DUG Options History — September 2016

In September 2016, DUG traded between $873.60 and $995.60. ATM implied volatility averaged 43.5%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 2.4% (HV 20d: 41.1%). Max pain ranged from $900.00 to $1200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-09-08: Highest Volume — 60 contracts
  • 2016-09-12: Largest IV spike — 65.5% change
  • 2016-09-12: Highest IV Rank — 51.7%
  • 2016-09-14: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$945.06$873.60$995.60$967.00$876.60
Max Pain$1123.81$900.00$1200.00$900.00$1080.00
ATM IV43.5%30.8%66.7%37.7%38.5%
Expected Move12.2%9.7%16.7%10.8%11.0%
HV 20d41.1%29.9%55.9%29.9%55.3%
HV 60d42.2%39.6%44.9%41.1%43.0%
IV Rank18.2%0.0%51.7%9.2%11.0%
IV Percentile26.8%0.0%81.7%9.5%13.9%
Term Structure0.3%-28.3%12.6%3.2%2.0%
VWIV46.2%37.1%54.7%39.0%43.7%
Skew 25d-6.7%-22.6%14.0%-2.5%-13.7%
Skew 10d-11.1%-34.1%32.5%-34.1%-22.4%
Call IV 25d48.7%37.1%66.7%43.2%47.5%
Put IV 25d42.0%32.6%65.8%40.7%33.8%
Bid-Ask Spread %91.7871.17110.94106.6496.22
Gamma HHI0.160.090.870.110.12
Net GEX125.2K20.7K1.1M101.8K20.7K
Net DEX1.3M62.0K2.4M539.6K2.4M
Net VEX-9.9K-13.0K-7.4K-13.0K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.530.700.540.69
Total Volume55.23849605756
Total OI221.429209231224221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$967.00$900.0037.7%10.8%29.9%9.2%39.0%-2.5%3.2%101.8K539.6K-13.0K0.54106.64N/AN/A372017351
2016-09-02$945.40$900.0033.8%9.7%30.0%3.4%37.1%-4.2%8.4%102.6K1.1M-12.4K0.56107.70N/AN/A362017651
2016-09-06$917.40$1200.0030.8%10.5%30.2%0.0%42.5%-9.3%7.0%91.7K1.7M-10.4K0.5877.97N/AN/A362117651
2016-09-07$908.60$1200.0031.7%10.8%29.9%1.3%43.8%-6.7%4.2%74.3K1.9M-10.2K0.5783.24N/AN/A362117551
2016-09-08$873.60$1200.0032.3%9.7%30.5%2.1%40.6%-2.9%4.7%46.8K2.3M-8.2K0.5398.81N/AN/A392117751
2016-09-09$921.80$1200.0040.3%12.1%35.9%13.7%46.5%-5.9%-0.7%97.1K1.9M-9.8K0.5986.15N/AN/A352118051
2016-09-12$908.60$1200.0066.7%12.4%36.0%51.7%50.7%-7.2%-0.1%97.0K1.6M-9.7K0.5781.82N/AN/A362117951
2016-09-13$965.00$1200.0061.7%14.2%42.0%44.5%51.8%-6.4%-3.0%137.5K873.1K-10.6K0.5889.40N/AN/A362117951
2016-09-14$988.20$1200.0058.3%16.7%42.6%39.6%54.7%-20.6%-7.3%164.8K62.0K-11.3K0.6197.75N/AN/A342117951
2016-09-15$962.40$1200.0043.7%12.5%43.8%18.5%53.6%-4.0%3.3%192.3K472.5K-11.7K0.6184.15N/AN/A342117851
2016-09-16$977.40$1160.0046.7%13.4%41.4%22.9%50.9%-9.0%1.3%1.1M105.7K-11.1K0.5371.17N/AN/A392117951
2016-09-19$976.00$1160.0045.7%13.1%41.2%21.5%49.2%-7.0%0.1%38.4K1.5M-9.7K0.7085.69N/AN/A292015950
2016-09-20$994.00$1120.0045.1%12.9%41.1%20.6%46.3%-7.9%2.4%45.5K1.2M-10.1K0.6785.87N/AN/A302016050
2016-09-21$954.80$1100.0043.9%12.6%43.7%18.8%53.5%-0.9%-0.6%56.4K900.3K-9.8K0.64110.94N/AN/A312016250
2016-09-22$946.00$1100.0040.3%11.5%43.9%13.6%41.4%-6.1%3.3%34.4K1.8M-8.7K0.6295.70N/AN/A322016250
2016-09-23$974.20$1100.0044.0%12.6%45.0%19.0%40.2%-3.6%0.1%43.9K1.4M-8.8K0.6194.99N/AN/A332016250
2016-09-26$981.80$1100.0045.0%12.9%45.0%20.4%43.2%-9.3%1.9%45.3K1.3M-9.0K0.6086.94N/AN/A332016250
2016-09-27$995.60$1100.0044.0%12.6%44.8%19.0%45.2%-5.1%-7.6%66.7K873.3K-9.3K0.5992.43N/AN/A342016450
2016-09-28$909.20$1100.0041.5%11.9%55.9%15.4%48.3%-22.6%-28.3%36.5K1.7M-8.2K0.5996.42N/AN/A362216550
2016-09-29$902.60$1080.0041.6%11.9%54.8%15.5%48.2%14.0%12.6%31.4K2.2M-8.3K0.6197.40N/AN/A352216952
2016-09-30$876.60$1080.0038.5%11.0%55.3%11.0%43.7%-13.7%2.0%20.7K2.4M-7.4K0.6996.22N/AN/A332316952