DUG Options History — June 2015

In June 2015, DUG traded between $1010.80 and $1100.60. ATM implied volatility averaged 32.1%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.0% (HV 20d: 24.1%). Max pain ranged from $960.00 to $1060.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-06-17: Highest Volume — 70 contracts
  • 2015-06-29: Largest IV spike — 40.8% change
  • 2015-06-30: Highest IV Rank — 38.7%
  • 2015-06-30: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1045.13$1010.80$1100.60$1024.20$1085.80
Max Pain$1036.36$960.00$1060.00$960.00$1040.00
ATM IV32.1%24.9%39.0%34.9%39.0%
Expected Move9.2%7.1%11.2%10.0%11.2%
HV 20d24.1%21.3%27.5%25.7%25.5%
HV 60d30.3%27.8%33.2%33.2%27.8%
IV Rank31.6%24.2%38.7%34.4%38.7%
IV Percentile23.1%4.0%46.8%31.3%46.8%
Term Structure3.5%-3.8%9.1%0.1%-2.8%
VWIV31.9%24.7%39.4%31.7%39.0%
Skew 25d-6.3%-10.1%-4.4%-4.6%-5.1%
Skew 10d-11.7%-22.2%3.7%-8.9%-14.2%
Call IV 25d36.6%29.2%44.9%37.8%42.7%
Put IV 25d30.3%24.2%37.6%33.3%37.6%
Bid-Ask Spread %89.5075.25112.4289.4592.21
Gamma HHI0.100.080.180.100.08
Net GEX16.2K-112.6K66.3K32.9K24.9K
Net DEX-913.4K-1.5M556-1.1M-1.2M
Net VEX-11.7K-12.8K-10.3K-12.7K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.050.870.380.44
Total Volume57.0916705047
Total OI143.182126159143135

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$1024.20$960.0034.9%10.0%25.7%34.4%31.7%-4.6%0.1%32.9K-1.1M-12.7K0.3889.45N/AN/A361410142
2015-06-02$1010.80$960.0034.7%9.9%26.5%34.2%34.1%-7.0%-1.4%23.3K-753.0K-12.0K0.0593.08N/AN/A6010141
2015-06-03$1023.20$960.0036.9%10.6%25.9%36.5%29.3%-4.9%-3.8%10.1K-857.6K-11.7K0.3492.53N/AN/A39149942
2015-06-04$1051.20$1040.0037.4%10.0%27.1%37.0%39.4%-4.4%3.3%43.5K-1.5M-11.4K0.3475.25N/AN/A42149942
2015-06-05$1033.80$1040.0034.6%9.3%27.5%34.1%37.9%-8.8%6.5%50.2K-1.4M-12.2K0.3484.83N/AN/A431510342
2015-06-08$1041.40$1040.0033.6%10.0%24.2%33.1%38.3%-8.4%3.8%54.1K-1.4M-12.1K0.3677.69N/AN/A401510243
2015-06-09$1042.80$1040.0034.3%9.9%21.7%33.8%37.3%-6.4%0.4%66.3K-1.3M-11.4K0.3787.47N/AN/A401510243
2015-06-10$1017.20$1040.0032.0%9.2%23.4%31.5%32.5%-6.3%5.2%40.2K-645.8K-11.4K0.5982.93N/AN/A402410243
2015-06-11$1027.00$1060.0029.5%8.5%23.5%28.9%29.5%-6.1%6.7%37.4K-573.1K-11.3K0.6783.17N/AN/A402710152
2015-06-12$1047.60$1060.0031.9%9.1%24.3%31.3%31.2%-5.7%4.4%44.7K-998.6K-12.8K0.6779.85N/AN/A402710155
2015-06-15$1054.60$1060.0032.5%9.3%23.9%32.0%32.5%-8.2%7.5%44.4K-1.3M-12.7K0.6582.14N/AN/A422710155
2015-06-16$1039.40$1060.0032.6%9.3%24.8%32.1%31.3%-8.3%6.3%46.4K-1.1M-12.4K0.6484.98N/AN/A422610155
2015-06-17$1040.60$1060.0029.3%8.4%23.3%28.7%31.1%-7.1%9.1%3.5K-784.8K-12.3K0.63112.42N/AN/A432710155
2015-06-18$1043.00$1060.0030.0%8.6%23.1%29.5%29.1%-6.3%2.5%28.9K-875.8K-11.5K0.6592.85N/AN/A412710356
2015-06-19$1059.40$1060.0029.9%8.6%22.1%29.4%29.5%-5.6%5.8%-112.6K-1.4M-11.7K0.5186.92N/AN/A462310356
2015-06-22$1040.00$1060.0025.7%7.4%23.5%25.0%27.0%-5.7%7.6%-33.1K556-11.4K0.8791.84N/AN/A32288641
2015-06-23$1033.40$1040.0024.9%7.1%21.3%24.2%25.4%-5.2%7.0%-31.8K-70.4K-10.8K0.8599.39N/AN/A35298739
2015-06-24$1044.80$1040.0026.9%7.7%21.6%26.2%26.8%-4.9%2.9%-31.1K-156.7K-10.6K0.5396.55N/AN/A34188940
2015-06-25$1068.00$1040.0029.1%8.4%22.7%28.6%24.7%-5.0%1.4%-3.2K-681.1K-10.3K0.5496.15N/AN/A34188941
2015-06-26$1064.00$1040.0027.5%7.9%22.8%26.8%30.4%-5.0%6.9%2.5K-734.1K-11.4K0.5393.06N/AN/A34188941
2015-06-29$1100.60$1040.0038.6%11.1%25.4%38.3%34.2%-10.1%-3.1%14.6K-1.3M-10.8K0.5594.16N/AN/A35199041
2015-06-30$1085.80$1040.0039.0%11.2%25.5%38.7%39.0%-5.1%-2.8%24.9K-1.2M-11.9K0.4492.21N/AN/A33149342