DUG Options History — August 2014

In August 2014, DUG traded between $749.00 and $816.00. ATM implied volatility averaged 31.8%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.9% (HV 20d: 32.6%). Max pain ranged from $720.00 to $1100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2014-08-26: Highest Volume — 70 contracts
  • 2014-08-28: Largest IV spike — 56.4% change
  • 2014-08-05: Highest IV Rank — 100.0%
  • 2014-08-13: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$782.98$749.00$816.00$804.20$749.00
Max Pain$816.84$720.00$1100.00$720.00$920.00
ATM IV31.8%22.2%44.3%37.3%22.2%
Expected Move9.7%8.5%12.0%10.7%8.9%
HV 20d32.6%27.2%36.1%28.8%27.2%
HV 60d26.2%24.2%26.9%24.2%26.7%
IV Rank54.7%19.3%100.0%81.1%19.3%
IV Percentile63.3%1.6%100.0%96.8%1.6%
Term Structure0.1%-13.1%10.5%-0.2%1.9%
VWIV35.2%26.8%47.5%26.8%34.9%
Skew 25d-4.5%-13.0%9.5%-7.7%-7.0%
Skew 10d-11.5%-32.7%2.3%-4.8%-15.0%
Call IV 25d33.6%24.1%43.0%39.4%25.3%
Put IV 25d29.1%16.4%38.0%31.8%18.3%
Bid-Ask Spread %91.5757.52118.42118.4257.52
Gamma HHI0.200.160.240.240.19
Net GEX313.7K219.0K450.7K271.0K250.0K
Net DEX-5.5M-8.5M-2.5M-6.7M-2.5M
Net VEX-39.5K-43.0K-32.6K-37.5K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.0021.330.1721.33
Total Volume11.286070213
Total OI323.238252388252388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$804.20$720.0037.3%10.7%28.8%81.1%0.0%-7.7%-0.2%271.0K-6.7M-37.5K0.17118.42N/AN/A18320349
2014-08-04$777.80$720.0035.7%9.4%31.5%74.9%26.8%-7.4%-1.4%285.5K-6.3M-39.0K0.1884.86N/AN/A16322052
2014-08-05$811.60$720.0044.3%10.0%34.6%100.0%36.1%-9.9%0.3%374.2K-7.7M-40.3K0.0589.77N/AN/A6023655
2014-08-06$805.80$720.0034.5%10.8%34.3%64.2%32.0%-4.3%-3.9%382.2K-7.9M-41.3K1.8280.68N/AN/A61124055
2014-08-07$816.00$740.0037.6%10.2%33.9%75.4%42.4%-8.5%8.9%388.9K-8.5M-42.1K0.0085.31N/AN/A3024566
2014-08-08$788.80$740.0040.9%9.9%36.1%87.5%33.6%-5.1%-13.1%357.6K-7.8M-43.0K0.1286.41N/AN/A4124866
2014-08-11$788.60$740.0037.1%9.0%35.4%73.6%34.6%-2.1%2.6%385.4K-6.3M-39.8K0.00109.13N/AN/A32025167
2014-08-12$798.20$740.0035.8%9.8%35.5%68.7%34.6%-5.9%-1.2%402.6K-7.5M-41.7K0.0086.86N/AN/A8026467
2014-08-13$793.00$740.0030.3%12.0%33.4%48.7%47.5%-8.5%-8.7%425.7K-7.3M-41.1K1.41110.56N/AN/A1226967
2014-08-14$802.40$740.0029.7%8.5%32.2%46.6%27.1%-8.4%2.2%450.7K-7.6M-41.4K0.5899.70N/AN/A171026668
2014-08-15$791.20$780.0030.2%8.6%32.6%48.2%30.0%-2.6%1.7%427.0K-6.6M-42.4K0.11101.61N/AN/A8126478
2014-08-18$786.00$0.0028.6%9.5%32.7%42.6%0.0%-13.0%4.3%253.1K-4.9M-40.0K0.00105.79N/AN/A2024177
2014-08-19$774.20$0.0028.1%9.9%32.7%40.9%41.1%-5.0%-2.6%257.4K-4.0M-37.9K0.5165.43N/AN/A2124177
2014-08-20$770.20$1100.0026.3%10.0%32.4%34.2%0.0%-4.2%0.6%239.8K-3.8M-37.1K0.0070.09N/AN/A0024178
2014-08-21$769.20$1100.0032.9%9.4%32.4%58.1%39.4%-4.7%0.7%232.0K-3.7M-37.3K0.00113.23N/AN/A0124178
2014-08-22$778.80$860.0027.2%9.5%32.2%37.2%0.0%9.5%1.8%235.2K-3.9M-38.7K0.16110.45N/AN/A2024178
2014-08-25$765.00$860.0022.9%8.6%33.0%21.5%0.0%7.5%10.5%219.0K-3.3M-36.2K0.0086.63N/AN/A2024178
2014-08-26$756.80$860.0024.5%9.4%33.3%27.4%29.6%-9.9%1.6%240.2K-2.5M-32.6K0.2572.28N/AN/A561424278
2014-08-27$757.80$860.0023.7%9.3%33.0%24.7%0.0%-3.8%-0.4%260.1K-2.8M-40.0K0.0081.37N/AN/A1029690
2014-08-28$758.00$860.0037.1%9.4%27.8%73.5%38.0%7.4%-4.0%249.3K-3.3M-41.0K1.45106.97N/AN/A1229690
2014-08-29$749.00$920.0022.2%8.9%27.2%19.3%34.9%-7.0%1.9%250.0K-2.5M-39.3K21.3357.52N/AN/A0329791