DUG Options History — November 2015

In November 2015, DUG traded between $1068.00 and $1271.00. ATM implied volatility averaged 52.8%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 2.2% (HV 20d: 55.0%). Max pain ranged from $1080.00 to $1240.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2015-11-05: Highest Volume — 141 contracts
  • 2015-11-09: Largest IV spike — 21.7% change
  • 2015-11-13: Highest IV Rank — 53.2%
  • 2015-11-13: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1174.53$1068.00$1271.00$1136.80$1182.60
Max Pain$1136.00$1080.00$1240.00$1240.00$1080.00
ATM IV52.8%43.5%60.3%46.1%53.8%
Expected Move15.1%12.5%17.3%13.2%15.4%
HV 20d55.0%47.8%61.0%47.8%58.2%
HV 60d61.8%55.8%65.4%64.3%55.9%
IV Rank42.0%28.0%53.2%32.0%43.5%
IV Percentile62.8%39.3%80.2%48.4%63.1%
Term Structure-0.2%-6.0%10.6%1.4%1.5%
VWIV53.3%32.1%65.0%42.0%38.8%
Skew 25d-11.4%-20.5%-3.8%-18.9%-5.6%
Skew 10d-21.1%-35.1%-8.3%-24.8%-19.3%
Call IV 25d60.7%51.7%76.7%52.2%58.4%
Put IV 25d49.2%33.3%59.9%33.3%52.8%
Bid-Ask Spread %62.6847.8185.9985.9974.46
Gamma HHI0.070.050.120.080.06
Net GEX-12.9K-79.9K44.6K-58.0K-18.5K
Net DEX3.7M-411.8K7.2M5.3M3.6M
Net VEX-38.0K-47.0K-29.2K-33.0K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.121.261.050.75
Total Volume92.911411273
Total OI281.25248307248280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$1136.80$1240.0046.1%13.2%47.8%32.0%42.0%-18.9%1.4%-58.0K5.3M-33.0K1.0585.99N/AN/A6265134114
2015-11-03$1068.00$1240.0043.5%12.5%49.4%28.0%45.9%-18.4%-1.1%-79.9K7.2M-29.2K1.0682.44N/AN/A6367137121
2015-11-04$1104.00$1200.0044.2%12.7%51.1%29.0%48.5%-9.3%0.9%-56.1K6.4M-32.2K0.9684.63N/AN/A7067143122
2015-11-05$1124.40$1080.0046.0%13.5%49.6%31.8%55.4%-12.4%-2.5%-41.0K5.7M-35.2K0.9050.07N/AN/A7467149122
2015-11-06$1135.60$1120.0045.9%13.8%49.5%31.7%0.0%-11.5%-1.8%-31.7K4.9M-36.3K0.1247.81N/AN/A10154123
2015-11-09$1161.60$1120.0055.9%15.2%49.1%46.6%32.1%-10.1%-3.7%-28.8K4.7M-36.0K0.1362.10N/AN/A61155123
2015-11-10$1157.60$1120.0050.5%14.2%48.7%38.6%55.5%-8.8%1.8%-4.0K4.1M-37.9K1.0554.33N/AN/A6265159123
2015-11-11$1158.00$1120.0050.8%14.6%48.5%38.9%55.9%-10.7%0.9%-4.9K4.1M-37.7K1.0551.27N/AN/A6265159123
2015-11-12$1258.00$1120.0059.1%16.9%55.5%51.5%62.8%-10.1%-5.3%28.0K849.1K-42.3K1.0056.81N/AN/A6969164123
2015-11-13$1271.00$1120.0060.3%17.3%55.5%53.2%65.0%-18.5%1.1%44.6K-411.8K-47.0K1.0556.50N/AN/A6670174124
2015-11-16$1185.00$1120.0057.0%16.3%59.9%48.3%61.8%-20.5%10.6%28.6K2.0M-39.7K1.0766.97N/AN/A66173124
2015-11-17$1208.60$1140.0059.2%17.0%60.4%51.6%60.8%-3.8%-3.2%24.8K2.7M-41.4K1.2459.83N/AN/A5670174130
2015-11-18$1169.40$1140.0056.5%16.2%61.0%47.6%61.1%-14.7%0.1%9.7K3.4M-39.1K1.2360.48N/AN/A5669174130
2015-11-19$1204.40$1140.0056.9%16.3%60.4%48.2%60.7%-8.6%-0.6%39.7K2.5M-40.6K1.2355.92N/AN/A5872174130
2015-11-20$1229.00$1140.0055.9%16.0%60.8%46.7%55.2%-10.9%1.4%-24.8K2.7M-40.8K1.2665.00N/AN/A5772173134
2015-11-23$1214.00$1140.0054.5%15.6%58.6%44.5%52.3%-10.3%-6.0%-27.7K3.1M-38.6K0.3767.71N/AN/A42146114
2015-11-24$1156.60$1180.0052.9%15.2%59.9%42.2%50.5%-8.4%-0.2%-27.6K4.4M-36.0K0.1458.93N/AN/A142149116
2015-11-25$1172.40$1080.0051.3%14.7%58.2%39.8%53.9%-7.6%2.3%-19.8K3.9M-38.3K1.1952.74N/AN/A5565160118
2015-11-27$1193.60$1080.0055.2%15.8%58.6%45.7%54.4%-9.4%-2.2%-11.3K2.8M-41.0K1.1959.60N/AN/A5565162118
2015-11-30$1182.60$1080.0053.8%15.4%58.2%43.5%38.8%-5.6%1.5%-18.5K3.6M-37.0K0.7574.46N/AN/A21162118