DUG Options History — April 2014

In April 2014, DUG traded between $850.60 and $953.20. ATM implied volatility averaged 28.5%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.3% (HV 20d: 24.2%). Max pain ranged from $800.00 to $1080.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.64.

Notable Days

  • 2014-04-15: Highest Volume — 51 contracts
  • 2014-04-04: Largest IV spike — 49.6% change
  • 2014-04-04: Highest IV Rank — 66.8%
  • 2014-04-07: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$896.64$850.60$953.20$931.20$850.60
Max Pain$840.00$800.00$1080.00$1080.00$800.00
ATM IV28.5%22.4%36.8%24.1%28.4%
Expected Move8.1%6.4%9.0%6.9%8.1%
HV 20d24.2%20.4%26.2%22.0%24.8%
HV 60d26.8%23.9%28.2%27.1%23.9%
IV Rank38.9%18.4%66.8%24.0%38.5%
IV Percentile37.5%0.8%88.9%2.0%38.5%
Term Structure0.4%-8.0%5.1%3.0%1.4%
VWIV24.6%14.2%34.8%22.3%19.5%
Skew 25d-6.1%-9.3%-2.7%-4.1%-6.7%
Skew 10d-11.7%-20.3%5.6%-16.0%-17.7%
Call IV 25d31.8%25.4%35.8%25.9%34.4%
Put IV 25d25.7%20.2%28.5%21.8%27.7%
Bid-Ask Spread %99.0975.84115.17107.42106.41
Gamma HHI0.140.070.240.100.15
Net GEX-11.3K-107.9K34.4K2.9K8.2K
Net DEX3.5M225.9K6.3M5.5M528.2K
Net VEX-12.8K-15.8K-9.7K-13.2K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.640.0062.810.000.00
Total Volume11.333051016
Total OI250.905157336275198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$931.20$1080.0024.1%6.9%22.0%24.0%22.3%-4.1%3.0%2.9K5.5M-13.2K0.00107.42N/AN/A0017699
2014-04-02$925.00$1080.0022.4%6.4%20.4%18.4%27.4%-6.2%5.0%-21.4K5.8M-12.5K1.20108.88N/AN/A1117699
2014-04-03$915.20$1080.0024.6%7.1%20.4%25.7%24.3%-3.6%2.4%-45.6K6.3M-10.6K0.81109.62N/AN/A11177100
2014-04-04$923.00$800.0036.8%8.2%20.8%66.8%23.9%-8.3%-2.4%-15.9K5.8M-12.5K0.0996.45N/AN/A61178100
2014-04-07$950.60$800.0031.5%9.0%23.8%49.1%28.1%-7.2%0.1%27.9K4.8M-13.7K0.0378.20N/AN/A80179101
2014-04-08$932.20$800.0029.6%8.4%22.5%42.6%27.1%-5.7%5.1%1.4K4.9M-12.3K0.0279.89N/AN/A50183101
2014-04-09$922.60$800.0026.1%8.3%22.6%30.7%21.4%-4.9%-4.0%-16.2K4.8M-11.6K0.0288.90N/AN/A100188101
2014-04-10$947.60$800.0029.0%8.3%23.7%40.6%34.8%-7.5%2.1%8784.6M-12.2K0.1084.78N/AN/A30185101
2014-04-11$953.20$800.0031.2%8.9%24.0%48.0%30.9%-7.4%-0.1%7.8K4.2M-12.3K0.1375.84N/AN/A41188101
2014-04-14$928.60$800.0029.6%8.5%25.1%42.6%31.4%-6.5%-0.1%-34.8K4.5M-11.1K0.1691.38N/AN/A51192101
2014-04-15$905.80$800.0027.5%7.9%25.8%35.4%0.0%-5.6%2.8%-9.4K4.9M-10.6K62.81102.59N/AN/A150187101
2014-04-16$883.40$800.0027.5%7.9%25.8%35.4%0.0%-6.4%3.2%-89.7K5.9M-11.3K3.00101.80N/AN/A01186150
2014-04-17$867.80$800.0029.2%8.4%26.1%41.2%14.2%-5.6%0.4%-107.9K6.3M-9.7K0.46101.44N/AN/A199186149
2014-04-21$856.80$800.0025.9%7.4%26.2%30.1%29.2%-6.4%-8.0%-11.4K937.1K-11.1K0.00106.63N/AN/A1707582
2014-04-22$860.00$800.0028.1%8.1%26.2%37.5%27.8%-6.1%1.5%6.3K539.0K-13.5K1.05102.83N/AN/A559282
2014-04-23$851.60$800.0029.4%8.4%26.1%42.1%26.9%-9.3%-1.5%14.9K675.0K-14.0K2.80108.56N/AN/A139787
2014-04-24$853.00$800.0028.5%8.2%25.6%38.8%24.6%-2.7%-0.7%-9.4K910.0K-15.2K0.00115.17N/AN/A009890
2014-04-25$861.20$800.0029.5%8.5%25.9%42.3%14.6%-5.6%0.3%482665.3K-15.6K0.01105.52N/AN/A2609890
2014-04-28$858.60$800.0030.6%8.8%24.8%46.1%18.7%-5.8%-0.8%18.9K225.9K-15.8K0.02102.86N/AN/A21110690
2014-04-29$851.40$800.0029.0%8.3%24.8%40.5%20.8%-5.8%-0.5%34.4K570.5K-14.8K0.04105.77N/AN/A14110990
2014-04-30$850.60$800.0028.4%8.1%24.8%38.5%19.5%-6.7%1.4%8.2K528.2K-15.4K0.00106.41N/AN/A16010791