DUG Options History — November 2016

In November 2016, DUG traded between $774.40 and $961.80. ATM implied volatility averaged 48.2%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 16.6% (HV 20d: 31.6%). Max pain ranged from $840.00 to $900.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-11-11: Highest Volume — 41 contracts
  • 2016-11-10: Largest IV spike — 67.4% change
  • 2016-11-28: Highest IV Rank — 45.4%
  • 2016-11-28: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$880.12$774.40$961.80$940.80$774.40
Max Pain$856.19$840.00$900.00$840.00$860.00
ATM IV48.2%27.1%60.3%49.9%47.3%
Expected Move13.7%7.8%17.3%14.3%13.6%
HV 20d31.6%22.6%55.8%25.7%55.8%
HV 60d39.9%37.7%47.4%38.5%47.4%
IV Rank27.8%0.0%45.4%27.5%27.6%
IV Percentile47.4%0.0%76.6%52.0%47.2%
Term Structure-2.1%-16.0%26.9%0.6%3.2%
VWIV48.6%29.1%57.5%52.7%29.1%
Skew 25d-8.7%-14.2%10.4%-1.9%10.4%
Skew 10d-15.0%-36.3%6.3%-6.2%6.3%
Call IV 25d53.6%40.0%63.7%45.7%40.0%
Put IV 25d44.9%37.4%55.5%43.8%50.4%
Bid-Ask Spread %93.5968.53112.81105.50110.01
Gamma HHI0.140.090.230.150.11
Net GEX67.8K14.5K122.2K78.5K14.5K
Net DEX-586.7K-1.9M542.7K-1.3M542.7K
Net VEX-6.4K-8.9K-4.1K-7.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.330.950.350.65
Total Volume35.09525413835
Total OI78.47663917371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$940.80$840.0049.9%14.3%25.7%27.5%52.7%-1.9%0.6%78.5K-1.3M-7.6K0.35105.50N/AN/A28105815
2016-11-02$956.80$860.0053.7%15.4%22.7%33.0%55.3%-7.7%-10.9%87.9K-1.8M-8.9K0.33112.81N/AN/A30106116
2016-11-03$957.40$840.0051.2%14.0%22.6%29.3%47.8%-11.4%-0.4%103.4K-1.9M-8.9K0.3392.85N/AN/A30106616
2016-11-04$961.80$840.0054.9%14.7%22.6%34.7%50.1%-8.8%-4.2%107.3K-1.9M-8.6K0.3668.53N/AN/A27106616
2016-11-07$930.40$840.0051.0%14.5%23.4%29.1%52.0%-13.9%-3.0%103.4K-1.6M-8.3K0.3683.46N/AN/A28106616
2016-11-08$912.20$840.0048.1%12.7%24.1%24.9%47.2%-14.2%-1.7%110.3K-1.4M-7.7K0.3881.23N/AN/A26106716
2016-11-09$886.00$840.0027.1%7.8%26.3%0.0%33.7%-8.8%26.9%112.8K-899.0K-6.3K0.37103.74N/AN/A27106816
2016-11-10$879.60$840.0045.4%13.0%26.2%25.0%44.7%-12.7%-0.5%93.1K-612.1K-6.5K0.3789.33N/AN/A27107016
2016-11-11$909.00$840.0046.0%13.2%28.7%25.8%45.0%-6.9%-1.7%108.8K-1.0M-7.0K0.4289.94N/AN/A29127116
2016-11-14$900.80$900.0047.2%13.5%28.4%27.5%44.7%-11.6%-2.0%122.2K-1.1M-7.1K0.4491.70N/AN/A27127118
2016-11-15$850.20$900.0040.4%11.6%35.0%18.1%46.3%-11.5%5.1%75.7K-140.0K-5.8K0.4783.25N/AN/A26127118
2016-11-16$863.40$860.0047.3%13.5%33.7%27.5%48.2%-6.8%-4.7%66.7K-20.0K-5.6K0.4794.73N/AN/A26127218
2016-11-17$875.00$860.0047.5%13.6%33.9%27.9%47.0%-10.2%-5.1%84.4K-278.7K-5.5K0.4696.45N/AN/A26127218
2016-11-18$865.00$860.0047.2%13.5%33.9%27.4%49.9%-11.6%-4.1%28.1K-91.3K-5.7K0.4784.21N/AN/A26127318
2016-11-21$830.40$860.0045.7%13.1%36.4%25.4%52.6%-5.7%1.2%23.0K128.9K-5.0K0.7292.28N/AN/A16114716
2016-11-22$825.00$860.0047.6%13.6%36.1%28.0%51.9%-12.9%-4.2%18.0K328.2K-4.3K0.79106.80N/AN/A14114717
2016-11-23$817.80$860.0045.0%12.9%36.1%24.5%53.6%-11.8%-1.9%19.1K298.8K-4.6K0.90106.55N/AN/A14134717
2016-11-25$825.20$860.0051.9%14.9%36.4%33.9%54.0%-9.6%-11.1%17.3K365.1K-5.1K0.9594.08N/AN/A14144719
2016-11-28$849.00$860.0060.3%17.3%37.7%45.4%57.5%-6.7%-16.0%19.0K269.6K-5.2K0.8688.65N/AN/A16144719
2016-11-29$872.40$860.0057.2%16.4%38.0%41.2%56.7%-9.5%-8.5%29.2K-108.4K-6.0K0.8689.19N/AN/A16144920
2016-11-30$774.40$860.0047.3%13.6%55.8%27.6%29.1%10.4%3.2%14.5K542.7K-4.1K0.65110.01N/AN/A21145120