DUG Options History — May 2016

In May 2016, DUG traded between $1015.60 and $1118.80. ATM implied volatility averaged 49.6%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 9.5% (HV 20d: 40.1%). Max pain ranged from $1060.00 to $1100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-05-05: Highest Volume — 133 contracts
  • 2016-05-23: Largest IV drop — 10.3% change
  • 2016-05-04: Highest IV Rank — 44.0%
  • 2016-05-04: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1062.46$1015.60$1118.80$1019.80$1032.00
Max Pain$1065.71$1060.00$1100.00$1100.00$1060.00
ATM IV49.6%40.4%58.0%54.5%43.4%
Expected Move14.3%11.6%16.6%15.6%12.4%
HV 20d40.1%33.9%45.7%41.9%34.0%
HV 60d45.5%42.0%49.0%48.4%42.0%
IV Rank32.9%20.6%44.0%39.4%24.6%
IV Percentile37.8%13.9%61.1%53.2%19.0%
Term Structure-0.5%-8.3%5.2%-3.0%3.4%
VWIV51.0%43.5%58.8%55.0%46.6%
Skew 25d-7.4%-12.9%-3.9%-4.8%-3.9%
Skew 10d-13.0%-23.1%-1.9%-13.3%-10.8%
Call IV 25d54.2%43.4%64.8%57.2%43.4%
Put IV 25d46.8%38.3%55.7%52.4%39.5%
Bid-Ask Spread %79.2055.17103.9283.74102.65
Gamma HHI0.050.030.110.040.07
Net GEX94.3K23.5K202.7K41.4K45.9K
Net DEX10.6M8.0M12.6M11.4M12.6M
Net VEX-43.7K-56.5K-29.9K-44.8K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.741.030.920.91
Total Volume123.381108133129110
Total OI437.286409460429425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$1019.80$1100.0054.5%15.6%41.9%39.4%55.0%-4.8%-3.0%41.4K11.4M-44.8K0.9283.74N/AN/A6762233196
2016-05-03$1067.20$1100.0057.1%16.4%45.7%42.8%52.8%-3.9%-3.7%67.0K10.4M-51.1K0.9482.33N/AN/A6662236196
2016-05-04$1097.00$1100.0058.0%16.6%45.7%44.0%58.8%-8.1%-8.3%84.2K9.9M-52.9K0.9185.77N/AN/A6962238195
2016-05-05$1089.00$1060.0052.9%15.9%45.0%37.2%56.5%-9.2%-4.5%99.7K9.9M-52.0K0.8962.17N/AN/A7063244195
2016-05-06$1090.40$1060.0053.8%15.0%43.3%38.5%54.4%-12.1%1.6%127.9K8.9M-56.0K1.0355.17N/AN/A6062249196
2016-05-09$1118.80$1060.0053.8%15.6%44.6%38.5%56.2%-4.2%-2.2%144.3K8.0M-56.5K0.9475.24N/AN/A6763248196
2016-05-10$1080.40$1060.0051.5%14.9%41.7%35.4%51.6%-6.1%-0.8%146.5K8.9M-51.1K0.9868.14N/AN/A6463250196
2016-05-11$1073.80$1060.0048.6%13.9%41.6%31.5%52.7%-12.0%-0.6%134.0K9.8M-46.6K0.9781.23N/AN/A6563251196
2016-05-12$1067.20$1060.0051.3%14.7%41.6%35.1%52.2%-8.3%-1.0%126.8K10.9M-43.7K0.9771.75N/AN/A6563252196
2016-05-13$1093.40$1060.0053.0%15.2%41.5%37.3%52.1%-4.0%-4.4%147.2K10.0M-46.5K0.9865.06N/AN/A6463252196
2016-05-16$1057.00$1060.0048.8%14.0%41.9%31.7%52.8%-11.5%0.4%133.6K10.1M-45.3K0.9281.20N/AN/A6761251196
2016-05-17$1049.20$1060.0048.9%14.0%39.6%31.9%51.3%-5.9%-0.4%121.3K11.3M-39.3K0.9275.10N/AN/A6761256196
2016-05-18$1073.80$1060.0053.3%15.3%39.7%37.7%53.2%-4.1%-4.1%122.0K10.9M-43.2K0.7973.56N/AN/A7056256196
2016-05-19$1066.60$1060.0050.5%14.5%39.7%34.0%48.8%-11.2%-0.1%202.7K9.8M-44.1K0.7466.44N/AN/A7656258196
2016-05-20$1058.20$1060.0048.7%14.0%38.4%31.7%48.8%-9.0%2.7%50.4K11.0M-41.5K0.7682.04N/AN/A7657264196
2016-05-23$1062.80$1060.0043.7%12.5%37.5%25.0%47.7%-6.0%5.2%53.4K10.7M-41.2K0.9373.56N/AN/A5652223186
2016-05-24$1050.20$1060.0044.5%12.8%36.1%26.1%46.3%-5.1%3.9%42.4K11.3M-37.7K0.9287.10N/AN/A5853227187
2016-05-25$1015.60$1060.0042.9%12.3%35.4%23.9%43.5%-8.2%1.7%27.5K12.1M-32.6K0.9296.10N/AN/A5753229188
2016-05-26$1025.80$1060.0042.8%12.3%33.9%23.8%45.7%-4.0%3.2%23.5K12.6M-32.2K0.8890.96N/AN/A6053230188
2016-05-27$1023.40$1060.0040.4%11.6%33.9%20.6%44.2%-12.9%0.2%38.8K12.1M-30.6K0.95103.92N/AN/A5653236188
2016-05-31$1032.00$1060.0043.4%12.4%34.0%24.6%46.6%-3.9%3.4%45.9K12.6M-29.9K0.91102.65N/AN/A5753237188