DUG Options History — December 2016

In December 2016, DUG traded between $705.00 and $770.20. ATM implied volatility averaged 38.5%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 10.8% (HV 20d: 49.4%). Max pain ranged from $760.00 to $940.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2016-12-15: Highest Volume — 39 contracts
2016-12-12: Largest IV spike — 63.9% change
2016-12-12: Highest IV Rank — 51.7%
2016-12-01: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$739.92	$705.00	$770.20	$770.20	$751.60
Max Pain	$871.43	$760.00	$940.00	$760.00	$840.00
ATM IV	38.5%	33.2%	64.9%	47.1%	37.4%
Expected Move	10.8%	9.5%	13.5%	13.5%	10.7%
HV 20d	49.4%	23.9%	54.9%	54.9%	24.2%
HV 60d	42.3%	37.8%	47.4%	47.4%	37.8%
IV Rank	15.6%	8.3%	51.7%	27.4%	14.1%
IV Percentile	16.7%	2.4%	82.9%	45.6%	14.7%
Term Structure	2.0%	-16.7%	10.8%	-4.9%	3.1%
VWIV	40.6%	34.4%	52.3%	52.3%	34.4%
Skew 25d	-5.6%	-10.6%	-0.9%	-0.9%	-8.1%
Skew 10d	-12.6%	-18.9%	-3.9%	-18.9%	-13.3%
Call IV 25d	40.4%	30.4%	51.3%	47.1%	41.6%
Put IV 25d	34.8%	29.2%	46.3%	46.3%	33.5%
Bid-Ask Spread %	93.81	78.32	108.96	108.20	95.99
Gamma HHI	0.16	0.09	0.30	0.13	0.12
Net GEX	13.6K	1.9K	28.3K	21.3K	12.2K
Net DEX	738.7K	521.2K	1.0M	621.7K	521.2K
Net VEX	-3.0K	-4.0K	-2.7K	-4.0K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.46	0.66	0.59	0.46
Total Volume	35.524	31	39	37	35
Total OI	73.524	60	87	77	65

Daily Data (21 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
2016-12-01	$770.20	$760.00	47.1%	13.5%	54.9%	27.4%	52.3%	-0.9%	-4.9%	21.3K	621.7K	-4.0K	0.59	108.20	N/A	N/A	23	14	57	20
2016-12-02	$767.80	$760.00	44.5%	12.7%	54.9%	23.7%	45.8%	-10.6%	-2.6%	21.6K	551.4K	-4.0K	0.60	99.68	N/A	N/A	23	14	56	20
2016-12-05	$755.00	$940.00	36.5%	10.8%	54.6%	12.8%	43.2%	-7.7%	9.0%	20.4K	862.2K	-2.9K	0.64	85.17	N/A	N/A	22	14	58	21
2016-12-06	$757.60	$920.00	34.2%	11.2%	54.2%	9.6%	43.8%	-7.1%	4.8%	28.3K	623.6K	-3.6K	0.63	85.22	N/A	N/A	23	14	59	21
2016-12-07	$754.20	$920.00	38.0%	11.1%	54.2%	14.9%	41.8%	-6.9%	5.0%	22.0K	825.8K	-3.0K	0.63	85.96	N/A	N/A	23	14	59	21
2016-12-08	$740.60	$920.00	36.5%	11.1%	53.8%	12.8%	42.3%	-7.9%	4.5%	22.3K	795.1K	-3.3K	0.65	78.32	N/A	N/A	23	15	59	21
2016-12-09	$735.80	$900.00	39.6%	11.2%	53.8%	17.1%	42.5%	-5.2%	3.9%	17.8K	962.6K	-2.7K	0.66	79.70	N/A	N/A	22	15	60	22
2016-12-12	$728.20	$900.00	64.9%	12.1%	51.5%	51.7%	45.5%	-5.6%	-16.7%	14.4K	983.0K	-2.7K	0.59	93.74	N/A	N/A	24	14	60	22
2016-12-13	$705.00	$900.00	35.0%	9.8%	52.0%	10.8%	43.3%	-2.6%	10.8%	1.9K	1.0M	-2.8K	0.60	91.68	N/A	N/A	23	14	62	22
2016-12-14	$735.80	$900.00	42.3%	12.1%	52.6%	20.8%	44.0%	-4.6%	-1.8%	19.3K	933.9K	-2.8K	0.57	90.10	N/A	N/A	24	14	62	22
2016-12-15	$735.80	$900.00	37.8%	10.8%	52.0%	14.6%	43.4%	-6.0%	2.8%	26.4K	858.5K	-3.1K	0.56	90.31	N/A	N/A	25	14	64	22
2016-12-16	$729.20	$900.00	35.0%	10.0%	51.3%	10.8%	41.6%	-6.1%	6.2%	2.1K	929.4K	-3.0K	0.54	91.50	N/A	N/A	25	14	65	22
2016-12-19	$732.60	$900.00	33.4%	9.6%	51.6%	8.6%	40.6%	-5.8%	4.1%	2.7K	678.0K	-2.8K	0.55	93.07	N/A	N/A	20	11	43	17
2016-12-20	$737.60	$900.00	35.1%	10.1%	50.3%	10.9%	34.9%	-4.8%	4.5%	4.4K	653.1K	-2.9K	0.54	99.59	N/A	N/A	21	11	43	18
2016-12-21	$733.00	$840.00	33.9%	9.7%	50.3%	9.2%	36.1%	-1.2%	-4.1%	7.4K	609.3K	-3.0K	0.52	108.96	N/A	N/A	22	11	45	18
2016-12-22	$727.20	$840.00	33.2%	9.5%	50.3%	8.3%	34.7%	-4.9%	5.0%	7.4K	619.1K	-2.9K	0.52	97.80	N/A	N/A	21	11	45	18
2016-12-23	$730.60	$840.00	35.2%	10.1%	50.2%	11.1%	36.2%	-1.8%	3.5%	7.4K	633.5K	-2.9K	0.52	96.20	N/A	N/A	22	11	45	18
2016-12-27	$726.60	$840.00	33.6%	9.6%	48.5%	8.9%	35.4%	-6.8%	4.3%	8.0K	650.0K	-2.8K	0.52	95.06	N/A	N/A	22	11	46	18
2016-12-28	$739.80	$840.00	37.9%	10.9%	47.7%	14.8%	34.6%	-5.2%	-1.1%	11.0K	630.2K	-2.7K	0.52	101.69	N/A	N/A	22	11	46	18
2016-12-29	$744.20	$840.00	37.7%	10.8%	23.9%	14.5%	36.3%	-7.5%	1.4%	8.2K	560.5K	-2.8K	0.49	101.98	N/A	N/A	23	11	46	18
2016-12-30	$751.60	$840.00	37.4%	10.7%	24.2%	14.1%	34.4%	-8.1%	3.1%	12.2K	521.2K	-2.8K	0.46	95.99	N/A	N/A	24	11	47	18