DUG Options History — May 2014

In May 2014, DUG traded between $823.60 and $860.60. ATM implied volatility averaged 25.9%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.3% (HV 20d: 20.5%). Max pain ranged from $660.00 to $800.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.73.

Notable Days

  • 2014-05-30: Highest Volume — 27 contracts
  • 2014-05-14: Largest IV spike — 15.1% change
  • 2014-05-01: Highest IV Rank — 38.9%
  • 2014-05-08: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$843.60$823.60$860.60$857.00$823.80
Max Pain$724.76$660.00$800.00$800.00$660.00
ATM IV25.9%22.1%28.5%28.5%22.1%
Expected Move7.5%6.3%8.3%8.2%6.3%
HV 20d20.5%17.8%25.1%25.1%19.6%
HV 60d22.7%21.5%24.0%24.0%21.5%
IV Rank30.0%17.4%38.9%38.9%17.4%
IV Percentile17.7%0.8%40.5%40.5%0.8%
Term Structure1.0%-1.3%3.0%1.2%3.0%
VWIV26.9%18.7%29.8%24.8%27.7%
Skew 25d-5.9%-6.9%-3.6%-6.9%-6.2%
Skew 10d-13.8%-23.4%-8.1%-15.4%-18.1%
Call IV 25d29.8%26.1%33.1%31.8%26.5%
Put IV 25d23.9%19.7%26.8%25.0%20.3%
Bid-Ask Spread %94.5779.10106.23100.6297.18
Gamma HHI0.160.130.200.140.16
Net GEX102.8K30.3K187.9K41.4K114.4K
Net DEX-107.4K-1.2M1.1M51.0K563.3K
Net VEX-15.0K-18.3K-12.2K-16.6K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.0037.500.000.02
Total Volume7.667127627
Total OI226.286209249209249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$857.00$800.0028.5%8.2%25.1%38.9%24.8%-6.9%1.2%41.4K51.0K-16.6K0.00100.62N/AN/A6011891
2014-05-02$850.60$800.0028.0%8.0%25.0%37.2%28.2%-6.8%-0.6%113.9K-275.2K-12.2K0.00103.44N/AN/A2012091
2014-05-05$843.00$780.0026.6%7.9%24.7%32.3%0.0%-6.4%-0.5%40.8K40.6K-14.9K0.0079.10N/AN/A2012191
2014-05-06$841.20$780.0025.9%7.8%21.2%30.2%29.8%-6.7%0.8%54.9K227.1K-15.4K0.0084.21N/AN/A6012291
2014-05-07$827.80$780.0026.7%8.0%20.9%32.7%27.2%-5.5%-1.3%41.9K741.6K-14.7K0.0687.14N/AN/A11112391
2014-05-08$852.20$780.0027.4%8.3%24.2%35.1%29.2%-5.7%1.1%94.7K-819.7K-12.9K0.0091.56N/AN/A15013291
2014-05-09$852.00$780.0027.5%8.3%21.4%35.4%28.7%-6.7%0.1%76.8K-967.9K-17.4K0.0080.65N/AN/A4014091
2014-05-12$842.40$780.0025.7%7.7%21.1%29.5%0.0%-6.5%2.6%53.9K-630.3K-16.3K37.5088.73N/AN/A0814391
2014-05-13$836.60$780.0024.5%7.5%19.8%25.5%26.7%-6.5%1.8%62.9K-331.2K-15.4K0.0092.80N/AN/A5014390
2014-05-14$836.60$780.0028.2%7.4%18.4%38.0%27.7%-6.2%0.8%30.3K-579.1K-13.4K0.1293.23N/AN/A2014890
2014-05-15$856.40$780.0027.4%7.9%19.1%35.3%28.8%-5.4%2.4%60.9K-746.8K-17.6K0.0295.35N/AN/A16014289
2014-05-16$860.60$660.0027.8%8.0%18.2%36.6%27.7%-4.8%0.6%155.7K-1.2M-16.8K0.1991.32N/AN/A6114489
2014-05-19$854.60$660.0027.8%8.0%17.8%36.4%27.9%-6.6%-0.6%155.0K-766.2K-15.6K0.3495.07N/AN/A3113883
2014-05-20$859.40$660.0026.7%7.7%17.8%32.8%26.4%-5.5%0.9%181.3K-843.3K-13.6K11.1488.74N/AN/A0413984
2014-05-21$838.40$660.0025.1%7.2%19.6%27.3%0.0%-5.6%0.8%138.6K48.0K-15.5K4.64102.42N/AN/A1314088
2014-05-22$840.80$660.0024.2%6.9%19.6%24.3%23.7%-3.6%1.3%137.5K255.1K-14.8K0.00105.21N/AN/A10014090
2014-05-23$843.80$660.0024.1%6.9%19.3%23.9%18.7%-4.8%1.6%185.0K571.5K-12.8K0.04101.69N/AN/A6013490
2014-05-27$839.20$660.0023.4%6.7%19.4%21.6%27.7%-5.3%1.3%129.5K661.9K-14.2K0.00106.23N/AN/A1013991
2014-05-28$835.60$660.0022.4%6.4%19.2%18.5%0.0%-5.7%2.5%187.9K652.5K-12.9K3.24100.73N/AN/A1414091
2014-05-29$823.60$660.0023.1%6.6%19.8%20.7%0.0%-6.4%1.9%102.3K1.1M-14.5K0.00100.59N/AN/A15014193
2014-05-30$823.80$660.0022.1%6.3%19.6%17.4%0.0%-6.2%3.0%114.4K563.3K-18.3K0.0297.18N/AN/A26115693