DUG Options History — June 2014

In June 2014, DUG traded between $725.60 and $827.60. ATM implied volatility averaged 26.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.9% (HV 20d: 18.4%). Max pain ranged from $660.00 to $980.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2014-06-05: Highest Volume — 30 contracts
  • 2014-06-19: Largest IV spike — 45.0% change
  • 2014-06-19: Highest IV Rank — 66.1%
  • 2014-06-19: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$774.66$725.60$827.60$827.60$741.20
Max Pain$908.57$660.00$980.00$660.00$960.00
ATM IV26.3%20.8%36.6%23.7%27.7%
Expected Move7.6%6.6%10.5%6.8%8.0%
HV 20d18.4%15.0%22.7%19.6%22.1%
HV 60d21.2%20.5%22.2%21.5%22.1%
IV Rank33.7%12.8%66.1%22.7%46.4%
IV Percentile26.9%0.8%94.8%3.6%42.5%
Term Structure1.4%-6.2%8.9%1.6%8.9%
VWIV27.5%22.7%30.7%22.7%28.8%
Skew 25d-5.8%-11.1%-1.9%-4.7%-8.2%
Skew 10d-11.3%-19.1%7.9%-7.3%-16.9%
Call IV 25d29.5%27.0%33.2%27.7%33.2%
Put IV 25d23.7%17.1%28.9%23.1%25.1%
Bid-Ask Spread %99.2185.72107.0698.93100.58
Gamma HHI0.290.150.410.150.38
Net GEX13.6K-125.9K168.3K149.8K-111.4K
Net DEX172.3K-1.7M2.5M-705.5K1.9M
Net VEX-33.5K-40.6K-23.1K-23.1K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0045.000.000.21
Total Volume6.23803011
Total OI337.19276369276339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$827.60$660.0023.7%6.8%19.6%22.7%0.0%-4.7%1.6%149.8K-705.5K-23.1K0.0098.93N/AN/A0118294
2014-06-03$822.00$660.0024.2%6.9%19.5%24.4%0.0%-11.1%2.5%146.0K-507.2K-24.5K0.00103.35N/AN/A14018294
2014-06-04$823.80$660.0023.5%6.7%19.5%22.1%0.0%-4.3%2.2%167.1K-827.2K-27.4K0.0298.97N/AN/A7019594
2014-06-05$822.60$660.0023.1%6.6%18.7%20.6%0.0%-7.6%4.1%168.3K-1.1M-29.0K0.00100.56N/AN/A30020294
2014-06-06$800.00$980.0020.8%7.3%17.7%12.8%0.0%-5.4%1.0%125.8K-1.3M-34.4K0.0089.50N/AN/A15023294
2014-06-09$798.00$980.0024.3%7.2%17.7%24.9%0.0%-5.6%2.1%92.6K-1.5M-36.8K0.0096.78N/AN/A9024694
2014-06-10$800.00$980.0023.9%7.0%17.5%23.3%0.0%-5.2%4.3%109.3K-1.7M-38.4K0.0085.72N/AN/A02225194
2014-06-11$794.20$980.0023.2%7.0%17.6%21.1%22.7%-4.2%1.4%98.3K-1.6M-39.0K0.0094.31N/AN/A10251116
2014-06-12$787.60$980.0027.8%8.0%17.6%36.6%0.0%-6.1%-2.5%32.3K-547.0K-39.2K0.55107.06N/AN/A11251116
2014-06-13$772.20$980.0026.6%7.6%15.6%32.5%29.1%-5.4%0.4%40.8K-636.7K-40.6K0.0198.64N/AN/A110252117
2014-06-16$764.00$960.0032.4%9.3%15.2%52.1%0.0%-5.9%-6.2%15.7K489.0K-37.7K0.00102.99N/AN/A00248117
2014-06-17$770.20$960.0031.1%8.9%16.0%47.7%28.4%-6.1%0.8%-7.3K-181.2K-35.8K45.00100.42N/AN/A02248117
2014-06-18$754.40$960.0025.2%7.2%16.4%27.8%0.0%-5.8%2.5%-57.2K809.9K-34.9K0.00100.44N/AN/A00248118
2014-06-19$745.60$960.0036.6%10.5%15.1%66.1%27.1%-4.0%1.4%-42.9K866.7K-34.3K0.00106.92N/AN/A10242118
2014-06-20$731.00$960.0024.5%7.0%15.5%25.3%0.0%-5.8%2.3%-125.9K2.3M-32.1K0.0096.94N/AN/A00243118
2014-06-23$725.60$960.0023.2%6.7%15.0%23.9%25.4%-4.3%2.1%-117.6K2.5M-30.8K0.6494.88N/AN/A11213118
2014-06-24$755.00$960.0029.6%8.5%22.5%51.3%30.7%-1.9%-0.2%-122.0K1.7M-32.4K0.00105.28N/AN/A60214118
2014-06-25$745.20$960.0026.5%7.6%22.7%39.6%28.6%-6.9%0.5%-80.1K861.5K-33.8K2.40105.36N/AN/A01219118
2014-06-26$744.20$960.0027.8%8.0%22.5%46.6%0.0%-7.9%-0.1%-82.4K1.3M-33.3K0.0099.92N/AN/A10219118
2014-06-27$743.40$960.0026.2%7.5%22.4%39.9%26.9%-6.0%0.9%-112.7K1.4M-33.2K0.5995.81N/AN/A32219118
2014-06-30$741.20$960.0027.7%8.0%22.1%46.4%28.8%-8.2%8.9%-111.4K1.9M-31.8K0.21100.58N/AN/A10219120