DUG Options History — March 2014

In March 2014, DUG traded between $941.00 and $1024.20. ATM implied volatility averaged 28.4%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 24.0%). Max pain ranged from $960.00 to $1100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2014-03-13: Highest Volume — 22 contracts
  • 2014-03-13: Largest IV spike — 18.5% change
  • 2014-03-14: Highest IV Rank — 52.9%
  • 2014-03-14: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$989.89$941.00$1024.20$1005.00$941.00
Max Pain$1060.95$960.00$1100.00$960.00$1080.00
ATM IV28.4%25.0%32.6%30.8%25.1%
Expected Move8.2%7.2%9.4%8.8%7.2%
HV 20d24.0%20.6%29.2%29.2%22.8%
HV 60d27.7%27.1%28.2%27.6%27.1%
IV Rank38.4%27.0%52.9%46.7%27.4%
IV Percentile32.8%4.0%71.4%53.2%4.8%
Term Structure2.1%-0.0%5.1%1.3%3.0%
VWIV30.2%25.4%40.8%30.3%25.4%
Skew 25d-6.0%-8.2%-4.1%-5.5%-4.1%
Skew 10d-13.5%-20.8%-3.4%-16.6%-16.7%
Call IV 25d33.0%27.9%38.2%35.4%28.4%
Put IV 25d27.0%23.7%30.4%29.9%24.4%
Bid-Ask Spread %81.9644.03107.7663.63107.76
Gamma HHI0.130.090.190.130.09
Net GEX166.4K16.5K288.9K114.8K16.5K
Net DEX2.2M-718.3K5.4M1.9M5.4M
Net VEX-22.7K-27.8K-13.7K-27.1K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.500.021.50
Total Volume7.04802290
Total OI295.381270329278274

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$1005.00$960.0030.8%8.8%29.2%46.7%30.3%-5.5%1.3%114.8K1.9M-27.1K0.0263.63N/AN/A90163115
2014-03-04$984.00$960.0028.6%8.2%25.4%39.2%27.6%-6.1%0.7%116.4K3.0M-24.9K0.0244.03N/AN/A100171115
2014-03-05$1003.20$960.0029.5%8.4%27.0%42.1%29.4%-4.6%1.3%137.2K1.8M-26.6K0.0048.19N/AN/A110170115
2014-03-06$991.60$960.0029.2%8.4%25.7%41.1%29.8%-5.0%1.1%152.5K2.3M-25.7K0.0098.97N/AN/A10178115
2014-03-07$984.20$1100.0027.1%8.3%24.3%34.1%0.0%-6.4%2.5%147.6K2.6M-25.3K0.0066.79N/AN/A20179115
2014-03-10$980.80$1100.0027.4%8.3%23.7%35.2%0.0%-6.7%3.7%145.9K2.8M-23.5K0.0463.76N/AN/A20181115
2014-03-11$1005.20$1100.0028.6%8.7%25.3%39.3%32.0%-6.7%0.8%181.5K1.7M-23.8K0.1473.92N/AN/A112181115
2014-03-12$1004.60$1100.0027.3%8.5%23.6%34.7%31.1%-6.9%3.2%219.1K711.0K-24.9K0.0672.79N/AN/A171187115
2014-03-13$1024.20$1100.0032.3%9.3%25.0%51.7%32.2%-7.6%0.4%252.9K-718.3K-26.8K0.0077.64N/AN/A220193116
2014-03-14$1019.20$1080.0032.6%9.4%24.8%52.9%40.8%-8.2%1.5%237.1K-696.3K-27.8K0.0170.23N/AN/A160196116
2014-03-17$1006.60$1080.0031.1%8.9%23.2%47.5%30.6%-8.1%2.7%271.9K174.0K-25.8K0.0177.32N/AN/A70208116
2014-03-18$989.40$1080.0028.6%8.2%23.7%39.4%0.0%-5.9%5.0%270.6K1.3M-24.3K0.0084.62N/AN/A10213116
2014-03-19$1003.80$1080.0030.8%8.8%24.4%46.8%30.9%-6.2%-0.0%288.9K742.2K-23.6K0.10100.64N/AN/A71213116
2014-03-20$994.40$1080.0028.4%8.1%24.1%38.6%35.3%-6.9%5.1%268.2K959.5K-23.2K0.0185.02N/AN/A90208115
2014-03-21$989.00$1080.0026.9%7.7%23.6%33.5%27.3%-4.8%3.7%202.6K2.6M-20.6K0.2396.85N/AN/A41201115
2014-03-24$991.60$1080.0027.6%7.9%20.6%35.9%29.0%-5.4%0.1%123.2K3.2M-20.0K0.0797.56N/AN/A6117199
2014-03-25$976.20$1060.0025.3%7.3%21.3%28.2%0.0%-5.9%4.0%109.4K3.8M-18.2K0.0094.54N/AN/A0017499
2014-03-26$984.60$1080.0026.1%7.5%21.1%30.8%29.0%-6.0%1.5%115.7K3.8M-18.4K0.1599.29N/AN/A1017299
2014-03-27$967.00$1080.0027.2%7.8%21.9%34.3%27.4%-5.1%0.6%89.5K4.1M-18.0K0.0296.74N/AN/A2017299
2014-03-28$942.00$1080.0025.0%7.2%23.4%27.0%25.8%-4.2%2.3%32.7K5.1M-14.9K0.25100.84N/AN/A3117399
2014-03-31$941.00$1080.0025.1%7.2%22.8%27.4%25.4%-4.1%3.0%16.5K5.4M-13.7K1.50107.76N/AN/A0017599