DUG Options History — February 2015

In February 2015, DUG traded between $958.80 and $1080.80. ATM implied volatility averaged 50.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 3.3% (HV 20d: 54.1%). Max pain ranged from $960.00 to $1160.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-02-18: Highest Volume — 104 contracts
  • 2015-02-20: Largest IV spike — 11.5% change
  • 2015-02-05: Highest IV Rank — 60.8%
  • 2015-02-02: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1014.84$958.80$1080.80$1080.80$1037.40
Max Pain$1053.68$960.00$1160.00$1160.00$960.00
ATM IV50.9%38.7%60.7%59.5%38.7%
Expected Move14.4%11.1%17.1%17.1%11.1%
HV 20d54.1%43.8%63.7%63.7%44.0%
HV 60d60.3%55.4%61.6%59.8%55.4%
IV Rank50.7%38.3%60.8%59.5%38.3%
IV Percentile77.3%59.1%91.7%89.7%59.1%
Term Structure2.1%-7.8%14.3%-7.8%4.0%
VWIV51.2%39.5%64.0%49.4%39.5%
Skew 25d-9.3%-14.5%3.8%-10.1%-4.0%
Skew 10d-16.3%-29.4%-2.3%-23.8%-11.2%
Call IV 25d56.8%42.4%66.2%66.2%44.8%
Put IV 25d47.5%39.9%56.1%56.1%40.9%
Bid-Ask Spread %81.7750.0699.6587.4992.66
Gamma HHI0.060.060.070.060.07
Net GEX86.4K40.5K118.1K113.8K40.5K
Net DEX-7.0M-11.0M-4.6M-11.0M-8.2M
Net VEX-37.1K-41.4K-29.6K-40.0K-29.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.063.010.062.76
Total Volume79.7372104293
Total OI345.632331382331343

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$1080.80$1160.0059.5%17.1%63.7%59.5%49.4%-10.1%-7.8%113.8K-11.0M-40.0K0.0687.49N/AN/A20206125
2015-02-03$1020.60$1160.0055.7%16.0%59.8%55.7%64.0%-12.8%3.3%99.7K-7.9M-39.7K1.3687.08N/AN/A3953209125
2015-02-04$1055.00$1160.0059.4%17.0%60.2%59.4%60.9%-9.3%-3.5%114.4K-8.8M-41.4K1.4799.65N/AN/A3754214125
2015-02-05$1021.00$1080.0060.7%15.5%61.0%60.8%56.8%-11.1%0.8%106.7K-7.5M-40.8K1.6058.83N/AN/A3454216126
2015-02-06$1022.00$1080.0056.6%15.0%59.5%56.6%55.6%-10.6%-0.3%105.2K-6.7M-40.5K1.5751.45N/AN/A3453216126
2015-02-09$1017.60$1080.0055.9%16.8%59.3%55.8%58.0%-12.9%0.8%105.5K-6.8M-40.9K1.6450.06N/AN/A3354219126
2015-02-10$1022.20$1080.0057.5%15.3%54.9%57.5%57.1%-12.6%-1.1%109.0K-7.7M-38.9K1.8466.48N/AN/A2953220127
2015-02-11$1035.60$1080.0053.8%15.4%54.6%53.8%58.0%-12.7%1.6%118.1K-8.4M-39.3K1.8572.27N/AN/A2954219127
2015-02-12$1004.20$1080.0050.3%14.4%55.2%50.2%54.5%-11.8%2.6%92.9K-6.2M-37.9K1.2581.40N/AN/A4252219127
2015-02-13$964.00$1080.0048.5%13.9%54.4%48.3%47.7%-7.5%3.2%93.5K-4.8M-36.6K1.2380.80N/AN/A4353229127
2015-02-17$958.80$1060.0044.8%12.8%50.5%44.6%47.6%-2.9%14.3%86.5K-4.6M-36.6K1.1987.66N/AN/A4554230128
2015-02-18$985.00$1040.0049.1%14.1%52.1%48.9%51.2%-14.5%2.3%87.3K-4.9M-34.4K1.2993.28N/AN/A4559233129
2015-02-19$996.00$1040.0046.2%13.2%51.3%46.0%44.5%-13.4%10.4%79.0K-6.3M-34.4K2.2394.63N/AN/A1021229134
2015-02-20$1004.00$1040.0051.5%14.8%51.5%51.4%49.3%3.8%0.4%46.0K-5.3M-37.2K0.4396.03N/AN/A42232150
2015-02-23$1015.40$960.0049.3%14.1%51.4%49.1%46.3%-11.9%-1.2%62.2K-7.2M-34.3K2.4480.38N/AN/A2869195136
2015-02-24$1012.00$960.0045.7%13.1%50.7%45.4%47.8%-13.1%2.1%62.4K-6.6M-35.7K2.4392.54N/AN/A2869195137
2015-02-25$998.20$960.0040.7%11.7%50.8%40.3%42.7%-8.9%6.3%62.2K-6.5M-34.6K2.9390.05N/AN/A2469196137
2015-02-26$1032.20$960.0042.5%12.2%43.8%42.2%41.5%-1.2%1.8%56.8K-7.9M-31.6K3.0190.90N/AN/A2370197138
2015-02-27$1037.40$960.0038.7%11.1%44.0%38.3%39.5%-4.0%4.0%40.5K-8.2M-29.6K2.7692.66N/AN/A2568199144