DUG Options History — July 2014

In July 2014, DUG traded between $728.20 and $792.00. ATM implied volatility averaged 29.4%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.2% (HV 20d: 24.2%). Max pain ranged from $720.00 to $960.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2014-07-31: Highest Volume — 20 contracts
  • 2014-07-10: Largest IV spike — 69.6% change
  • 2014-07-08: Highest IV Rank — 100.0%
  • 2014-07-10: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$747.40$728.20$792.00$739.60$792.00
Max Pain$758.18$720.00$960.00$960.00$720.00
ATM IV29.4%24.2%42.0%25.4%31.4%
Expected Move8.5%6.9%12.0%7.3%9.0%
HV 20d24.2%21.9%29.0%22.2%29.0%
HV 60d21.1%19.7%24.1%22.0%24.1%
IV Rank50.6%29.0%100.0%36.4%57.7%
IV Percentile49.3%8.7%100.0%15.5%78.2%
Term Structure0.7%-16.4%12.0%1.3%4.8%
VWIV30.4%24.4%40.0%32.1%26.1%
Skew 25d-4.1%-16.5%5.6%-3.8%-4.5%
Skew 10d-9.5%-22.3%15.1%-5.4%15.1%
Call IV 25d30.6%24.8%36.7%28.2%36.6%
Put IV 25d26.4%15.7%41.3%24.4%32.1%
Bid-Ask Spread %104.2191.82124.2597.49103.14
Gamma HHI0.370.250.540.410.26
Net GEX-52.7K-419.1K247.7K-150.8K247.7K
Net DEX-874.5K-4.6M1.9M1.9M-4.6M
Net VEX-31.9K-34.8K-29.4K-32.8K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.360.070.02
Total Volume4.8640201020
Total OI304.818220374343235

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$739.60$960.0025.4%7.3%22.2%36.4%32.1%-3.8%1.3%-150.8K1.9M-32.8K0.0797.49N/AN/A91223120
2014-07-02$742.20$960.0024.9%7.2%22.2%34.4%24.4%-5.2%2.9%-146.9K1.3M-33.8K0.92102.33N/AN/A11232121
2014-07-03$734.80$960.0037.2%10.7%22.3%87.3%40.0%-9.4%3.8%-117.3K1.5M-33.0K0.12107.39N/AN/A10232120
2014-07-07$746.40$760.0024.7%9.1%21.9%33.3%31.7%-7.4%-4.0%-212.3K938.2K-33.2K0.38101.94N/AN/A10232120
2014-07-08$748.40$740.0040.7%11.5%22.0%100.0%0.0%4.6%-16.4%-102.4K462.2K-34.8K0.00115.75N/AN/A20232121
2014-07-09$738.80$740.0024.8%7.3%22.1%32.9%0.0%-6.1%1.4%-227.1K1.3M-31.5K0.0096.03N/AN/A00231121
2014-07-10$753.40$740.0042.0%12.0%23.6%100.0%36.2%0.6%-5.3%-212.7K360.8K-31.9K0.02100.39N/AN/A50231121
2014-07-11$765.60$740.0029.4%8.4%24.4%49.6%31.1%-16.5%-2.4%-419.1K-883.0K-33.0K0.00102.36N/AN/A40235121
2014-07-14$751.60$720.0029.1%8.3%24.3%48.4%0.0%-0.8%4.3%-152.6K-1.0K-31.4K0.2593.43N/AN/A00239121
2014-07-15$758.60$720.0031.4%9.0%24.3%57.9%28.4%-6.0%2.4%-178.8K-475.3K-32.0K1.3198.54N/AN/A67239121
2014-07-16$735.40$720.0025.8%7.4%26.4%35.2%26.4%-5.7%3.5%-369.4K1.3M-31.3K0.0691.82N/AN/A60244124
2014-07-17$757.00$720.0028.3%8.1%27.6%45.4%29.5%-4.2%1.3%-287.2K-727.0K-32.6K0.02101.46N/AN/A60250124
2014-07-18$752.20$720.0027.0%7.7%27.4%40.1%25.9%-8.6%1.7%-271.8K-589.4K-32.2K1.3692.27N/AN/A811250124
2014-07-21$749.60$720.0034.4%9.8%26.4%69.5%34.3%-9.2%2.2%169.6K-2.8M-30.4K0.00104.31N/AN/A2017149
2014-07-22$737.80$720.0031.1%8.9%26.9%56.6%26.4%-0.1%12.0%149.3K-2.7M-31.6K0.00121.81N/AN/A7017349
2014-07-23$729.20$720.0024.2%6.9%22.9%29.0%0.0%-6.4%2.8%173.8K-2.0M-30.7K0.00105.33N/AN/A0017949
2014-07-24$728.20$720.0025.2%7.2%22.6%32.7%0.0%-6.7%2.7%154.7K-2.2M-29.5K0.00103.71N/AN/A0017949
2014-07-25$739.40$720.0025.1%7.2%23.3%32.4%28.8%5.4%-1.7%163.6K-2.5M-31.7K0.00111.99N/AN/A4017949
2014-07-28$741.40$720.0028.1%8.1%23.3%44.4%32.4%-2.1%-0.0%180.7K-2.8M-30.5K0.07107.46N/AN/A1018349
2014-07-29$746.20$720.0026.1%7.5%23.4%36.7%0.0%-4.7%1.3%224.0K-2.8M-29.4K0.00109.39N/AN/A0018349
2014-07-30$755.00$720.0030.5%8.7%23.7%54.0%31.9%5.6%-3.3%226.1K-3.3M-30.7K0.16124.25N/AN/A3118349
2014-07-31$792.00$720.0031.4%9.0%29.0%57.7%26.1%-4.5%4.8%247.7K-4.6M-34.3K0.02103.14N/AN/A19118649