DUG Options History — August 2016

In August 2016, DUG traded between $894.80 and $1062.20. ATM implied volatility averaged 38.0%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.4% (HV 20d: 39.4%). Max pain ranged from $900.00 to $960.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.78.

Notable Days

2016-08-19: Highest Volume — 80 contracts
2016-08-17: Largest IV spike — 27.3% change
2016-08-01: Highest IV Rank — 28.8%
2016-08-01: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$956.31	$894.80	$1062.20	$1062.20	$959.20
Max Pain	$930.43	$900.00	$960.00	$940.00	$900.00
ATM IV	38.0%	32.6%	51.2%	51.2%	34.7%
Expected Move	11.1%	9.4%	14.7%	14.7%	10.0%
HV 20d	39.4%	29.6%	42.8%	41.5%	29.7%
HV 60d	42.0%	41.1%	42.5%	41.7%	41.1%
IV Rank	9.5%	1.7%	28.8%	28.8%	4.8%
IV Percentile	7.7%	0.4%	39.3%	39.3%	2.4%
Term Structure	4.2%	-9.8%	24.4%	4.9%	11.5%
VWIV	39.6%	28.9%	49.1%	41.8%	39.2%
Skew 25d	-4.2%	-10.4%	20.4%	2.2%	1.4%
Skew 10d	-12.4%	-27.2%	18.4%	4.9%	-14.1%
Call IV 25d	42.4%	36.6%	49.0%	40.8%	36.6%
Put IV 25d	38.2%	29.6%	62.8%	43.1%	38.0%
Bid-Ask Spread %	99.54	80.30	127.72	104.06	112.81
Gamma HHI	0.11	0.07	0.14	0.07	0.12
Net GEX	82.7K	26.3K	124.7K	94.2K	90.7K
Net DEX	895.1K	-1.4M	2.5M	-1.0M	1.3M
Net VEX	-13.9K	-19.5K	-11.1K	-17.6K	-11.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	3.00	0.75	0.54
Total Volume	60.783	2	80	75	57
Total OI	221.435	208	235	208	221

Daily Data (23 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
2016-08-01	$1062.20	$940.00	51.2%	14.7%	41.5%	28.8%	41.8%	2.2%	4.9%	94.2K	-1.0M	-17.6K	0.75	104.06	N/A	N/A	43	32	159	49
2016-08-02	$1043.60	$960.00	44.8%	12.8%	39.8%	19.4%	45.3%	-7.8%	-3.6%	104.0K	-1.3M	-19.5K	0.72	96.69	N/A	N/A	45	32	164	53
2016-08-03	$1004.00	$960.00	37.0%	10.6%	42.2%	8.1%	49.1%	7.3%	24.4%	124.7K	-1.4M	-19.5K	0.74	115.95	N/A	N/A	44	32	170	53
2016-08-04	$1006.40	$920.00	39.9%	11.8%	41.7%	12.3%	42.3%	-7.2%	2.6%	112.8K	-418.1K	-17.7K	0.77	89.14	N/A	N/A	42	32	170	53
2016-08-05	$985.40	$920.00	36.4%	11.2%	41.1%	7.2%	41.5%	-8.3%	5.0%	117.5K	-147.3K	-17.8K	0.77	80.30	N/A	N/A	42	33	170	53
2016-08-08	$958.00	$960.00	34.5%	11.4%	42.3%	4.5%	41.7%	-8.5%	1.4%	95.6K	718.8K	-15.3K	0.76	89.57	N/A	N/A	43	33	169	53
2016-08-09	$969.40	$960.00	36.0%	11.4%	38.4%	6.7%	40.9%	-4.3%	3.9%	95.2K	884.5K	-14.6K	0.75	91.03	N/A	N/A	43	33	169	53
2016-08-10	$993.80	$960.00	38.6%	11.1%	38.9%	10.4%	38.4%	-3.3%	1.8%	119.2K	402.5K	-14.7K	0.82	105.65	N/A	N/A	40	33	169	53
2016-08-11	$964.00	$960.00	39.2%	11.2%	40.5%	11.3%	39.9%	-6.0%	2.5%	100.0K	772.9K	-14.3K	0.84	88.76	N/A	N/A	39	33	170	53
2016-08-12	$952.20	$960.00	37.0%	10.6%	40.8%	8.0%	39.8%	-8.2%	7.5%	94.6K	930.9K	-14.9K	0.86	86.59	N/A	N/A	39	33	171	53
2016-08-15	$939.80	$960.00	35.1%	10.1%	41.1%	5.4%	39.0%	-5.8%	8.0%	81.8K	1.5M	-12.6K	0.83	92.82	N/A	N/A	40	33	174	54
2016-08-16	$932.40	$940.00	35.6%	10.2%	40.9%	6.1%	38.0%	-4.4%	8.1%	74.8K	1.4M	-13.1K	0.81	95.22	N/A	N/A	41	33	175	55
2016-08-17	$929.80	$940.00	45.4%	13.0%	40.9%	20.3%	0.0%	20.4%	-1.6%	74.6K	1.6M	-11.9K	0.00	127.72	N/A	N/A	2	0	176	55
2016-08-18	$894.80	$940.00	33.4%	9.6%	42.3%	2.8%	28.9%	-10.2%	5.4%	26.3K	2.1M	-11.1K	3.00	102.43	N/A	N/A	1	2	177	55
2016-08-19	$908.80	$920.00	34.6%	9.9%	42.8%	4.6%	38.4%	-10.4%	6.1%	34.1K	2.5M	-11.3K	0.79	95.30	N/A	N/A	45	35	178	57
2016-08-22	$927.40	$900.00	37.4%	10.7%	41.0%	8.7%	39.1%	-8.1%	2.6%	56.0K	1.5M	-12.4K	0.99	89.67	N/A	N/A	33	33	160	50
2016-08-23	$918.40	$900.00	36.4%	10.4%	41.0%	7.2%	38.7%	-7.5%	3.1%	60.8K	1.6M	-11.7K	1.02	89.77	N/A	N/A	32	33	163	50
2016-08-24	$925.40	$900.00	32.6%	9.4%	40.0%	1.7%	33.8%	-6.5%	4.8%	63.8K	1.7M	-11.4K	0.04	117.56	N/A	N/A	6	0	163	50
2016-08-25	$931.00	$900.00	38.0%	10.9%	40.1%	9.6%	37.9%	-9.4%	3.0%	69.9K	1.5M	-12.2K	0.53	95.04	N/A	N/A	37	19	167	50
2016-08-26	$934.60	$900.00	39.3%	11.3%	40.0%	11.4%	40.6%	-0.7%	-9.8%	66.3K	1.7M	-11.7K	0.52	117.21	N/A	N/A	37	19	167	50
2016-08-29	$923.40	$900.00	38.2%	10.9%	29.6%	9.8%	37.9%	-7.5%	0.6%	74.0K	1.3M	-11.8K	0.54	101.97	N/A	N/A	37	20	169	50
2016-08-30	$931.20	$900.00	37.9%	10.9%	29.8%	9.4%	38.6%	-4.5%	3.7%	70.5K	1.6M	-11.7K	0.53	104.15	N/A	N/A	37	20	169	51
2016-08-31	$959.20	$900.00	34.7%	10.0%	29.7%	4.8%	39.2%	1.4%	11.5%	90.7K	1.3M	-11.6K	0.54	112.81	N/A	N/A	37	20	170	51