DUG Options History — April 2015

In April 2015, DUG traded between $920.20 and $1062.80. ATM implied volatility averaged 38.3%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.8% (HV 20d: 36.6%). Max pain ranged from $920.00 to $1040.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2015-04-06: Highest Volume — 87 contracts
  • 2015-04-16: Largest IV drop — 18.1% change
  • 2015-04-09: Highest IV Rank — 42.8%
  • 2015-04-09: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$970.86$920.20$1062.80$1062.80$926.20
Max Pain$1014.29$920.00$1040.00$920.00$960.00
ATM IV38.3%35.0%43.1%38.6%35.7%
Expected Move11.1%10.0%12.4%11.1%10.2%
HV 20d36.6%31.9%41.0%39.0%32.3%
HV 60d41.5%34.5%44.9%44.7%34.5%
IV Rank37.9%34.6%42.8%38.2%35.2%
IV Percentile47.2%37.7%60.7%50.4%37.7%
Term Structure0.4%-6.0%6.9%4.0%2.2%
VWIV39.6%29.0%43.3%43.3%39.2%
Skew 25d-5.7%-10.6%-0.5%-8.4%-3.0%
Skew 10d-12.7%-26.9%-1.3%-11.3%-6.6%
Call IV 25d42.1%37.2%47.7%45.7%37.2%
Put IV 25d36.4%31.4%39.6%37.3%34.3%
Bid-Ask Spread %86.0059.62113.5198.9592.70
Gamma HHI0.130.070.290.090.20
Net GEX-22.3K-111.6K56.2K-24.3K38.8K
Net DEX-1.7M-8.4M1.5M-8.4M880.7K
Net VEX-13.2K-21.4K-9.0K-20.8K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.362.762.760.36
Total Volume57.7628877544
Total OI259.47675386383104

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$1062.80$920.0038.6%11.1%39.0%38.2%43.3%-8.4%4.0%-24.3K-8.4M-20.8K2.7698.95N/AN/A2055213170
2015-04-02$1054.00$1040.0041.1%12.2%39.0%40.8%43.1%-8.8%-0.7%-21.0K-8.3M-21.4K2.6759.62N/AN/A2156212170
2015-04-06$1014.80$1040.0038.9%11.6%38.7%38.5%43.0%-5.9%2.2%-80.5K-5.3M-17.1K1.8260.24N/AN/A3156213173
2015-04-07$1010.60$1040.0036.7%11.5%38.2%36.3%42.9%-6.0%1.9%-73.6K-4.9M-16.3K1.6362.19N/AN/A3150213173
2015-04-08$1030.60$1040.0041.5%11.9%37.3%41.2%29.0%-10.6%-0.2%-100.9K-6.1M-15.7K1.9668.11N/AN/A35212173
2015-04-09$1000.20$1020.0043.1%12.4%38.4%42.8%41.4%-6.2%-6.0%-89.5K-4.4M-15.0K2.0168.16N/AN/A2857212171
2015-04-10$990.80$1040.0038.9%11.2%37.9%38.5%41.7%-7.6%1.2%-78.0K-3.5M-14.7K2.1576.42N/AN/A2657212172
2015-04-13$1004.80$1040.0038.5%11.0%38.2%38.1%42.1%-9.1%0.3%-111.6K-4.1M-12.7K1.9877.01N/AN/A2652212172
2015-04-14$971.20$1040.0041.5%11.9%38.9%41.2%38.9%-1.7%-3.2%-28.7K-2.0M-11.7K2.4287.46N/AN/A2152212172
2015-04-15$924.40$1040.0042.8%12.3%41.0%42.5%38.5%-0.5%-3.3%55.6K1.4M-10.0K2.3992.04N/AN/A2252212172
2015-04-16$927.20$1020.0035.0%10.0%36.9%34.6%38.4%-7.2%6.9%56.2K1.5M-9.2K2.2889.50N/AN/A2352212172
2015-04-17$948.00$1020.0038.0%10.9%35.6%37.6%40.5%-3.2%-0.7%-23.8K-101.3K-9.2K1.7786.41N/AN/A2646214172
2015-04-20$938.60$1020.0036.4%10.4%35.0%36.0%38.6%-6.0%-0.3%-21.6K1.4M-9.0K0.7392.17N/AN/A17134134
2015-04-21$958.00$1020.0036.5%10.5%36.1%36.1%38.4%-5.6%2.6%-7.2K1.1M-10.4K0.8292.49N/AN/A16144635
2015-04-22$946.00$1020.0039.3%11.3%35.3%38.9%39.0%-4.2%-2.6%348922.1K-11.5K0.5897.37N/AN/A23145435
2015-04-23$931.20$1020.0036.0%10.3%34.9%35.6%37.8%-9.4%2.6%4.5K948.4K-12.3K0.5797.13N/AN/A24146235
2015-04-24$944.60$1020.0036.5%10.5%35.7%36.1%38.7%-4.0%1.1%23982.2K-12.0K0.5496.09N/AN/A23136135
2015-04-27$947.00$1020.0036.5%10.5%34.9%36.0%40.5%-3.0%1.4%1.5K944.1K-12.1K0.3896.39N/AN/A31126135
2015-04-28$936.80$960.0036.6%10.5%32.6%36.2%38.7%-3.4%0.9%19.1K724.8K-12.7K0.38102.00N/AN/A31126535
2015-04-29$920.20$960.0036.4%10.4%31.9%36.0%38.4%-5.3%-1.9%16.9K985.3K-11.5K0.36113.51N/AN/A32126535
2015-04-30$926.20$960.0035.7%10.2%32.3%35.2%39.2%-3.0%2.2%38.8K880.7K-11.7K0.3692.70N/AN/A32126935