N/AN/A65225129
2014-01-17$1036.20$980.0026.0%7.5%24.7%30.5%27.1%-5.1%3.7%62.4K1.6M-24.2K0.1953.98N/AN/A133223133
2014-01-21$1024.60$980.0024.6%7.0%25.0%25.6%26.9%-4.2%3.1%79.2K266.1K-24.7K0.9752.03N/AN/A222111576
2014-01-22$1016.20$980.0024.2%6.9%25.1%24.4%25.3%-3.9%2.3%81.7K1.8M-28.7K0.8948.16N/AN/A5412796
2014-01-23$1039.40$980.0026.7%7.7%26.4%32.8%25.8%-4.8%2.2%91.4K968.7K-32.0K0.2050.60N/AN/A92129100
2014-01-24$1082.60$980.0030.5%8.7%29.5%45.5%27.4%-6.0%1.5%122.3K-1.3M-35.2K0.3648.28N/AN/A42137101
2014-01-27$1091.60$980.0031.7%9.1%28.6%49.7%33.3%-5.9%1.0%117.5K-1.9M-35.1K0.0453.77N/AN/A181141103
2014-01-28$1074.60$980.0031.2%8.9%29.0%48.0%19.7%-6.6%0.7%164.9K-2.2M-37.9K0.0149.46N/AN/A60156103
2014-01-29$1086.60$980.0032.4%9.3%28.8%51.9%25.8%-5.1%0.5%168.7K-2.1M-37.7K0.2160.42N/AN/A133153103
2014-01-30$1083.80$980.0031.1%8.9%27.7%47.5%27.5%-6.8%2.4%180.0K-2.4M-37.9K0.5750.22N/AN/A74158106
2014-01-31$1112.80$980.0034.9%10.0%27.6%60.4%34.3%-5.7%1.9%183.7K-3.9M-38.8K0.2248.09N/AN/A72158109