DUG Options History — March 2016

In March 2016, DUG traded between $1172.80 and $1446.00. ATM implied volatility averaged 54.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 1.4% (HV 20d: 55.6%). Max pain ranged from $1480.00 to $1900.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2016-03-02: Highest Volume — 238 contracts
  • 2016-03-08: Largest IV spike — 26.0% change
  • 2016-03-08: Highest IV Rank — 64.0%
  • 2016-03-08: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1260.99$1172.80$1446.00$1446.00$1225.40
Max Pain$1780.00$1480.00$1900.00$1500.00$1780.00
ATM IV54.3%43.1%73.1%57.0%43.1%
Expected Move15.3%12.4%17.5%16.3%12.4%
HV 20d55.6%48.2%63.7%63.7%48.2%
HV 60d70.1%67.7%72.6%71.1%67.7%
IV Rank39.1%24.2%64.0%42.7%24.2%
IV Percentile53.7%30.2%86.5%62.3%30.2%
Term Structure3.1%-4.3%18.6%8.3%6.4%
VWIV54.8%48.4%63.5%63.5%48.5%
Skew 25d-11.8%-23.8%-6.2%-18.4%-11.7%
Skew 10d-22.2%-33.6%-10.9%-24.2%-25.7%
Call IV 25d62.0%51.1%75.5%75.5%52.8%
Put IV 25d50.3%41.1%61.3%57.1%41.1%
Bid-Ask Spread %71.7847.9996.3775.9984.24
Gamma HHI0.050.040.060.040.05
Net GEX-8.9K-37.1K15.5K2.6K-14.4K
Net DEX16.0M7.7M20.7M7.7M18.4M
Net VEX-85.9K-114.2K-69.6K-114.2K-69.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.401.181.591.481.48
Total Volume213.182181238231181
Total OI558.045530584538556

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$1446.00$1500.0057.0%16.3%63.7%42.7%63.5%-18.4%8.3%2.6K7.7M-114.2K1.4875.99N/AN/A93138258280
2016-03-02$1372.60$1480.0060.4%17.3%59.7%47.1%62.2%-12.2%-1.0%5.2K9.5M-110.1K1.4282.82N/AN/A98140263281
2016-03-03$1326.40$1900.0053.5%15.6%55.1%38.1%54.3%-23.8%3.5%-4.8K13.0M-100.7K1.4671.91N/AN/A97141269285
2016-03-04$1301.40$1900.0061.5%16.1%55.3%48.6%54.2%-14.0%1.8%-19.9K15.3M-98.3K1.5165.20N/AN/A95143269286
2016-03-07$1244.20$1900.0058.0%16.7%53.2%44.0%56.0%-13.2%-4.3%-19.8K15.9M-90.2K1.5952.20N/AN/A90143272287
2016-03-08$1343.20$1800.0073.1%17.5%61.8%64.0%55.8%-7.2%2.7%-7.7K14.9M-98.3K1.5661.05N/AN/A91142274288
2016-03-09$1301.40$1800.0059.1%16.9%58.9%45.4%61.3%-13.9%-1.0%4.7K15.1M-95.3K1.5857.26N/AN/A90142279289
2016-03-10$1304.40$1800.0060.5%17.4%58.5%47.3%61.1%-9.6%1.5%15.2K13.7M-98.1K1.5947.99N/AN/A90143283289
2016-03-11$1237.60$1800.0057.2%16.4%59.9%43.0%60.1%-15.5%2.3%-1.8K17.0M-86.7K1.2554.06N/AN/A97121284290
2016-03-14$1251.80$1800.0058.5%16.8%59.5%44.7%59.0%-11.1%0.5%-2.3K16.2M-90.7K1.2548.62N/AN/A97121285294
2016-03-15$1260.40$1800.0057.4%16.4%59.8%43.2%56.0%-9.4%4.3%15.5K15.9M-88.5K1.2265.96N/AN/A100122286294
2016-03-16$1210.00$1800.0044.7%12.8%56.8%26.4%51.0%-10.8%18.6%2.3K18.1M-78.5K1.2396.37N/AN/A99122285294
2016-03-17$1172.80$1800.0052.7%15.1%56.2%37.0%52.9%-13.6%1.1%-7.3K18.6M-78.2K1.2081.67N/AN/A100121288295
2016-03-18$1178.00$1800.0048.4%13.9%55.8%31.2%52.2%-6.2%6.6%-37.1K20.7M-70.9K1.1879.07N/AN/A102121289295
2016-03-21$1183.00$1800.0050.4%14.4%54.3%33.9%50.3%-11.7%6.8%-35.6K18.6M-72.8K1.4087.74N/AN/A78109246284
2016-03-22$1190.60$1800.0047.1%13.5%48.4%29.6%50.5%-11.9%1.8%-37.1K18.1M-73.8K1.3582.51N/AN/A81109246286
2016-03-23$1242.20$1780.0054.8%15.7%52.1%39.7%52.5%-7.0%-3.7%-19.0K18.5M-71.6K1.3477.48N/AN/A82109249286
2016-03-24$1237.80$1780.0049.5%14.2%52.1%32.8%48.4%-10.0%3.1%-11.9K16.0M-78.3K1.3968.48N/AN/A79111253286
2016-03-28$1249.00$1780.0052.0%14.9%52.5%36.1%53.1%-8.4%1.2%-7.6K16.9M-76.9K1.4675.61N/AN/A75109259289
2016-03-29$1237.00$1780.0049.0%14.0%51.7%32.0%49.6%-11.2%3.3%-9.6K16.0M-76.8K1.4479.36N/AN/A76110261291
2016-03-30$1226.60$1780.0046.3%13.3%50.9%28.5%52.4%-8.0%4.7%-6.4K18.0M-71.3K1.4483.61N/AN/A75107263291
2016-03-31$1225.40$1780.0043.1%12.4%48.2%24.2%48.5%-11.7%6.4%-14.4K18.4M-69.6K1.4884.24N/AN/A73108264292