DUG Options History — December 2014

In December 2014, DUG traded between $1026.00 and $1281.60. ATM implied volatility averaged 60.1%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 5.1% (HV 20d: 65.2%). Max pain ranged from $800.00 to $1180.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2014-12-18: Highest Volume — 222 contracts
  • 2014-12-29: Largest IV spike — 43.5% change
  • 2014-12-10: Highest IV Rank — 76.5%
  • 2014-12-16: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1111.25$1026.00$1281.60$1081.00$1066.80
Max Pain$878.10$800.00$1180.00$800.00$1000.00
ATM IV60.1%39.3%76.1%55.9%55.6%
Expected Move15.7%13.4%18.6%14.3%16.5%
HV 20d65.2%54.4%78.4%56.9%63.0%
HV 60d55.8%50.4%60.3%50.4%59.9%
IV Rank60.1%38.9%76.5%55.9%55.6%
IV Percentile94.7%75.4%99.6%97.2%91.3%
Term Structure-2.8%-20.7%24.5%4.4%-2.3%
VWIV53.2%21.4%64.7%49.6%51.4%
Skew 25d-7.0%-17.2%15.6%-11.7%-13.0%
Skew 10d-15.1%-30.1%3.8%-8.9%-27.4%
Call IV 25d65.2%50.6%87.5%65.6%59.1%
Put IV 25d58.3%37.8%92.8%53.9%46.1%
Bid-Ask Spread %77.3762.6298.9778.4864.87
Gamma HHI0.080.060.130.070.11
Net GEX320.3K190.2K439.5K332.4K267.3K
Net DEX-25.7M-40.6M-15.2M-25.5M-18.6M
Net VEX-62.5K-73.7K-51.3K-66.1K-55.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.032.571.150.08
Total Volume127.18222221357
Total OI569.682503655503590

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$1081.00$800.0055.9%14.3%56.9%55.9%49.6%-11.7%4.4%332.4K-25.5M-66.1K1.1578.48N/AN/A6372361142
2014-12-02$1059.60$800.0052.7%13.6%56.6%52.6%47.2%-2.2%7.9%375.6K-23.5M-69.5K1.0479.14N/AN/A6871369143
2014-12-03$1030.40$800.0060.1%13.8%56.3%60.1%48.7%4.2%-11.3%412.2K-21.4M-68.8K1.1085.29N/AN/A6571382143
2014-12-04$1049.80$800.0057.5%13.4%55.0%57.5%21.4%1.9%-7.2%418.6K-23.3M-64.7K0.0388.13N/AN/A20381143
2014-12-05$1076.80$800.0054.9%13.8%54.4%54.8%45.4%-5.5%-4.9%439.5K-25.3M-60.2K1.1171.81N/AN/A6471381143
2014-12-08$1163.60$800.0067.5%14.5%58.4%67.7%48.3%-9.2%-8.9%363.9K-32.3M-56.2K1.4066.95N/AN/A5374382143
2014-12-09$1140.20$800.0061.2%15.1%59.4%61.3%51.2%-9.2%4.7%371.6K-31.9M-59.3K1.2470.69N/AN/A6074387145
2014-12-10$1216.40$800.0076.1%15.8%62.1%76.5%52.9%-6.5%-13.3%341.8K-36.3M-56.6K1.2884.86N/AN/A5672389146
2014-12-11$1215.00$800.0065.0%16.0%62.3%65.1%53.4%-6.7%-10.0%368.6K-36.5M-56.4K1.2880.61N/AN/A5772396148
2014-12-12$1261.40$800.0072.1%17.7%62.8%72.4%53.1%-10.0%-11.7%318.6K-39.9M-51.3K1.4472.36N/AN/A5985395154
2014-12-15$1281.60$800.0075.7%18.2%61.7%76.0%60.8%-14.1%-11.4%293.1K-40.6M-53.1K2.3672.09N/AN/A58137396167
2014-12-16$1255.40$820.0072.1%18.6%63.0%72.4%57.1%-13.8%-7.8%253.0K-38.2M-58.8K2.2571.69N/AN/A60136407213
2014-12-17$1147.00$820.0070.2%17.7%72.9%70.5%60.4%-17.2%-10.5%190.2K-27.3M-70.1K2.1081.79N/AN/A63132410215
2014-12-18$1109.00$820.0061.0%16.9%74.2%61.0%60.1%-8.0%1.2%288.2K-26.5M-73.7K1.5675.48N/AN/A87135420216
2014-12-19$1038.00$820.0054.3%16.4%78.0%54.3%62.0%-11.8%9.2%297.7K-17.9M-70.6K0.3885.79N/AN/A41437218
2014-12-22$1056.20$0.0057.7%16.7%77.3%57.7%60.7%-7.7%-1.0%285.4K-19.2M-71.7K1.4362.62N/AN/A72103409192
2014-12-23$1026.00$1180.0052.2%15.7%78.4%52.1%54.9%-12.1%2.4%289.8K-17.1M-66.4K2.1762.97N/AN/A48103411193
2014-12-24$1043.00$1180.0050.3%15.5%77.9%50.2%55.5%-8.4%5.5%280.6K-16.4M-65.2K2.1167.05N/AN/A48100398193
2014-12-26$1041.60$1000.0039.3%15.9%77.5%38.9%59.3%15.6%24.5%282.8K-16.3M-63.9K2.1598.97N/AN/A46100399193
2014-12-29$1037.00$1000.0056.4%14.0%63.0%56.3%64.7%5.3%-20.7%298.6K-15.2M-59.9K2.1787.40N/AN/A46100399194
2014-12-30$1051.80$1000.0053.5%15.7%63.2%53.4%0.0%-12.8%-0.4%276.6K-16.8M-56.9K2.5793.19N/AN/A12396194
2014-12-31$1066.80$1000.0055.6%16.5%63.0%55.6%51.4%-13.0%-2.3%267.3K-18.6M-55.8K0.0864.87N/AN/A61396194