DUG Options History — May 2015

In May 2015, DUG traded between $922.00 and $1018.40. ATM implied volatility averaged 38.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.6% (HV 20d: 28.4%). Max pain ranged from $960.00 to $1000.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-05-20: Highest Volume — 63 contracts
  • 2015-05-11: Largest IV spike — 65.0% change
  • 2015-05-11: Highest IV Rank — 64.6%
  • 2015-05-11: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$973.13$922.00$1018.40$922.00$1018.40
Max Pain$971.00$960.00$1000.00$960.00$960.00
ATM IV38.0%32.0%64.4%32.6%34.4%
Expected Move10.5%9.2%12.0%9.3%9.9%
HV 20d28.4%25.4%34.2%32.3%25.9%
HV 60d33.4%32.7%34.5%33.7%33.2%
IV Rank37.6%31.5%64.6%32.0%33.9%
IV Percentile42.3%26.6%93.3%33.3%30.2%
Term Structure0.2%-3.7%5.3%5.3%1.2%
VWIV36.9%31.8%42.9%36.2%32.7%
Skew 25d-6.4%-9.5%-3.4%-6.2%-3.4%
Skew 10d-12.7%-23.6%-6.0%-9.3%-13.4%
Call IV 25d40.8%37.3%46.7%38.5%37.9%
Put IV 25d34.4%31.1%37.2%32.4%34.6%
Bid-Ask Spread %82.6865.0699.0993.4290.31
Gamma HHI0.190.060.580.190.10
Net GEX57.9K-10.4K294.2K39.0K29.4K
Net DEX-22.4K-991.5K936.0K936.0K-991.5K
Net VEX-12.5K-13.7K-11.2K-11.5K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.071.360.290.55
Total Volume43.52634956
Total OI125.15105142105142

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$922.00$960.0032.6%9.3%32.3%32.0%36.2%-6.2%5.3%39.0K936.0K-11.5K0.2993.42N/AN/A38117035
2015-05-04$925.40$1000.0036.9%10.8%30.3%36.5%0.0%-6.7%-0.7%44.3K926.2K-11.8K0.0068.72N/AN/A047436
2015-05-05$945.80$1000.0038.5%11.1%31.7%38.1%40.6%-5.6%0.8%57.0K613.4K-11.2K0.3765.06N/AN/A38147533
2015-05-06$955.40$1000.0039.0%11.6%30.9%38.6%42.9%-9.0%-0.3%64.0K265.5K-12.0K0.4468.01N/AN/A35167734
2015-05-07$974.40$1000.0045.9%11.9%30.4%45.6%41.8%-9.5%-1.0%60.9K-163.8K-13.3K0.3669.93N/AN/A42158135
2015-05-08$943.60$980.0039.1%11.9%32.2%38.7%38.9%-5.8%-2.9%79.0K274.3K-11.8K0.5270.30N/AN/A118935
2015-05-11$975.80$980.0064.4%12.0%34.2%64.6%41.3%-8.3%-3.7%167.9K-253.8K-12.1K0.0785.34N/AN/A308835
2015-05-12$965.40$960.0042.1%10.8%32.2%41.8%40.9%-8.2%0.2%108.2K-299.5K-12.9K0.2878.72N/AN/A45139236
2015-05-13$971.20$960.0040.9%11.7%26.5%40.5%39.6%-5.1%-0.8%168.6K-193.3K-11.9K0.3378.74N/AN/A41149536
2015-05-14$974.40$960.0035.6%10.2%26.5%35.2%38.3%-6.4%1.6%294.2K-455.9K-12.2K0.3680.86N/AN/A37149737
2015-05-15$966.20$960.0033.1%9.5%25.7%32.6%36.7%-7.4%1.9%17.0K-555.1K-11.5K0.3777.39N/AN/A39149736
2015-05-18$966.00$980.0032.4%9.3%25.4%31.9%33.0%-7.5%3.5%14.8K172.8K-11.4K1.3690.56N/AN/A9128028
2015-05-19$991.80$960.0035.9%10.3%26.1%35.5%37.6%-3.5%-0.8%-5.2K102.1K-13.7K0.4387.86N/AN/A218740
2015-05-20$986.00$960.0034.5%9.9%25.7%34.0%33.8%-7.3%0.5%2.0K62.4K-13.6K0.6599.09N/AN/A38258941
2015-05-21$968.60$960.0032.0%9.2%25.9%31.5%32.2%-6.2%2.8%-10.4K377.5K-12.9K0.6491.34N/AN/A38259141
2015-05-22$976.80$960.0034.4%9.9%25.6%33.9%33.5%-6.7%1.1%-7.5K272.7K-13.0K0.6593.90N/AN/A38259141
2015-05-26$1007.20$960.0035.4%10.2%27.6%35.0%31.8%-4.5%-0.5%2.4K-263.9K-13.1K0.6287.31N/AN/A33219241
2015-05-27$1010.60$960.0035.7%10.2%27.1%35.3%36.1%-6.1%-0.9%10.0K-490.2K-13.3K0.5889.07N/AN/A35209541
2015-05-28$1017.60$960.0037.5%10.8%25.9%37.1%32.5%-4.0%-2.7%23.1K-784.0K-13.7K0.5487.68N/AN/A37209842
2015-05-29$1018.40$960.0034.4%9.9%25.9%33.9%32.7%-3.4%1.2%29.4K-991.5K-13.4K0.5590.31N/AN/A362010042