DUG Options History — December 2015

In December 2015, DUG traded between $1166.60 and $1522.00. ATM implied volatility averaged 63.6%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 3.4% (HV 20d: 60.1%). Max pain ranged from $1080.00 to $1360.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2015-12-18: Highest Volume — 177 contracts
  • 2015-12-07: Largest IV spike — 19.3% change
  • 2015-12-08: Highest IV Rank — 75.8%
  • 2015-12-11: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1397.32$1166.60$1522.00$1166.60$1433.40
Max Pain$1322.73$1080.00$1360.00$1080.00$1360.00
ATM IV63.6%53.9%75.3%55.8%58.7%
Expected Move17.9%15.5%21.5%16.0%16.8%
HV 20d60.1%54.7%66.6%56.2%63.9%
HV 60d58.8%55.5%61.9%55.5%56.5%
IV Rank58.2%43.7%75.8%46.5%50.9%
IV Percentile82.0%63.1%96.4%68.3%73.4%
Term Structure-3.8%-10.0%4.0%-4.2%-7.2%
VWIV61.0%46.8%74.5%46.8%49.4%
Skew 25d-11.1%-15.7%-5.0%-6.4%-5.0%
Skew 10d-18.8%-25.1%-8.6%-16.6%-14.2%
Call IV 25d69.0%59.5%80.7%61.1%59.5%
Put IV 25d57.9%47.0%68.4%54.8%54.6%
Bid-Ask Spread %78.3462.9596.6867.2693.48
Gamma HHI0.050.050.060.060.05
Net GEX44.2K-58.7K174.7K-17.6K-14.4K
Net DEX-2.7M-8.2M3.6M3.6M-2.1M
Net VEX-54.6K-63.2K-37.4K-37.4K-57.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.102.050.101.90
Total Volume142.09121772163
Total OI354.909283395283382

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$1166.60$1080.0055.8%16.0%56.2%46.5%46.8%-6.4%-4.2%-17.6K3.6M-37.4K0.1067.26N/AN/A20164119
2015-12-02$1240.20$1080.0062.5%17.9%54.7%56.6%53.3%-9.5%-6.9%-10.5K2.0M-39.5K1.1574.80N/AN/A5867165119
2015-12-03$1286.40$1320.0069.8%18.8%55.0%67.5%62.7%-13.3%-9.6%-3.5K659.0K-42.7K0.9262.95N/AN/A7468167121
2015-12-04$1304.60$1320.0059.8%16.2%54.9%52.6%56.0%-11.5%0.2%11.8K-747.4K-45.0K1.0469.25N/AN/A7274183122
2015-12-07$1403.00$1340.0071.4%18.6%59.6%69.9%65.9%-11.1%-5.1%102.6K-4.7M-50.9K0.1170.42N/AN/A243198128
2015-12-08$1437.00$1340.0075.3%17.5%59.6%75.8%64.2%-11.5%-2.9%134.8K-6.7M-55.4K1.2372.15N/AN/A6681217131
2015-12-09$1405.60$1340.0065.0%18.6%60.6%60.3%71.9%-15.7%-5.2%119.7K-5.3M-59.9K1.0170.48N/AN/A6970220143
2015-12-10$1380.00$1340.0065.3%18.7%61.3%60.8%64.7%-13.4%-5.2%88.1K-3.7M-56.2K1.0666.36N/AN/A6771217144
2015-12-11$1477.80$1340.0074.9%21.5%59.2%75.2%69.7%-12.5%-10.0%160.8K-7.9M-59.5K1.1472.58N/AN/A6372217147
2015-12-14$1461.60$1340.0074.1%21.2%59.5%74.0%74.5%-12.0%-6.4%174.7K-8.2M-58.3K1.2773.85N/AN/A6279219148
2015-12-15$1374.60$1340.0066.1%18.9%58.1%61.9%65.2%-11.5%-1.3%77.5K-3.0M-55.0K1.2371.34N/AN/A6377220157
2015-12-16$1389.80$1340.0064.6%18.5%58.0%59.8%63.4%-9.6%-4.1%64.8K-2.9M-54.0K1.6285.33N/AN/A63102218159
2015-12-17$1457.00$1340.0061.8%17.7%57.6%55.5%62.9%-15.2%3.7%168.0K-4.9M-56.8K1.5577.12N/AN/A68106218173
2015-12-18$1506.20$1360.0066.1%18.9%57.8%62.0%67.3%-11.3%-7.3%16.7K-7.2M-58.1K1.6974.31N/AN/A66111217178
2015-12-21$1522.00$1360.0064.0%18.4%57.7%58.8%67.7%-12.6%-3.4%27.6K-4.2M-63.2K2.0581.58N/AN/A54110179174
2015-12-22$1482.20$1360.0057.9%16.6%58.7%49.7%60.7%-9.8%0.3%12.1K-3.4M-62.1K1.9192.47N/AN/A57109185178
2015-12-23$1353.20$1360.0055.2%15.8%65.8%45.5%51.6%-14.6%0.2%-42.6K1.2M-58.4K1.8183.77N/AN/A61111190179
2015-12-24$1373.80$1360.0053.9%15.5%65.8%43.7%54.2%-6.6%-0.1%-58.7K1.6M-59.6K1.7786.38N/AN/A61107193182
2015-12-28$1425.60$1360.0060.1%17.2%66.5%53.0%59.4%-9.7%-3.0%-19.7K-1.0M-59.4K1.8589.85N/AN/A58107194183
2015-12-29$1412.00$1360.0062.4%17.9%66.6%56.4%57.4%-6.9%-9.4%-16.9K-192.7K-56.2K1.8491.12N/AN/A58107197183
2015-12-30$1448.40$1360.0054.0%15.5%66.3%43.9%54.0%-14.7%4.0%-2.2K-2.1M-55.7K1.8596.68N/AN/A58107197183
2015-12-31$1433.40$1360.0058.7%16.8%63.9%50.9%49.4%-5.0%-7.2%-14.4K-2.1M-57.6K1.9093.48N/AN/A56107199183