DUG Options History — February 2016

In February 2016, DUG traded between $1438.80 and $1668.00. ATM implied volatility averaged 74.7%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 6.5% (HV 20d: 81.2%). Max pain ranged from $1540.00 to $1820.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.11.

Notable Days

  • 2016-02-02: Highest Volume — 249 contracts
  • 2016-02-22: Largest IV drop — 15.8% change
  • 2016-02-11: Highest IV Rank — 88.1%
  • 2016-02-11: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1543.04$1438.80$1668.00$1524.00$1496.00
Max Pain$1674.00$1540.00$1820.00$1600.00$1540.00
ATM IV74.7%61.6%91.2%71.8%71.4%
Expected Move21.3%17.7%26.1%20.6%20.5%
HV 20d81.2%62.5%94.0%86.1%62.8%
HV 60d71.0%68.4%72.3%68.4%71.6%
IV Rank66.2%48.8%88.1%62.3%61.8%
IV Percentile87.8%69.8%99.6%88.5%82.9%
Term Structure-2.8%-9.0%10.8%-3.5%-4.6%
VWIV78.5%67.0%94.9%70.3%69.8%
Skew 25d-13.6%-40.1%-0.6%-7.2%-0.7%
Skew 10d-21.1%-40.9%2.7%-25.2%-13.7%
Call IV 25d83.8%67.2%106.2%80.9%69.2%
Put IV 25d70.2%56.9%86.3%73.7%68.5%
Bid-Ask Spread %55.0133.8583.0273.1972.70
Gamma HHI0.040.030.040.040.04
Net GEX15.0K-31.4K78.1K-10.0K4.7K
Net DEX5.0M-3.8M9.4M6.2M8.3M
Net VEX-113.2K-129.8K-98.2K-109.8K-115.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.111.482.582.281.48
Total Volume236209249248231
Total OI488.35455537455537

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$1524.00$1600.0071.8%20.6%86.1%62.3%70.3%-7.2%-3.5%-10.0K6.2M-109.8K2.2873.19N/AN/A76172206249
2016-02-02$1635.80$1600.0077.8%22.3%89.4%70.3%72.6%-0.6%-7.2%8.7K3.6M-116.0K2.3381.88N/AN/A75174207250
2016-02-03$1516.00$1560.0065.9%18.9%94.0%54.5%76.3%-40.1%10.8%5.9K4.6M-111.3K2.2283.02N/AN/A76168208247
2016-02-04$1507.80$1760.0069.4%20.3%90.2%59.1%83.0%-9.8%-1.2%-3.3K8.1M-108.2K2.3047.02N/AN/A72166213254
2016-02-05$1577.00$1760.0073.7%20.8%90.5%64.8%81.9%-11.8%-2.4%15.5K4.8M-115.7K2.5833.85N/AN/A64165213254
2016-02-08$1567.60$1760.0084.7%23.2%89.6%79.4%94.0%-19.9%-3.8%14.0K3.0M-117.0K2.3440.65N/AN/A70164214256
2016-02-09$1641.20$1760.0091.0%24.5%90.1%87.8%89.9%-7.6%-4.9%38.2K529.7K-124.4K2.1543.86N/AN/A77165225257
2016-02-10$1660.00$1760.0084.4%24.2%90.2%79.0%88.7%-14.6%-4.0%78.1K-703.6K-125.6K2.4250.40N/AN/A68165239258
2016-02-11$1668.00$1760.0091.2%26.1%89.2%88.1%94.9%-20.0%-9.0%71.5K-3.8M-129.8K2.2539.07N/AN/A74166242258
2016-02-12$1595.00$1820.0082.3%23.6%84.9%76.3%92.6%-20.6%-2.7%72.2K554.7K-125.0K2.1646.76N/AN/A77166245263
2016-02-16$1572.20$1820.0080.4%23.0%82.4%73.7%82.2%-15.8%-5.9%42.2K3.6M-118.9K2.2545.60N/AN/A73164242265
2016-02-17$1465.20$1760.0072.1%20.7%83.8%62.7%76.4%-20.6%-0.1%19.6K8.4M-105.6K2.1341.19N/AN/A78166242265
2016-02-18$1494.00$1700.0073.3%21.0%80.5%64.3%74.1%-9.1%0.7%1.5K8.6M-104.4K2.1048.94N/AN/A79166243268
2016-02-19$1512.00$1660.0073.2%21.0%77.9%64.2%70.6%-9.9%-7.4%-26.1K6.7M-105.1K1.9742.42N/AN/A84165246268
2016-02-22$1438.80$1600.0061.6%17.7%74.9%48.8%70.8%-18.7%-5.5%-31.4K9.4M-98.2K2.2258.97N/AN/A65144209252
2016-02-23$1526.00$1600.0068.4%19.6%71.4%57.8%67.0%-2.3%-0.1%-24.0K8.4M-99.9K2.3376.80N/AN/A63147212253
2016-02-24$1498.80$1540.0067.2%19.3%66.9%56.3%73.6%-21.1%-2.7%-14.1K5.8M-106.3K1.6761.58N/AN/A86143218258
2016-02-25$1493.00$1560.0068.0%19.5%66.7%57.2%74.0%-13.6%-0.7%15.2K5.9M-114.3K1.5751.09N/AN/A91143244266
2016-02-26$1472.40$1560.0066.2%19.0%62.5%54.9%68.1%-8.6%-2.7%21.1K8.2M-113.0K1.5261.14N/AN/A92140255266
2016-02-29$1496.00$1540.0071.4%20.5%62.8%61.8%69.8%-0.7%-4.6%4.7K8.3M-115.7K1.4872.70N/AN/A93138258279