DUG Options History — June 2016

In June 2016, DUG traded between $952.20 and $1075.00. ATM implied volatility averaged 44.6%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 8.9% (HV 20d: 35.8%). Max pain ranged from $1060.00 to $1600.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-06-10: Highest Volume — 118 contracts
  • 2016-06-07: Largest IV spike — 36.4% change
  • 2016-06-15: Highest IV Rank — 40.8%
  • 2016-06-27: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1000.65$952.20$1075.00$1030.20$962.20
Max Pain$1551.82$1060.00$1600.00$1060.00$1540.00
ATM IV44.6%35.2%56.7%38.4%37.1%
Expected Move12.8%9.7%16.2%11.0%10.6%
HV 20d35.8%27.7%52.2%29.6%52.2%
HV 60d38.7%36.8%43.2%41.1%42.5%
IV Rank25.0%6.9%40.8%18.0%8.9%
IV Percentile23.4%2.8%57.1%11.9%3.6%
Term Structure3.7%-5.9%19.8%7.9%11.2%
VWIV48.1%40.4%60.3%41.9%41.4%
Skew 25d-7.0%-12.9%11.1%-4.3%-10.6%
Skew 10d-16.7%-37.0%-1.9%-17.8%-22.0%
Call IV 25d50.4%44.3%59.9%47.0%45.9%
Put IV 25d43.4%33.4%69.9%42.7%35.4%
Bid-Ask Spread %89.5275.69107.2598.8596.48
Gamma HHI0.090.080.140.080.10
Net GEX30.3K-57.6K245.2K82.2K-27.6K
Net DEX12.7M9.5M14.5M11.3M14.0M
Net VEX-24.0K-34.0K-16.7K-32.7K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.790.970.910.82
Total Volume112.091108118111110
Total OI438.636420469427438

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$1030.20$1060.0038.4%11.0%29.6%18.0%41.9%-4.3%7.9%82.2K11.3M-32.7K0.9198.85N/AN/A5853239188
2016-06-02$1037.80$1600.0038.8%13.0%27.8%18.6%49.4%-10.8%1.9%93.9K11.2M-34.0K0.9280.87N/AN/A5753241188
2016-06-03$1039.60$1600.0043.0%12.4%27.7%24.1%47.9%-5.9%2.0%63.6K12.2M-30.2K0.8782.18N/AN/A6053241189
2016-06-06$995.40$1600.0035.2%12.2%31.3%13.8%40.6%-3.5%5.2%42.8K12.5M-26.1K0.9575.69N/AN/A5653244189
2016-06-07$952.60$1600.0048.1%9.7%32.1%30.8%40.4%-10.1%19.8%-8.6K13.4M-21.4K0.9791.36N/AN/A5553244189
2016-06-08$954.80$1600.0039.2%11.2%30.7%19.0%40.4%-8.6%5.9%-31.4K14.5M-17.9K0.9189.91N/AN/A5752245189
2016-06-09$961.80$1600.0039.8%11.4%31.0%19.8%42.0%-7.4%5.0%-24.7K13.8M-20.8K0.9290.77N/AN/A5652247190
2016-06-10$1008.20$1600.0043.5%12.5%36.2%24.8%48.5%-8.0%1.8%24.5K13.7M-22.7K0.7987.25N/AN/A6652248190
2016-06-13$1015.40$1600.0049.8%14.3%35.0%33.2%55.8%-12.9%-2.1%120.8K12.2M-27.2K0.8483.97N/AN/A6352262190
2016-06-14$1017.80$1600.0053.3%15.3%33.2%37.7%58.7%-6.8%-1.3%194.3K11.0M-29.6K0.9179.21N/AN/A5954269190
2016-06-15$1023.80$1580.0055.6%15.9%33.2%40.8%60.3%-9.9%-5.9%208.9K11.6M-27.5K0.9293.93N/AN/A5954277189
2016-06-16$1029.60$1580.0052.5%15.1%32.1%36.7%59.2%-5.6%5.1%245.2K9.5M-32.0K0.8683.05N/AN/A6153277189
2016-06-17$1009.60$1560.0050.2%14.4%32.6%33.6%55.9%-5.3%3.4%-17.2K12.7M-25.3K0.8489.13N/AN/A6453280189
2016-06-20$991.60$1560.0047.1%13.5%33.1%29.6%45.3%-10.2%-2.6%-57.6K14.3M-18.9K0.8982.15N/AN/A5751235185
2016-06-21$971.00$1560.0041.4%11.9%33.5%21.9%42.0%-5.0%5.8%-52.3K13.4M-19.0K0.8389.72N/AN/A6251239185
2016-06-22$981.80$1560.0045.7%13.1%33.8%27.7%45.4%-10.4%-4.6%-41.2K14.0M-18.3K0.8395.76N/AN/A6251243185
2016-06-23$952.20$1560.0040.2%11.5%33.5%18.1%43.2%-9.6%6.9%-31.1K13.5M-19.2K0.8488.18N/AN/A6151244185
2016-06-24$1011.20$1560.0044.4%12.7%40.2%23.4%51.5%11.1%4.7%-35.2K13.1M-23.0K0.83107.25N/AN/A6151245185
2016-06-27$1075.00$1540.0056.7%16.2%45.8%40.2%56.0%-2.0%-1.9%-4.4K11.7M-26.9K0.8095.79N/AN/A6451249185
2016-06-28$1017.80$1540.0045.9%13.2%50.0%21.6%47.3%-7.9%10.0%-45.3K12.6M-22.4K0.8192.93N/AN/A6452251185
2016-06-29$974.80$1540.0035.7%10.2%52.2%6.9%45.3%-10.8%3.7%-32.4K14.0M-17.4K0.8295.05N/AN/A6049252186
2016-06-30$962.20$1540.0037.1%10.6%52.2%8.9%41.4%-10.6%11.2%-27.6K14.0M-16.7K0.8296.48N/AN/A6050252186