DUG Options History — January 2015

In January 2015, DUG traded between $1054.80 and $1241.40. ATM implied volatility averaged 61.4%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 2.2% (HV 20d: 59.2%). Max pain ranged from $1000.00 to $1200.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-01-15: Highest Volume — 171 contracts
  • 2015-01-13: Largest IV spike — 28.1% change
  • 2015-01-13: Highest IV Rank — 92.1%
  • 2015-01-14: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1149.93$1054.80$1241.40$1054.80$1155.20
Max Pain$1086.00$1000.00$1200.00$1000.00$1160.00
ATM IV61.4%46.0%91.4%57.0%64.5%
Expected Move17.1%13.2%19.1%17.4%18.5%
HV 20d59.2%51.5%68.2%62.3%58.7%
HV 60d59.1%57.7%61.6%59.7%58.6%
IV Rank61.5%45.8%92.1%57.0%64.7%
IV Percentile91.1%77.0%99.6%92.9%93.7%
Term Structure0.7%-5.2%9.6%6.9%-2.6%
VWIV60.8%46.9%69.9%56.3%61.8%
Skew 25d-11.6%-28.2%10.3%10.3%-16.3%
Skew 10d-21.3%-40.6%-2.0%-3.1%-33.5%
Call IV 25d65.9%52.4%78.2%54.8%72.5%
Put IV 25d54.3%41.4%65.1%65.1%56.3%
Bid-Ask Spread %78.1660.8698.7095.4185.81
Gamma HHI0.080.050.180.100.06
Net GEX148.0K-22.3K267.8K267.8K124.9K
Net DEX-20.4M-31.3M-11.2M-18.5M-13.8M
Net VEX-45.8K-58.4K-40.5K-58.4K-40.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.002.122.121.28
Total Volume85.91171140110
Total OI472.05305611596332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$1054.80$1000.0057.0%17.4%62.3%57.0%56.3%10.3%6.9%267.8K-18.5M-58.4K2.1295.41N/AN/A4595402194
2015-01-05$1142.00$1000.0069.2%18.7%68.1%69.5%65.4%-13.9%-4.4%234.3K-25.8M-50.4K0.4264.18N/AN/A125396193
2015-01-06$1174.60$1000.0068.0%17.9%68.2%68.2%65.8%-14.1%0.9%229.4K-28.8M-50.7K0.3461.08N/AN/A93405197
2015-01-07$1169.00$1000.0060.6%17.4%62.5%60.7%61.2%-14.5%-1.8%185.5K-29.0M-50.1K0.0074.49N/AN/A10408197
2015-01-08$1120.20$1000.0056.0%17.7%63.9%56.0%59.8%-11.5%-4.5%192.1K-24.5M-50.9K1.9867.70N/AN/A52102408197
2015-01-09$1131.20$1000.0060.1%16.8%59.3%60.1%59.9%-14.5%-2.0%175.6K-24.1M-52.7K1.8867.66N/AN/A54101411200
2015-01-12$1195.80$1000.0071.4%17.5%62.9%71.6%63.4%-13.6%-5.2%176.1K-31.2M-45.8K1.6060.86N/AN/A6198410200
2015-01-13$1218.60$1000.0091.4%18.7%61.7%92.1%66.3%-12.6%-3.9%150.9K-28.4M-45.4K1.5363.39N/AN/A6498371200
2015-01-14$1206.40$1000.0066.6%19.1%61.4%66.8%69.9%-22.8%-1.3%196.0K-30.2M-43.3K1.8978.31N/AN/A58109379201
2015-01-15$1241.40$1000.0064.1%18.4%62.0%64.3%63.3%-10.8%-0.3%254.2K-31.3M-43.9K1.9572.89N/AN/A58113381211
2015-01-16$1161.40$1200.0060.4%17.3%57.9%60.5%65.6%-28.2%7.5%-22.3K-23.2M-43.8K0.8680.07N/AN/A43379215
2015-01-20$1158.80$1200.0060.0%17.2%56.5%60.1%61.2%-15.8%5.9%83.8K-13.4M-42.9K0.1291.27N/AN/A61188117
2015-01-21$1115.40$1160.0055.1%15.8%52.8%55.0%60.1%-16.2%3.9%93.6K-12.1M-42.2K1.4872.87N/AN/A23193118
2015-01-22$1104.80$1160.0053.3%15.3%52.7%53.2%57.6%-9.6%0.3%93.5K-11.4M-44.4K1.4873.71N/AN/A4262197121
2015-01-23$1120.00$1160.0052.4%15.0%51.5%52.3%55.8%-7.8%1.1%94.7K-11.4M-42.8K1.3286.69N/AN/A4762197121
2015-01-26$1089.60$1200.0046.0%13.2%52.5%45.8%46.9%-0.8%9.6%97.1K-11.3M-42.2K0.3898.70N/AN/A31200121
2015-01-27$1091.20$1160.0049.4%14.2%52.5%49.2%54.9%-9.1%5.2%97.7K-11.2M-42.2K0.0395.93N/AN/A20202122
2015-01-28$1176.20$1160.0059.2%17.0%58.4%59.3%60.6%-11.7%-0.6%113.8K-14.0M-40.5K1.2591.90N/AN/A5265206122
2015-01-29$1172.00$1160.0063.1%18.1%58.4%63.2%60.3%1.4%-0.1%122.0K-14.5M-41.9K1.3080.23N/AN/A5065205124
2015-01-30$1155.20$1160.0064.5%18.5%58.7%64.7%61.8%-16.3%-2.6%124.9K-13.8M-40.9K1.2885.81N/AN/A4862208124