DUG Options History — October 2016

In October 2016, DUG traded between $854.60 and $941.60. ATM implied volatility averaged 42.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 0.9% (HV 20d: 43.5%). Max pain ranged from $800.00 to $1060.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-10-20: Highest Volume — 72 contracts
  • 2016-10-11: Largest IV spike — 23.6% change
  • 2016-10-31: Highest IV Rank — 27.6%
  • 2016-10-31: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$891.72$854.60$941.60$883.40$941.60
Max Pain$848.57$800.00$1060.00$1060.00$800.00
ATM IV42.7%37.8%50.0%41.7%50.0%
Expected Move12.3%10.8%14.3%12.0%14.3%
HV 20d43.5%25.4%55.9%55.1%26.5%
HV 60d41.6%38.7%42.9%42.6%38.9%
IV Rank17.0%10.0%27.6%15.7%27.6%
IV Percentile27.4%11.5%52.4%22.6%52.4%
Term Structure1.1%-12.7%12.2%-1.4%-3.9%
VWIV46.0%41.8%51.1%46.6%51.1%
Skew 25d-6.6%-14.0%10.9%-4.0%-8.9%
Skew 10d-11.0%-19.3%31.7%-12.8%-13.6%
Call IV 25d48.0%42.8%52.2%46.8%51.5%
Put IV 25d41.4%35.3%63.1%42.8%42.5%
Bid-Ask Spread %92.4877.90108.1994.9893.25
Gamma HHI0.170.080.340.100.16
Net GEX30.1K-33.6K89.0K22.3K89.0K
Net DEX1.5M-1.5M3.1M2.5M-1.5M
Net VEX-7.1K-8.2K-6.0K-7.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.340.670.660.34
Total Volume56.8133725738
Total OI190.2386424922376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$883.40$1060.0041.7%12.0%55.1%15.7%46.6%-4.0%-1.4%22.3K2.5M-7.5K0.6694.98N/AN/A342317053
2016-10-04$901.80$1060.0046.1%13.2%54.8%22.0%47.4%-3.0%0.7%25.7K2.4M-7.5K0.6592.21N/AN/A352317154
2016-10-05$872.80$1060.0037.8%10.8%55.9%10.0%51.1%10.9%4.7%20.7K2.4M-7.4K0.57103.06N/AN/A402317254
2016-10-06$871.80$880.0040.2%12.2%54.1%13.5%44.5%-2.9%3.2%32.7K2.3M-8.0K0.6790.68N/AN/A342318254
2016-10-07$879.80$880.0041.2%12.3%50.4%14.9%46.6%-8.3%2.1%24.3K2.6M-7.4K0.6484.30N/AN/A372418254
2016-10-10$854.60$880.0038.1%12.0%51.2%10.5%43.6%-11.5%-1.3%-6.3K3.1M-6.0K0.5884.45N/AN/A412418054
2016-10-11$872.20$800.0047.1%12.6%46.3%23.5%41.8%-5.8%1.1%18.5K2.6M-6.9K0.5987.33N/AN/A402418454
2016-10-12$880.80$800.0049.4%14.2%45.5%26.8%43.7%-9.6%-5.0%16.4K2.5M-7.3K0.5996.74N/AN/A402418454
2016-10-13$889.60$800.0047.0%13.5%45.1%23.3%44.3%-10.8%-12.7%50.7K1.8M-8.2K0.5381.82N/AN/A452418454
2016-10-14$894.60$800.0045.6%13.1%44.7%21.2%45.9%-6.8%1.2%12.4K2.3M-7.1K0.5081.38N/AN/A472418555
2016-10-17$907.80$800.0045.1%12.9%45.2%20.6%46.9%-8.1%1.7%18.1K1.8M-7.6K0.5277.90N/AN/A462419055
2016-10-18$901.60$800.0045.9%13.2%44.4%21.8%48.2%-6.7%0.0%-28.2K2.1M-6.9K0.5385.00N/AN/A462419054
2016-10-19$872.80$800.0038.3%11.0%43.7%10.8%46.7%-14.0%12.2%-19.3K2.8M-6.3K0.5295.86N/AN/A472419056
2016-10-20$881.20$800.0040.1%11.5%43.9%13.4%45.7%-10.7%2.1%-33.6K2.7M-6.5K0.5191.41N/AN/A482419356
2016-10-21$888.80$800.0039.1%11.2%42.5%11.9%43.4%-9.1%3.3%51.9K2.8M-6.5K0.5783.69N/AN/A442519356
2016-10-24$897.00$800.0041.2%11.8%42.5%15.0%44.4%-3.7%1.0%53.9K-524.8K-6.1K0.53108.19N/AN/A22124915
2016-10-25$904.60$800.0040.3%11.5%42.2%13.6%45.8%-11.1%-0.8%60.6K-677.0K-6.3K0.4797.44N/AN/A24125315
2016-10-26$904.80$800.0038.3%11.0%27.4%10.8%50.1%-4.4%7.7%73.3K-1.0M-7.6K0.45104.64N/AN/A24115815
2016-10-27$905.40$800.0038.9%11.1%27.3%11.6%44.0%-2.1%7.0%74.1K-836.2K-7.3K0.44104.89N/AN/A23105915
2016-10-28$919.20$800.0044.3%12.7%25.4%19.5%43.2%-8.6%0.0%75.6K-990.3K-7.4K0.39102.78N/AN/A26105815
2016-10-31$941.60$800.0050.0%14.3%26.5%27.6%51.1%-8.9%-3.9%89.0K-1.5M-7.9K0.3493.25N/AN/A28106115