DUG Options History — September 2014

In September 2014, DUG traded between $762.40 and $873.40. ATM implied volatility averaged 31.6%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.2% (HV 20d: 25.4%). Max pain ranged from $860.00 to $1180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.00.

Notable Days

  • 2014-09-30: Highest Volume — 29 contracts
  • 2014-09-03: Largest IV drop — 35.1% change
  • 2014-09-02: Highest IV Rank — 82.3%
  • 2014-09-30: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$816.76$762.40$873.40$768.20$873.40
Max Pain$967.62$860.00$1180.00$920.00$860.00
ATM IV31.6%23.7%39.5%39.5%38.1%
Expected Move9.8%8.1%10.7%9.5%10.7%
HV 20d25.4%21.3%29.0%26.7%28.2%
HV 60d27.7%26.7%28.7%26.7%28.7%
IV Rank53.3%24.7%82.3%82.3%77.1%
IV Percentile71.3%7.1%98.0%98.0%96.8%
Term Structure2.4%-6.0%11.2%-6.0%1.1%
VWIV34.3%17.5%44.9%31.2%35.5%
Skew 25d-5.0%-8.9%7.1%-2.7%-6.3%
Skew 10d-10.8%-23.5%1.2%-6.6%-4.4%
Call IV 25d34.8%23.6%46.2%23.6%46.2%
Put IV 25d29.8%20.9%39.9%20.9%39.9%
Bid-Ask Spread %73.9347.61108.8873.9065.42
Gamma HHI0.230.190.290.200.24
Net GEX388.4K281.2K519.8K281.2K368.7K
Net DEX-7.3M-10.3M-2.9M-3.2M-10.3M
Net VEX-52.5K-59.9K-40.5K-41.3K-59.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.0025.170.030.94
Total Volume12.524029929
Total OI440.905391487391448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$768.20$920.0039.5%9.5%26.7%82.3%31.2%-2.7%-6.0%281.2K-3.2M-41.3K0.0373.90N/AN/A9029794
2014-09-03$762.40$900.0025.6%8.1%21.3%31.7%40.6%-5.3%-0.5%288.5K-2.9M-40.5K16.0060.68N/AN/A0430494
2014-09-04$783.20$900.0031.7%8.5%23.7%53.7%34.3%-4.0%-3.9%324.7K-4.4M-44.0K0.4473.92N/AN/A5230498
2014-09-05$772.40$900.0025.9%9.4%23.5%32.6%35.0%-7.9%2.4%311.5K-4.2M-43.3K11.5049.84N/AN/A220307100
2014-09-08$795.80$900.0029.3%9.6%23.2%45.0%44.9%-5.1%2.0%324.7K-5.2M-50.0K0.2247.61N/AN/A133308119
2014-09-09$804.20$1180.0032.6%10.1%23.5%57.3%17.5%-8.0%3.1%363.7K-6.2M-50.9K0.0870.27N/AN/A131318122
2014-09-10$807.20$1180.0023.7%9.9%23.1%24.7%0.0%-5.7%-2.1%415.8K-7.8M-53.0K0.0162.05N/AN/A250329123
2014-09-11$805.40$1180.0028.2%10.0%23.0%41.2%0.0%-4.4%11.2%399.7K-7.8M-53.7K0.0280.63N/AN/A120324123
2014-09-12$829.60$1180.0032.0%9.6%24.9%54.9%28.1%-3.8%2.0%469.9K-9.3M-52.7K0.0464.52N/AN/A161331123
2014-09-15$818.60$1180.0030.9%9.8%24.9%50.8%0.0%-8.9%5.7%492.5K-10.1M-54.6K0.3374.45N/AN/A00346123
2014-09-16$799.00$1180.0032.4%10.3%26.4%56.4%26.4%-3.6%7.2%448.1K-7.3M-52.5K0.1382.22N/AN/A162345124
2014-09-17$806.60$860.0033.0%10.1%25.9%58.5%35.7%7.1%6.2%498.6K-7.6M-52.4K2.41108.88N/AN/A717353125
2014-09-18$814.80$900.0030.9%10.1%25.9%51.1%0.0%-3.1%-1.3%519.8K-7.9M-54.2K3.0494.41N/AN/A39342137
2014-09-19$815.80$900.0028.9%9.4%25.8%43.8%0.0%-5.8%3.9%503.7K-7.6M-52.4K0.0297.81N/AN/A20344143
2014-09-22$839.80$900.0034.0%9.8%27.3%62.1%34.5%-1.3%-0.7%345.6K-6.7M-53.5K0.5782.66N/AN/A158292123
2014-09-23$845.00$860.0032.3%10.3%26.0%56.2%40.9%-6.6%2.6%363.0K-7.8M-58.2K0.2460.19N/AN/A31306131
2014-09-24$843.20$860.0030.5%10.1%25.5%49.4%34.9%-7.9%6.4%354.6K-8.6M-59.9K1.1066.47N/AN/A67309132
2014-09-25$868.40$860.0035.0%10.4%26.9%65.8%40.6%-5.5%-0.2%361.2K-9.8M-57.3K0.6490.94N/AN/A21309128
2014-09-26$847.60$860.0034.7%9.9%29.0%64.8%0.0%-7.3%7.0%351.8K-9.6M-59.8K0.0076.59N/AN/A10311129
2014-09-29$851.40$860.0033.4%10.3%28.2%60.1%34.1%-8.9%5.1%368.6K-9.8M-59.2K25.1769.12N/AN/A08312129
2014-09-30$873.40$860.0038.1%10.7%28.2%77.1%35.5%-6.3%1.1%368.7K-10.3M-59.3K0.9465.42N/AN/A1514312136