DUG Options History — September 2015

In September 2015, DUG traded between $1371.00 and $1597.60. ATM implied volatility averaged 66.4%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 5.4% (HV 20d: 71.8%). Max pain ranged from $1240.00 to $1400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-09-03: Highest Volume — 217 contracts
  • 2015-09-28: Largest IV spike — 19.4% change
  • 2015-09-01: Highest IV Rank — 77.0%
  • 2015-09-01: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1461.97$1371.00$1597.60$1436.60$1517.80
Max Pain$1290.48$1240.00$1400.00$1400.00$1280.00
ATM IV66.4%56.2%76.6%76.6%64.3%
Expected Move18.9%16.1%22.0%22.0%18.4%
HV 20d71.8%51.1%81.4%81.1%51.1%
HV 60d57.3%55.1%60.2%55.2%60.2%
IV Rank66.6%56.2%77.0%77.0%64.4%
IV Percentile88.6%76.2%98.4%98.4%85.3%
Term Structure-3.6%-10.9%3.7%3.7%-0.5%
VWIV66.0%52.2%88.0%88.0%63.1%
Skew 25d-15.2%-25.4%-4.3%-4.3%-10.9%
Skew 10d-27.0%-36.7%-10.8%-30.6%-20.8%
Call IV 25d75.7%66.3%85.3%85.2%73.3%
Put IV 25d60.6%51.5%80.9%80.9%62.5%
Bid-Ask Spread %80.0967.9591.7281.0191.72
Gamma HHI0.110.060.170.080.12
Net GEX290.7K192.9K474.0K287.3K235.0K
Net DEX-13.2M-18.7M-6.0M-13.5M-15.8M
Net VEX-65.5K-77.4K-57.6K-72.1K-59.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.051.211.210.81
Total Volume163.6672217206159
Total OI458.714369547452395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$1436.60$1400.0076.6%22.0%81.1%77.0%88.0%-4.3%3.7%287.3K-13.5M-72.1K1.2181.01N/AN/A93113294158
2015-09-02$1409.20$1400.0073.3%21.0%81.4%73.7%79.5%-14.1%-1.1%282.4K-12.4M-71.7K1.0971.43N/AN/A9199298161
2015-09-03$1392.20$1240.0068.0%19.7%80.3%68.3%69.6%-18.6%-7.7%249.7K-9.6M-68.8K0.9167.95N/AN/A114103297164
2015-09-04$1433.40$1280.0073.9%19.7%79.8%74.2%72.1%-25.4%-6.6%329.8K-13.8M-77.4K0.9469.50N/AN/A110103322172
2015-09-08$1400.20$1280.0073.0%18.7%76.1%73.4%66.1%-17.6%-0.9%303.5K-11.6M-70.6K0.0581.54N/AN/A30322170
2015-09-09$1460.00$1280.0072.1%20.7%77.1%72.4%71.3%-20.9%-10.9%464.4K-14.7M-64.1K1.0776.01N/AN/A102109324172
2015-09-10$1444.60$1280.0064.8%18.6%75.8%64.9%67.6%-20.2%-3.4%380.8K-13.4M-74.2K1.0470.79N/AN/A100105330179
2015-09-11$1473.20$1280.0068.5%19.6%75.6%68.7%70.1%-19.9%-4.1%412.8K-15.9M-71.9K1.0274.65N/AN/A100102330186
2015-09-14$1493.60$1280.0068.8%19.7%75.6%69.0%70.0%-17.6%-8.8%474.0K-16.8M-69.8K1.1373.48N/AN/A97110333187
2015-09-15$1454.80$1280.0066.5%19.1%76.6%66.7%65.7%-15.6%-3.4%436.3K-13.8M-69.2K1.0078.36N/AN/A11341192
2015-09-16$1371.00$1280.0058.9%16.9%80.1%59.0%56.1%-15.0%-0.8%275.7K-8.0M-62.8K1.0880.66N/AN/A98106342194
2015-09-17$1375.60$1280.0057.8%16.6%77.7%57.8%52.2%-14.7%-4.5%238.0K-6.0M-60.8K1.0590.44N/AN/A96101352195
2015-09-18$1453.40$1280.0062.7%18.0%78.6%62.8%57.7%-12.8%-7.7%205.7K-12.8M-59.8K1.0185.34N/AN/A100101350195
2015-09-21$1434.40$1280.0056.2%16.1%75.0%56.2%55.5%-12.2%2.3%199.9K-9.4M-60.0K0.8881.73N/AN/A7566233136
2015-09-22$1466.60$1280.0061.9%17.7%67.9%61.9%63.4%-14.8%-2.7%210.6K-11.9M-62.1K0.8981.18N/AN/A7466243136
2015-09-23$1505.20$1280.0063.3%18.2%68.3%63.5%60.9%-18.8%-4.8%192.9K-14.0M-57.6K0.9283.16N/AN/A7367244136
2015-09-24$1496.00$1280.0061.7%17.7%67.0%61.8%56.5%-10.8%-1.4%216.5K-13.4M-60.4K0.9480.31N/AN/A7268241136
2015-09-25$1492.80$1280.0060.3%17.3%54.4%60.4%56.8%-14.6%-0.2%218.2K-13.1M-62.8K0.9584.37N/AN/A7168252139
2015-09-28$1593.20$1280.0072.0%20.6%55.7%72.3%72.3%-11.4%-5.6%245.5K-17.9M-61.2K0.7388.93N/AN/A9368254139
2015-09-29$1597.60$1300.0070.9%20.3%53.6%71.1%72.1%-8.5%-7.4%245.4K-18.7M-59.3K0.8489.36N/AN/A8772249140
2015-09-30$1517.80$1280.0064.3%18.4%51.1%64.4%63.1%-10.9%-0.5%235.0K-15.8M-59.6K0.8191.72N/AN/A8871251144