DUG Options History — January 2016

In January 2016, DUG traded between $1430.00 and $1903.80. ATM implied volatility averaged 76.6%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 6.1% (HV 20d: 70.5%). Max pain ranged from $1400.00 to $1600.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.19.

Notable Days

  • 2016-01-26: Highest Volume — 263 contracts
  • 2016-01-11: Largest IV spike — 42.3% change
  • 2016-01-11: Highest IV Rank — 100.0%
  • 2016-01-20: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1661.88$1430.00$1903.80$1442.20$1549.20
Max Pain$1462.11$1400.00$1600.00$1400.00$1600.00
ATM IV76.6%62.1%100.2%68.6%65.6%
Expected Move20.9%16.5%25.1%17.3%18.8%
HV 20d70.5%60.4%86.2%62.9%86.0%
HV 60d62.1%55.5%70.3%56.2%69.7%
IV Rank70.7%54.1%100.0%65.8%54.1%
IV Percentile94.3%81.0%100.0%90.5%82.9%
Term Structure-2.3%-6.3%8.8%-2.4%8.8%
VWIV72.0%57.8%80.4%58.6%70.7%
Skew 25d-12.3%-31.8%2.5%-12.1%-16.3%
Skew 10d-17.1%-31.8%5.2%-22.8%-21.7%
Call IV 25d80.2%64.9%100.2%67.7%76.6%
Put IV 25d67.8%54.6%80.0%55.6%60.3%
Bid-Ask Spread %63.2939.7679.7453.3878.57
Gamma HHI0.060.030.100.050.04
Net GEX97.4K-16.5K338.9K-5.7K-5.5K
Net DEX-7.3M-19.1M5.9M-2.4M5.9M
Net VEX-79.8K-121.3K-53.7K-57.1K-112.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.191.793.291.952.07
Total Volume195.158119263161254
Total OI394.474241451385451

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$1442.20$1400.0068.6%17.3%62.9%65.8%58.6%-12.1%-2.4%-5.7K-2.4M-57.1K1.9553.38N/AN/A55106200185
2016-01-05$1430.00$1400.0062.1%16.5%63.0%55.9%57.8%-12.2%-1.1%-6.6K-2.7M-53.7K1.9639.76N/AN/A55106200185
2016-01-06$1539.20$1400.0072.5%18.1%63.2%71.6%62.6%-7.0%-1.2%67.1K-6.6M-54.7K1.7954.89N/AN/A60107201185
2016-01-07$1603.20$1400.0075.9%19.3%64.1%76.7%67.4%-9.2%-4.8%135.6K-10.2M-58.4K1.9148.26N/AN/A57108214185
2016-01-08$1655.60$1400.0070.4%20.0%63.9%68.5%67.1%-10.8%-4.6%227.0K-13.6M-60.8K1.9353.47N/AN/A58111230185
2016-01-11$1721.20$1400.00100.2%21.2%64.0%100.0%71.5%-4.3%-5.6%281.6K-17.0M-61.8K1.9956.42N/AN/A55109235184
2016-01-12$1718.40$1400.0083.9%20.3%60.4%78.3%68.5%-1.5%-3.4%328.5K-17.5M-61.9K2.2762.60N/AN/A47106236187
2016-01-13$1781.60$1400.0074.5%21.4%60.8%65.9%73.6%0.3%-4.4%338.9K-19.1M-64.0K2.2464.94N/AN/A48108239190
2016-01-14$1631.00$1400.0070.9%20.3%65.5%61.1%72.4%-31.8%-4.3%248.0K-13.4M-61.0K2.3069.45N/AN/A47108242191
2016-01-15$1723.00$1400.0079.4%22.8%67.6%72.5%79.3%-10.8%-6.3%48.9K-18.0M-62.8K2.3855.32N/AN/A47111247196
2016-01-19$1793.80$1400.0082.3%23.6%67.1%76.3%78.7%-7.1%-5.9%59.6K-7.4M-63.4K2.8062.39N/AN/A3188118123
2016-01-20$1903.80$1400.0087.4%25.1%68.9%83.0%79.0%-20.2%-3.8%85.8K-10.7M-65.0K3.2965.19N/AN/A49160126121
2016-01-21$1775.60$1500.0082.7%23.7%74.7%76.8%80.3%-27.2%-2.0%-16.5K-4.4M-104.0K2.2871.52N/AN/A74170150197
2016-01-22$1639.80$1560.0073.0%20.9%80.1%64.0%76.5%-11.8%2.3%6.6K-960.7K-110.2K2.3266.43N/AN/A74173180212
2016-01-25$1783.40$1560.0078.8%22.6%76.3%71.6%74.4%-16.7%-2.4%33.7K-3.7M-114.2K2.1569.25N/AN/A80172186218
2016-01-26$1653.80$1560.0076.1%21.8%82.6%68.1%80.4%-31.6%-1.7%4.6K-582.1K-113.8K1.8874.63N/AN/A91172188227
2016-01-27$1671.00$1600.0075.5%21.6%81.9%67.2%78.1%-6.5%0.0%14.1K534.5K-121.3K1.9879.74N/AN/A87171201237
2016-01-28$1560.00$1600.0075.0%21.5%86.2%66.6%71.5%2.5%-0.7%5.4K3.2M-115.5K2.0576.22N/AN/A83170205238
2016-01-29$1549.20$1600.0065.6%18.8%86.0%54.1%70.7%-16.3%8.8%-5.5K5.9M-112.7K2.0778.57N/AN/A83171205246