DUG Options History — July 2016

In July 2016, DUG traded between $920.20 and $1005.80. ATM implied volatility averaged 41.7%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.7% (HV 20d: 48.4%). Max pain ranged from $920.00 to $1540.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2016-07-15: Highest Volume — 125 contracts
2016-07-05: Largest IV spike — 47.0% change
2016-07-12: Highest IV Rank — 35.7%
2016-07-07: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$962.53	$920.20	$1005.80	$945.60	$991.20
Max Pain	$981.00	$920.00	$1540.00	$1540.00	$940.00
ATM IV	41.7%	31.4%	55.6%	35.7%	31.4%
Expected Move	11.4%	9.0%	14.2%	10.2%	9.0%
HV 20d	48.4%	34.7%	52.9%	52.3%	34.8%
HV 60d	41.3%	39.1%	42.8%	42.3%	39.1%
IV Rank	13.8%	0.0%	35.7%	6.9%	0.0%
IV Percentile	15.0%	0.0%	54.4%	3.2%	0.0%
Term Structure	3.7%	-1.5%	15.1%	6.3%	15.1%
VWIV	43.4%	36.8%	51.5%	39.6%	36.8%
Skew 25d	-7.5%	-12.4%	-3.3%	-8.5%	-3.6%
Skew 10d	-15.6%	-23.2%	-5.7%	-23.2%	-12.0%
Call IV 25d	45.8%	41.4%	55.1%	42.3%	41.4%
Put IV 25d	38.3%	33.8%	44.2%	33.8%	37.8%
Bid-Ask Spread %	86.42	65.32	99.22	95.75	99.21
Gamma HHI	0.08	0.05	0.17	0.08	0.08
Net GEX	36.1K	-27.5K	94.8K	-21.5K	94.8K
Net DEX	7.4M	-545.8K	15.3M	14.2M	-545.8K
Net VEX	-14.0K	-18.0K	-10.2K	-15.7K	-17.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.47	0.84	0.81	0.78
Total Volume	88.7	52	125	111	70
Total OI	318.6	171	467	440	205

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-07-01	$945.60	$1540.00	35.7%	10.2%	52.3%	6.9%	39.6%	-8.5%	6.3%	-21.5K	14.2M	-15.7K	0.81	95.75	N/A	N/A	61	50	253	187
2016-07-05	$987.20	$1000.00	52.5%	13.0%	52.9%	31.2%	48.0%	-10.9%	4.6%	-23.0K	14.1M	-16.3K	0.80	73.58	N/A	N/A	63	51	254	187
2016-07-06	$977.00	$960.00	47.4%	13.2%	50.5%	23.8%	51.5%	-10.9%	3.8%	-27.5K	13.8M	-15.9K	0.73	65.32	N/A	N/A	70	51	256	188
2016-07-07	$996.80	$960.00	55.5%	14.2%	50.9%	35.5%	50.0%	-10.5%	-0.6%	-15.6K	13.6M	-17.7K	0.72	74.11	N/A	N/A	68	49	264	188
2016-07-08	$969.00	$960.00	40.4%	12.5%	52.0%	13.7%	47.6%	-9.6%	3.3%	-285	14.0M	-15.0K	0.73	67.62	N/A	N/A	69	50	264	188
2016-07-11	$966.40	$960.00	53.7%	12.1%	49.0%	32.8%	47.0%	-12.4%	5.6%	27.3K	14.5M	-14.4K	0.71	82.45	N/A	N/A	69	49	265	189
2016-07-12	$920.20	$960.00	55.6%	11.3%	51.6%	35.7%	45.9%	-12.4%	1.2%	33.8K	14.4M	-15.4K	0.72	83.04	N/A	N/A	69	49	267	191
2016-07-13	$935.00	$960.00	40.5%	11.6%	52.0%	13.8%	44.3%	-5.6%	1.4%	29.0K	15.1M	-10.2K	0.71	87.41	N/A	N/A	72	51	267	191
2016-07-14	$926.00	$960.00	37.5%	10.8%	51.9%	7.1%	43.1%	-7.1%	3.3%	48.6K	15.1M	-11.0K	0.70	79.68	N/A	N/A	73	51	274	192
2016-07-15	$929.00	$960.00	36.9%	10.6%	51.9%	6.2%	41.9%	-7.3%	3.6%	34.7K	15.3M	-10.5K	0.73	90.01	N/A	N/A	72	53	276	191
2016-07-18	$926.80	$960.00	37.2%	10.7%	51.6%	5.5%	37.1%	-3.7%	-0.7%	39.9K	1.1M	-12.5K	0.53	98.34	N/A	N/A	35	18	134	37
2016-07-19	$939.80	$940.00	37.6%	10.8%	51.7%	6.1%	42.8%	-9.2%	1.8%	39.9K	1.3M	-11.1K	0.53	86.45	N/A	N/A	34	18	137	37
2016-07-20	$940.00	$940.00	37.9%	10.9%	51.3%	6.6%	42.2%	-5.7%	6.5%	44.9K	1.1M	-11.4K	0.51	99.22	N/A	N/A	35	18	139	37
2016-07-21	$959.20	$940.00	38.7%	11.1%	51.7%	7.8%	41.9%	-4.6%	2.9%	52.8K	962.0K	-12.3K	0.51	93.49	N/A	N/A	35	18	140	37
2016-07-22	$955.00	$940.00	36.5%	10.5%	50.5%	4.5%	42.6%	-4.9%	4.0%	54.1K	838.4K	-12.6K	0.53	86.86	N/A	N/A	34	18	142	37
2016-07-25	$992.20	$940.00	38.4%	11.0%	47.6%	7.3%	42.1%	-4.4%	5.6%	65.0K	435.9K	-13.2K	0.47	90.76	N/A	N/A	38	18	143	37
2016-07-26	$982.80	$920.00	39.9%	11.5%	41.6%	9.6%	41.8%	-10.3%	-1.5%	77.6K	-87.1K	-14.9K	0.47	85.80	N/A	N/A	39	19	149	37
2016-07-27	$1005.60	$940.00	40.0%	11.5%	38.1%	9.7%	40.1%	-3.3%	3.7%	89.2K	-235.5K	-15.4K	0.84	98.56	N/A	N/A	37	31	151	38
2016-07-28	$1005.80	$940.00	41.1%	11.8%	34.7%	11.4%	42.8%	-5.5%	4.8%	77.5K	-210.8K	-18.0K	0.80	90.76	N/A	N/A	38	31	154	49
2016-07-29	$991.20	$940.00	31.4%	9.0%	34.8%	0.0%	36.8%	-3.6%	15.1%	94.8K	-545.8K	-17.3K	0.78	99.21	N/A	N/A	39	31	156	49