DUG Options History — November 2014

In November 2014, DUG traded between $900.80 and $1093.20. ATM implied volatility averaged 45.8%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 5.0% (HV 20d: 50.8%). Max pain ranged from $800.00 to $860.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-11-05: Highest Volume — 309 contracts
  • 2014-11-28: Largest IV spike — 26.2% change
  • 2014-11-28: Highest IV Rank — 57.7%
  • 2014-11-28: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$950.45$900.80$1093.20$955.20$1093.20
Max Pain$816.84$800.00$860.00$800.00$800.00
ATM IV45.8%37.6%57.7%50.4%57.7%
Expected Move12.4%10.9%13.6%12.7%13.6%
HV 20d50.8%38.4%64.2%62.6%59.2%
HV 60d43.5%41.1%50.4%41.1%50.4%
IV Rank45.5%37.2%57.7%50.3%57.7%
IV Percentile92.6%85.3%98.0%96.4%98.0%
Term Structure-1.9%-15.8%2.4%-1.6%-3.7%
VWIV43.2%39.7%45.6%44.0%42.7%
Skew 25d-8.3%-18.0%-0.8%-6.4%-8.6%
Skew 10d-15.4%-33.8%17.0%-7.2%-4.1%
Call IV 25d51.3%44.8%58.1%54.0%58.1%
Put IV 25d43.0%35.0%49.5%47.6%49.5%
Bid-Ask Spread %72.5057.0891.2475.2587.77
Gamma HHI0.120.090.230.110.09
Net GEX-54.0K-295.7K374.7K-136.1K345.2K
Net DEX-6.9M-26.2M1.8M-3.9M-26.2M
Net VEX-70.8K-80.8K-58.0K-70.6K-58.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.001.541.540.07
Total Volume166.789130918216
Total OI692.632474791687498

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$955.20$800.0050.4%12.7%62.6%50.3%44.0%-6.4%-1.6%-136.1K-3.9M-70.6K1.5475.25N/AN/A72110381306
2014-11-04$993.60$800.0045.6%13.6%63.4%45.3%45.0%-8.6%1.5%-8.3K-9.6M-79.7K1.1670.19N/AN/A95110391306
2014-11-05$961.00$860.0047.7%12.5%64.2%47.5%43.8%-8.7%-0.8%-97.0K-5.5M-73.2K0.5567.71N/AN/A199110379306
2014-11-06$938.20$860.0045.5%12.5%59.2%45.3%42.6%-13.9%2.1%-23.1K-5.5M-79.9K0.5767.75N/AN/A190107443306
2014-11-07$914.60$860.0037.6%12.3%59.6%37.2%41.9%-18.0%-3.1%-61.2K-1.8M-80.8K1.0670.82N/AN/A101108446306
2014-11-10$930.80$860.0038.1%12.6%51.4%37.7%43.0%-0.8%0.8%-249.4K-1.1M-72.1K1.0662.94N/AN/A102108446307
2014-11-11$924.80$800.0042.1%12.0%51.0%41.7%43.2%-5.8%-1.0%-152.7K-2.0M-60.7K0.9358.90N/AN/A9992391270
2014-11-12$940.20$860.0042.1%12.2%49.5%41.8%42.3%-7.0%-1.1%-165.2K-3.0M-68.5K0.9570.89N/AN/A10397448308
2014-11-13$964.20$820.0046.5%12.5%49.8%46.3%44.0%-8.6%2.4%-94.7K-7.8M-76.2K0.8061.28N/AN/A128103451313
2014-11-14$946.80$800.0045.3%12.3%49.8%45.1%0.0%-6.2%-1.7%-113.3K-6.7M-78.6K0.2472.23N/AN/A10479310
2014-11-17$956.40$800.0048.2%12.9%49.8%48.1%43.6%-10.2%-10.4%-180.4K-6.5M-75.1K0.8166.25N/AN/A127103478310
2014-11-18$953.40$800.0045.7%13.0%45.7%45.5%45.2%-7.7%-0.2%-289.9K-6.3M-71.6K0.8857.08N/AN/A117103478310
2014-11-19$945.60$800.0047.7%13.4%44.2%47.5%42.9%-6.3%-3.0%-284.1K-5.1M-70.1K0.0089.58N/AN/A110481310
2014-11-20$923.00$800.0046.3%10.9%43.3%46.1%45.3%-9.4%1.4%-288.6K-4.7M-68.8K0.9982.65N/AN/A104103461310
2014-11-21$900.80$800.0040.2%11.6%43.9%39.8%42.0%-14.7%1.3%-295.7K1.8M-64.2K0.7270.23N/AN/A139100465311
2014-11-24$911.60$800.0047.2%11.6%40.4%47.0%39.7%-7.2%-3.7%321.6K-9.6M-64.4K0.0183.04N/AN/A150333141
2014-11-25$940.20$800.0049.4%12.5%38.4%49.2%45.6%-4.2%-15.8%374.7K-12.1M-65.8K0.7091.24N/AN/A11077346141
2014-11-26$965.00$800.0045.8%12.0%39.5%45.5%41.8%-5.9%0.3%371.6K-15.4M-67.6K0.0171.76N/AN/A90353141
2014-11-28$1093.20$800.0057.7%13.6%59.2%57.7%42.7%-8.6%-3.7%345.2K-26.2M-58.0K0.0787.77N/AN/A151357141