DUG Options History — October 2015

In October 2015, DUG traded between $1163.60 and $1525.40. ATM implied volatility averaged 54.2%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 6.2% (HV 20d: 60.4%). Max pain ranged from $1260.00 to $1520.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-10-14: Highest Volume — 179 contracts
  • 2015-10-12: Largest IV spike — 29.8% change
  • 2015-10-01: Highest IV Rank — 71.8%
  • 2015-10-01: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1237.40$1163.60$1525.40$1525.40$1187.00
Max Pain$1340.00$1260.00$1520.00$1300.00$1260.00
ATM IV54.2%46.1%71.5%71.5%46.1%
Expected Move15.0%13.2%20.5%20.5%13.2%
HV 20d60.4%50.5%65.3%50.5%50.6%
HV 60d64.7%59.9%65.8%59.9%64.3%
IV Rank48.4%31.9%71.8%71.8%31.9%
IV Percentile66.2%48.4%92.5%92.5%48.4%
Term Structure-1.3%-11.4%4.7%-11.4%4.7%
VWIV51.1%45.0%65.5%65.5%45.0%
Skew 25d-10.8%-14.0%-6.7%-10.5%-10.2%
Skew 10d-21.0%-35.0%-15.6%-17.9%-22.5%
Call IV 25d58.4%50.2%74.6%74.6%50.2%
Put IV 25d47.6%40.0%64.1%64.1%40.0%
Bid-Ask Spread %59.2833.8798.8394.2477.57
Gamma HHI0.080.060.130.110.07
Net GEX22.7K-54.2K220.6K220.6K-54.0K
Net DEX2.5M-14.3M8.1M-14.3M4.1M
Net VEX-41.0K-57.7K-36.0K-57.7K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.471.060.850.96
Total Volume138.1364179156121
Total OI328.091219428393248

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$1525.40$1300.0071.5%20.5%50.5%71.8%65.5%-10.5%-11.4%220.6K-14.3M-57.7K0.8594.24N/AN/A8472248145
2015-10-02$1395.00$1300.0055.0%15.8%60.2%55.0%49.3%-11.9%-0.8%213.9K-7.8M-55.5K0.8698.83N/AN/A8675249145
2015-10-05$1306.00$1520.0057.6%15.5%63.5%57.6%56.2%-11.2%0.1%152.8K-1.4M-50.7K0.4737.50N/AN/A31247151
2015-10-06$1241.60$1520.0052.1%15.6%65.3%52.0%61.2%-11.3%-2.3%90.0K2.4M-46.2K0.8536.15N/AN/A8875246151
2015-10-07$1214.40$1520.0057.0%15.7%63.0%57.0%54.4%-13.1%-1.6%106.3K3.0M-46.5K0.8433.87N/AN/A9075248152
2015-10-08$1163.60$1500.0064.6%15.6%64.1%64.8%48.3%-10.3%-5.6%11.4K6.0M-38.4K0.8738.96N/AN/A8776247153
2015-10-09$1178.80$1440.0053.6%15.2%63.7%53.6%58.5%-14.0%-3.3%8.7K6.5M-38.4K0.8637.38N/AN/A8876249153
2015-10-12$1212.00$1340.0069.6%15.7%64.6%69.9%48.9%-12.6%-3.3%51.6K5.2M-38.2K1.0446.11N/AN/A8386252154
2015-10-13$1229.80$1340.0061.7%15.2%64.9%61.7%53.5%-13.0%-2.1%83.2K4.7M-41.0K1.0644.23N/AN/A8286254164
2015-10-14$1210.40$1340.0049.9%14.3%62.2%54.0%50.1%-12.0%2.3%85.4K5.7M-39.7K0.9849.64N/AN/A9089254166
2015-10-15$1169.00$1340.0049.7%14.3%62.9%53.8%48.4%-10.4%1.5%-35.5K7.3M-37.1K0.9153.62N/AN/A9284260168
2015-10-16$1168.00$1320.0049.1%14.1%58.4%36.5%46.5%-11.5%-0.2%-54.2K8.1M-36.0K0.9156.65N/AN/A9485257168
2015-10-19$1212.80$1340.0049.1%14.1%60.9%36.5%46.3%-8.7%1.8%-50.7K3.4M-36.5K0.8459.29N/AN/A6555115104
2015-10-20$1215.00$1280.0048.5%13.9%59.9%35.6%45.9%-11.4%-1.9%-46.7K3.2M-37.5K0.8360.27N/AN/A6655122105
2015-10-21$1238.60$1260.0048.4%13.9%59.5%35.5%47.5%-10.2%2.8%-44.7K2.8M-37.8K0.8866.97N/AN/A6255123105
2015-10-22$1190.80$1260.0049.0%14.1%60.3%36.3%46.8%-10.2%0.3%-50.4K3.5M-36.0K0.8862.26N/AN/A6255123105
2015-10-23$1194.40$1260.0047.6%13.6%60.5%34.2%46.9%-10.0%-1.1%-47.4K3.5M-36.1K0.8170.20N/AN/A6654123105
2015-10-26$1251.20$1260.0056.1%16.1%57.7%46.9%49.6%-10.2%-3.9%-35.5K2.3M-38.0K0.8371.17N/AN/A6655128105
2015-10-27$1282.60$1260.0051.8%14.9%58.9%40.5%53.4%-8.8%1.0%-27.7K1.2M-41.1K0.9062.53N/AN/A6155129107
2015-10-28$1224.60$1260.0049.3%14.1%58.5%36.7%49.8%-8.7%2.1%-28.3K2.3M-39.0K0.9877.10N/AN/A6059134107
2015-10-29$1211.80$1260.0054.0%15.5%58.2%43.8%51.8%-6.7%-6.6%-49.7K3.4M-39.0K0.9869.57N/AN/A6159135114
2015-10-30$1187.00$1260.0046.1%13.2%50.6%31.9%45.0%-10.2%4.7%-54.0K4.1M-36.7K0.9677.57N/AN/A6259134114