DUG Options History — August 2015

In August 2015, DUG traded between $1223.00 and $1667.40. ATM implied volatility averaged 57.7%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 0.4% (HV 20d: 57.2%). Max pain ranged from $1160.00 to $1400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2015-08-31: Highest Volume — 218 contracts
  • 2015-08-07: Largest IV spike — 43.2% change
  • 2015-08-24: Highest IV Rank — 87.6%
  • 2015-08-24: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1371.32$1223.00$1667.40$1328.40$1328.00
Max Pain$1320.00$1160.00$1400.00$1160.00$1400.00
ATM IV57.7%38.0%87.0%47.2%64.6%
Expected Move16.7%13.0%24.9%13.5%18.5%
HV 20d57.2%43.6%76.4%46.1%76.2%
HV 60d40.5%32.8%53.0%34.2%53.0%
IV Rank57.7%37.5%87.6%47.0%64.8%
IV Percentile77.7%35.3%99.2%68.7%91.3%
Term Structure-2.7%-10.9%10.3%-1.0%10.3%
VWIV59.8%42.2%88.4%48.7%74.8%
Skew 25d-11.8%-24.9%-4.3%-9.5%-16.0%
Skew 10d-22.5%-39.7%-11.8%-12.3%-34.0%
Call IV 25d66.6%51.4%105.3%52.7%80.9%
Put IV 25d54.7%41.3%87.9%43.2%64.9%
Bid-Ask Spread %69.5455.8582.0778.9866.44
Gamma HHI0.110.070.380.100.08
Net GEX184.7K30.7K744.7K59.4K199.1K
Net DEX-10.2M-25.4M-2.5M-5.4M-7.9M
Net VEX-46.2K-65.4K-26.6K-26.6K-61.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.081.090.641.05
Total Volume150.4761621816218
Total OI302.238173421173421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$1328.40$1160.0047.2%13.5%46.1%47.0%48.7%-9.5%-1.0%59.4K-5.4M-26.6K0.6478.98N/AN/A1069776
2015-08-04$1342.40$1160.0045.3%13.0%44.8%45.0%42.2%-4.3%-0.0%90.7K-6.1M-29.0K0.8282.07N/AN/A856910685
2015-08-05$1356.60$1240.0047.5%13.6%43.6%47.3%43.7%-9.2%0.6%139.4K-8.2M-37.0K0.9577.09N/AN/A716713695
2015-08-06$1307.00$1340.0038.0%14.6%46.1%37.5%48.4%-7.9%-0.7%115.1K-7.3M-38.0K0.7371.00N/AN/A816013797
2015-08-07$1358.40$1340.0054.3%14.3%47.2%54.3%50.0%-10.1%-0.9%147.8K-8.8M-38.9K0.7961.35N/AN/A826515099
2015-08-10$1269.00$1340.0045.2%13.8%54.1%45.0%51.1%-11.4%-2.2%104.1K-5.4M-42.5K0.7474.27N/AN/A8663155115
2015-08-11$1268.20$1340.0047.5%14.1%53.4%47.3%47.0%-13.4%-6.1%96.0K-5.5M-42.9K0.0868.86N/AN/A192158113
2015-08-12$1223.00$1340.0049.5%14.2%54.3%49.3%54.5%-8.7%-0.0%30.7K-2.5M-43.3K0.7367.61N/AN/A9972163116
2015-08-13$1254.60$1320.0050.0%14.3%54.9%49.9%50.6%-11.8%-3.0%62.8K-3.6M-47.1K0.7655.85N/AN/A9572172126
2015-08-14$1266.80$1340.0050.1%14.4%54.5%50.0%47.8%-14.5%-3.8%74.4K-4.2M-45.4K0.8563.49N/AN/A8673173126
2015-08-17$1263.60$1340.0045.9%13.2%53.8%45.7%50.0%-12.5%4.8%82.3K-4.4M-45.4K0.8465.60N/AN/A8168174126
2015-08-18$1270.80$1340.0045.7%13.1%53.8%45.5%50.1%-12.5%1.8%85.7K-4.7M-44.3K0.7770.37N/AN/A8969174127
2015-08-19$1344.20$1320.0052.3%15.0%56.9%52.2%54.7%-5.9%-5.8%197.6K-9.6M-41.8K0.4174.52N/AN/A187181124
2015-08-20$1403.40$1320.0058.7%16.8%58.5%58.7%63.3%-6.7%-0.7%302.8K-14.2M-44.8K0.6067.82N/AN/A12575197130
2015-08-21$1499.20$1320.0075.3%21.6%61.2%75.7%75.7%-7.9%-7.8%744.7K-21.2M-49.7K0.6468.79N/AN/A12379230135
2015-08-24$1636.40$1340.0087.0%24.9%67.1%87.6%88.4%-17.3%-10.9%258.1K-23.6M-54.2K0.6073.99N/AN/A13280220111
2015-08-25$1667.40$1340.0080.8%23.2%61.1%81.3%81.3%-9.3%-6.4%339.5K-25.4M-53.0K0.8674.02N/AN/A9481238119
2015-08-26$1601.00$1340.0076.2%21.8%62.0%76.6%83.1%-21.2%-8.2%302.9K-22.7M-56.8K1.0665.10N/AN/A8994239127
2015-08-27$1437.00$1340.0075.5%21.7%75.8%75.9%74.3%-13.6%-10.4%258.6K-13.9M-63.7K1.0967.51N/AN/A8895242141
2015-08-28$1372.40$1400.0074.3%21.3%76.4%74.7%76.5%-24.9%-5.7%187.8K-8.8M-65.4K0.9865.71N/AN/A9795252144
2015-08-31$1328.00$1400.0064.6%18.5%76.2%64.8%74.8%-16.0%10.3%199.1K-7.9M-61.1K1.0566.44N/AN/A106112278143