DUG Options History — October 2014

In October 2014, DUG traded between $907.20 and $1091.80. ATM implied volatility averaged 50.2%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 5.1% (HV 20d: 45.1%). Max pain ranged from $860.00 to $860.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.66.

Notable Days

  • 2014-10-08: Highest Volume — 304 contracts
  • 2014-10-16: Largest IV spike — 5469.2% change
  • 2014-10-01: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$979.43$907.20$1091.80$907.20$920.60
Max Pain$860.00$860.00$860.00$860.00$860.00
ATM IV50.2%1.2%99.1%46.5%43.9%
Expected Move12.9%11.2%15.2%11.3%12.5%
HV 20d45.1%27.0%61.2%29.8%61.2%
HV 60d35.5%29.2%41.2%29.6%41.2%
IV Rank64.6%0.0%100.0%100.0%43.7%
IV Percentile93.3%0.0%100.0%100.0%93.3%
Term Structure-3.0%-16.5%10.6%-7.8%5.8%
VWIV44.2%38.9%52.4%41.4%41.5%
Skew 25d-7.8%-12.7%-1.3%-9.5%-9.5%
Skew 10d-14.8%-31.2%8.9%8.9%-24.2%
Call IV 25d54.7%43.7%72.6%49.2%49.8%
Put IV 25d46.9%36.6%62.6%39.7%40.4%
Bid-Ask Spread %72.6958.2392.2170.7061.81
Gamma HHI0.120.080.230.230.11
Net GEX139.8K-131.7K407.6K356.8K-131.7K
Net DEX-12.3M-24.5M-1.0M-12.9M-1.0M
Net VEX-71.6K-83.2K-55.7K-61.0K-72.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.018.002.071.49
Total Volume156.304330416184
Total OI593.217463708463663

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$907.20$860.0046.5%11.3%29.8%100.0%41.4%-9.5%-7.8%356.8K-12.9M-61.0K2.0770.70N/AN/A511314149
2014-10-02$914.20$860.0042.3%11.6%29.0%85.5%39.3%-7.2%-1.5%337.8K-14.7M-62.4K0.3262.93N/AN/A3311319159
2014-10-03$916.60$860.0042.9%11.6%28.0%87.5%39.9%-5.1%-5.0%372.2K-14.3M-65.5K8.0080.20N/AN/A211337169
2014-10-06$915.20$860.0040.5%11.2%27.0%79.4%0.0%-6.9%-0.6%356.6K-14.2M-65.3K0.3358.23N/AN/A21337179
2014-10-07$940.20$860.0047.5%11.3%27.9%100.0%39.0%-8.5%-2.8%392.6K-15.9M-63.8K0.0165.76N/AN/A120338180
2014-10-08$922.40$860.0045.5%11.5%29.5%93.4%40.2%-8.5%2.4%372.3K-16.6M-67.6K1.4870.75N/AN/A122182343180
2014-10-09$991.40$860.0066.9%12.2%37.3%100.0%38.9%-1.3%-0.4%239.3K-17.1M-58.0K1.6869.20N/AN/A104175309219
2014-10-10$996.80$860.0058.1%12.7%36.6%82.5%41.5%-10.2%-10.1%207.4K-16.5M-63.6K1.2868.18N/AN/A103133301227
2014-10-13$1080.20$860.0099.1%14.1%43.5%100.0%42.0%-6.1%-16.5%212.2K-22.8M-55.7K0.9474.32N/AN/A143135312234
2014-10-14$1055.00$860.0072.3%14.0%43.4%67.3%49.5%-9.7%-9.4%206.8K-22.0M-70.0K1.1874.25N/AN/A129152339262
2014-10-15$1091.80$860.001.2%15.2%43.9%0.0%49.3%-4.4%-12.5%57.3K-24.5M-68.8K1.8781.47N/AN/A87161334299
2014-10-16$1055.20$860.0065.2%14.9%47.3%65.3%50.1%-12.7%-15.5%244.6K-21.0M-77.4K0.7075.90N/AN/A1813374308
2014-10-17$1037.40$860.0055.7%14.3%48.3%55.7%0.0%-11.5%-4.7%407.6K-17.3M-80.5K0.6973.29N/AN/A2215388320
2014-10-20$1019.60$860.0056.2%14.4%48.9%56.2%52.4%-8.8%-2.0%20.7K-10.3M-82.6K1.8775.61N/AN/A58109316286
2014-10-21$964.00$860.0045.1%12.5%54.2%44.9%43.8%-4.2%-1.7%-51.9K-5.7M-79.6K1.7677.82N/AN/A62109322286
2014-10-22$994.80$860.0048.3%13.3%54.8%48.1%45.8%-9.8%-2.5%-78.3K-6.2M-74.5K1.8174.28N/AN/A68122327287
2014-10-23$960.40$860.0038.2%12.9%56.3%37.8%46.9%-10.9%10.6%-87.8K-2.4M-83.2K1.6575.34N/AN/A70116341305
2014-10-24$963.40$860.0045.9%12.2%55.2%45.7%46.2%-3.6%0.6%-56.2K-4.5M-81.2K1.6170.92N/AN/A72116346305
2014-10-27$1009.00$860.0052.5%13.4%57.0%52.4%46.4%-7.8%-3.3%-8.5K-8.8M-80.2K1.7270.38N/AN/A68116347305
2014-10-28$958.60$860.0051.7%12.9%60.4%51.6%45.1%-8.8%-2.7%-9.2K-6.5M-78.4K1.7478.52N/AN/A71123353305
2014-10-29$953.00$860.0048.4%13.2%59.2%48.2%46.0%-7.1%4.6%-77.8K-2.9M-77.7K1.9592.21N/AN/A60116353305
2014-10-30$959.80$860.0041.9%12.7%59.2%41.6%42.7%-7.6%6.8%-67.1K-4.4M-78.5K2.0369.74N/AN/A57116356306
2014-10-31$920.60$860.0043.9%12.5%61.2%43.7%41.5%-9.5%5.8%-131.7K-1.0M-72.5K1.4961.81N/AN/A74110357306