DUG Options History — April 2016

In April 2016, DUG traded between $988.40 and $1296.40. ATM implied volatility averaged 46.5%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 5.2% (HV 20d: 41.3%). Max pain ranged from $1120.00 to $1780.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2016-04-15: Highest Volume — 195 contracts
  • 2016-04-12: Largest IV spike — 53.3% change
  • 2016-04-29: Highest IV Rank — 39.9%
  • 2016-04-29: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1131.03$988.40$1296.40$1259.60$1017.20
Max Pain$1205.71$1120.00$1780.00$1780.00$1120.00
ATM IV46.5%33.5%54.9%44.7%54.9%
Expected Move13.6%12.1%15.7%12.8%15.7%
HV 20d41.3%36.3%48.3%48.3%42.7%
HV 60d59.1%48.4%67.9%67.9%48.4%
IV Rank28.7%11.5%39.9%26.3%39.9%
IV Percentile34.9%7.9%54.0%32.5%54.0%
Term Structure1.3%-6.4%6.4%5.0%-6.4%
VWIV48.5%41.4%54.4%45.3%54.4%
Skew 25d-9.1%-17.6%-3.5%-3.5%-10.6%
Skew 10d-17.6%-28.5%-8.8%-11.8%-13.6%
Call IV 25d53.1%45.1%60.1%47.4%59.3%
Put IV 25d43.9%38.0%50.1%44.0%48.7%
Bid-Ask Spread %71.3549.6391.0285.2780.30
Gamma HHI0.050.040.080.050.04
Net GEX10.0K-63.3K51.9K20.2K40.6K
Net DEX15.3M9.3M22.3M16.7M11.7M
Net VEX-55.9K-73.5K-39.2K-72.2K-43.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.761.481.430.94
Total Volume156.286109195180128
Total OI489.286370590559424

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$1259.60$1780.0044.7%12.8%48.3%26.3%45.3%-3.5%5.0%20.2K16.7M-72.2K1.4385.27N/AN/A74106266293
2016-04-04$1278.40$1200.0053.8%14.6%48.3%38.4%50.0%-9.0%-2.9%17.3K16.4M-73.1K1.4454.52N/AN/A73105269293
2016-04-05$1296.40$1220.0051.3%15.1%45.6%35.2%53.0%-10.0%-0.3%51.9K15.6M-73.1K1.4449.63N/AN/A73106271294
2016-04-06$1240.80$1220.0041.1%13.7%39.1%21.5%51.0%-9.7%1.3%26.5K15.8M-73.5K1.4870.92N/AN/A72106271294
2016-04-07$1259.40$1220.0051.0%14.6%38.2%34.8%51.1%-13.0%-0.6%23.5K16.7M-71.7K1.4455.99N/AN/A74106270295
2016-04-08$1209.00$1220.0043.3%13.8%40.6%24.4%50.8%-10.8%1.7%-24.8K18.7M-67.6K1.4151.69N/AN/A75107272295
2016-04-11$1209.00$1220.0033.5%13.2%36.3%11.5%49.5%-8.6%2.3%-49.3K19.8M-61.7K1.3469.75N/AN/A80106276297
2016-04-12$1141.60$1220.0051.4%13.8%41.0%35.2%47.4%-17.6%5.0%-57.1K20.4M-60.3K1.4274.26N/AN/A80114282297
2016-04-13$1131.20$1220.0048.1%13.8%40.8%30.9%49.3%-6.8%-1.4%-63.3K21.5M-57.9K1.4061.16N/AN/A80113283302
2016-04-14$1124.20$1200.0047.3%13.6%38.6%29.8%49.6%-6.8%-2.4%-58.3K22.3M-54.0K1.3963.06N/AN/A81113286302
2016-04-15$1153.00$1200.0046.6%13.4%38.5%28.9%49.6%-9.8%0.4%30.0K22.2M-56.2K1.4067.75N/AN/A81114288302
2016-04-18$1119.40$1180.0042.9%12.3%39.7%23.9%43.1%-10.6%6.1%39.3K9.3M-53.9K0.9575.22N/AN/A5654184186
2016-04-19$1074.80$1160.0043.0%12.3%41.8%24.0%41.4%-8.9%1.9%25.6K11.0M-46.9K1.0470.28N/AN/A5356189186
2016-04-20$1051.60$1160.0042.8%12.3%42.0%23.8%43.2%-4.5%4.3%17.6K11.5M-45.6K0.9079.39N/AN/A6356190189
2016-04-21$1061.00$1140.0042.4%12.1%38.4%23.2%46.7%-10.6%6.4%20.7K11.9M-45.5K0.8277.64N/AN/A6856198190
2016-04-22$1032.40$1140.0043.9%12.6%39.0%25.3%46.1%-7.0%4.3%21.8K11.6M-44.6K0.7678.55N/AN/A7657203190
2016-04-25$1058.20$1140.0048.6%13.9%40.3%31.5%50.3%-8.1%2.2%34.4K11.6M-46.7K0.7978.80N/AN/A7458211191
2016-04-26$1027.20$1120.0049.0%14.1%41.0%32.1%45.3%-7.0%-0.8%38.1K11.4M-44.9K0.8079.86N/AN/A7258218191
2016-04-27$988.40$1120.0048.2%13.8%42.3%30.9%50.5%-9.2%-0.3%22.7K12.3M-39.2K0.8191.02N/AN/A7258222191
2016-04-28$1018.80$1120.0048.4%13.9%44.7%31.2%50.9%-9.9%1.9%33.4K12.4M-42.5K0.8383.23N/AN/A7058232192
2016-04-29$1017.20$1120.0054.9%15.7%42.7%39.9%54.4%-10.6%-6.4%40.6K11.7M-43.5K0.9480.30N/AN/A6662232192