DUG Options History — March 2015

In March 2015, DUG traded between $1046.20 and $1158.80. ATM implied volatility averaged 43.3%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 9.7% (HV 20d: 33.5%). Max pain ranged from $900.00 to $960.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-03-04: Highest Volume — 101 contracts
  • 2015-03-10: Largest IV spike — 25.7% change
  • 2015-03-10: Highest IV Rank — 55.4%
  • 2015-03-10: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1095.28$1046.20$1158.80$1053.20$1065.40
Max Pain$921.82$900.00$960.00$960.00$920.00
ATM IV43.3%36.7%55.4%45.8%40.9%
Expected Move12.4%10.5%14.3%13.1%11.7%
HV 20d33.5%24.2%44.5%44.5%39.0%
HV 60d49.9%46.6%55.3%55.3%47.6%
IV Rank43.0%36.3%55.4%45.5%40.5%
IV Percentile62.3%48.8%82.1%69.0%55.6%
Term Structure2.7%-6.1%7.8%4.5%3.5%
VWIV42.0%31.8%48.6%43.9%42.1%
Skew 25d-7.9%-13.4%-0.1%-0.1%-6.7%
Skew 10d-18.3%-31.2%-8.0%-15.3%-17.1%
Call IV 25d48.7%43.1%54.9%44.7%44.9%
Put IV 25d40.8%34.6%45.9%44.6%38.2%
Bid-Ask Spread %88.4681.1597.6097.1795.32
Gamma HHI0.090.060.180.060.09
Net GEX72.4K-14.0K230.7K63.8K-14.0K
Net DEX-11.5M-15.8M-7.8M-9.1M-8.7M
Net VEX-25.7K-33.4K-21.7K-33.4K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.138.102.712.41
Total Volume37.54521019778
Total OI367.545346388346381

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$1053.20$960.0045.8%13.1%44.5%45.5%43.9%-0.1%4.5%63.8K-9.1M-33.4K2.7197.17N/AN/A2671200146
2015-03-03$1046.20$960.0042.2%12.1%38.1%41.9%42.7%-4.9%4.3%61.8K-9.1M-31.4K2.5490.29N/AN/A2870204149
2015-03-04$1050.80$960.0039.8%11.4%31.9%39.4%42.3%-7.3%5.5%68.2K-9.5M-29.1K2.3497.60N/AN/A3071205149
2015-03-05$1059.20$900.0043.4%12.5%29.7%43.1%41.9%-8.5%1.0%66.2K-9.7M-31.5K2.3681.89N/AN/A3071208150
2015-03-06$1098.60$900.0039.9%12.9%29.7%39.5%43.0%-6.2%-0.4%65.0K-11.6M-29.2K2.3582.55N/AN/A2968208150
2015-03-09$1111.20$900.0044.1%13.3%29.8%43.8%47.6%-13.4%-2.0%66.2K-13.3M-23.7K0.3981.30N/AN/A42209151
2015-03-10$1143.20$900.0055.4%14.3%30.8%55.4%48.6%-11.7%0.6%89.2K-15.0M-23.7K0.4681.15N/AN/A53212151
2015-03-11$1136.40$920.0046.1%13.2%31.1%45.9%45.8%-10.8%0.4%88.3K-14.0M-27.7K0.6281.92N/AN/A32208152
2015-03-12$1147.60$920.0045.4%13.0%31.0%45.2%45.6%-6.5%2.3%102.3K-14.7M-23.6K0.2488.00N/AN/A20210151
2015-03-13$1158.80$920.0046.9%13.4%28.0%46.6%46.5%-8.2%4.4%117.3K-15.8M-25.4K0.5185.58N/AN/A116211151
2015-03-16$1130.60$920.0045.5%13.0%24.7%45.2%45.8%-6.3%5.5%118.3K-14.8M-24.7K0.5186.76N/AN/A32216157
2015-03-17$1141.60$920.0041.8%12.0%24.2%41.5%42.3%-9.2%3.5%134.1K-14.7M-25.5K1.9288.93N/AN/A35218158
2015-03-18$1075.40$920.0043.9%12.6%33.4%43.6%31.8%-9.3%7.8%71.2K-10.6M-26.0K0.1392.46N/AN/A91218162
2015-03-19$1110.40$920.0041.6%11.9%34.7%41.2%43.1%-8.2%5.1%159.9K-12.6M-24.7K8.1089.50N/AN/A14223163
2015-03-20$1081.60$920.0040.5%11.6%36.5%40.2%35.3%-8.1%4.1%230.7K-10.5M-23.6K3.4089.37N/AN/A39222166
2015-03-23$1087.00$920.0036.7%10.5%36.4%36.3%37.2%-8.5%4.2%23.0K-10.0M-23.4K0.8188.70N/AN/A33203158
2015-03-24$1102.40$920.0038.8%11.1%36.5%38.4%39.6%-8.2%2.0%16.0K-11.1M-22.4K0.7789.00N/AN/A32206161
2015-03-25$1076.20$920.0040.2%11.5%37.3%39.8%39.2%-7.1%3.9%20.0K-9.5M-23.8K0.9288.54N/AN/A32207162
2015-03-26$1077.00$920.0042.9%12.3%35.6%42.6%41.3%-6.9%2.4%25.9K-9.4M-23.9K2.8286.41N/AN/A1954209163
2015-03-27$1093.60$920.0042.8%12.3%35.9%42.5%41.5%-8.1%2.9%31.1K-10.5M-24.0K1.7690.77N/AN/A47210167
2015-03-30$1049.80$920.0047.4%13.6%38.7%47.2%36.5%-8.7%-6.1%-12.6K-7.8M-23.3K2.5792.85N/AN/A2155211170
2015-03-31$1065.40$920.0040.9%11.7%39.0%40.5%42.1%-6.7%3.5%-14.0K-8.7M-21.7K2.4195.32N/AN/A2355211170