DUG Options History — January 2017

In January 2017, DUG traded between $731.00 and $800.20. ATM implied volatility averaged 33.4%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 9.2% (HV 20d: 24.2%). Max pain ranged from $700.00 to $820.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-01-20: Highest Volume — 38 contracts
  • 2017-01-24: Largest IV drop — 18.8% change
  • 2017-01-11: Highest IV Rank — 18.0%
  • 2017-01-09: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$760.40$731.00$800.20$731.20$800.20
Max Pain$734.00$700.00$820.00$820.00$740.00
ATM IV33.4%24.0%38.6%37.1%35.5%
Expected Move9.7%6.9%11.1%10.6%10.2%
HV 20d24.2%20.4%28.2%25.9%26.8%
HV 60d38.0%37.4%38.7%38.2%38.5%
IV Rank10.5%0.0%18.0%13.7%17.1%
IV Percentile8.5%0.0%25.4%14.3%14.3%
Term Structure3.6%0.2%9.5%0.7%0.2%
VWIV36.0%27.4%41.4%38.6%35.0%
Skew 25d-4.5%-10.3%0.4%-3.8%-0.1%
Skew 10d-8.7%-17.9%14.9%-14.6%-9.1%
Call IV 25d37.2%27.5%44.4%40.0%35.4%
Put IV 25d32.7%25.0%38.7%36.1%35.3%
Bid-Ask Spread %100.1383.63120.22100.09105.69
Gamma HHI0.300.120.620.140.54
Net GEX30.2K8.0K79.2K14.7K75.6K
Net DEX137.0K-980.1K624.7K560.8K-980.1K
Net VEX-2.6K-3.7K-2.0K-2.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.180.460.460.45
Total Volume31.114383515
Total OI57.4522726642

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$731.20$820.0037.1%10.6%25.9%13.7%38.6%-3.8%0.7%14.7K560.8K-2.7K0.46100.09N/AN/A24114818
2017-01-04$731.00$820.0034.7%9.9%25.4%10.3%36.1%-3.7%6.2%14.8K624.0K-2.6K0.45100.30N/AN/A24114818
2017-01-05$735.60$740.0037.9%10.9%25.5%14.8%41.0%-7.0%3.7%16.4K624.7K-2.7K0.4487.12N/AN/A26115118
2017-01-06$732.60$700.0033.5%10.6%25.5%8.7%39.8%-4.2%5.8%21.1K558.7K-2.6K0.4688.86N/AN/A25115318
2017-01-09$756.40$700.0035.5%11.1%27.3%11.4%41.4%-4.5%3.0%25.7K465.3K-2.7K0.4683.83N/AN/A25115318
2017-01-10$769.00$700.0035.0%10.9%27.6%10.7%40.9%-5.6%1.7%16.1K387.8K-2.6K0.4585.71N/AN/A25115318
2017-01-11$755.40$700.0038.6%11.1%28.2%18.0%40.7%-10.3%0.9%21.5K378.7K-2.6K0.4683.63N/AN/A24115318
2017-01-12$760.60$700.0038.0%10.9%25.2%16.9%39.6%-2.8%2.4%28.9K444.0K-2.4K0.44101.24N/AN/A24115318
2017-01-13$762.80$700.0036.1%10.4%20.5%14.0%38.7%-6.3%1.4%26.8K392.6K-2.5K0.4487.88N/AN/A25115318
2017-01-17$758.00$700.0034.8%10.0%20.7%11.9%37.7%-6.7%4.7%37.0K465.5K-2.2K0.4486.58N/AN/A25115318
2017-01-18$762.60$740.0033.5%9.6%20.4%10.0%36.8%-6.4%5.3%41.9K388.9K-2.3K0.44103.75N/AN/A25115418
2017-01-19$771.20$740.0036.2%10.4%20.6%14.2%35.2%-4.9%1.8%23.8K312.5K-2.1K0.43117.09N/AN/A25115418
2017-01-20$764.20$740.0031.1%8.9%21.0%6.2%34.4%-6.1%8.2%8.0K255.3K-2.0K0.4096.51N/AN/A27115418
2017-01-23$779.00$740.0032.0%9.2%21.6%7.7%33.6%-3.0%3.8%8.5K-125.4K-2.0K0.39101.20N/AN/A104175
2017-01-24$761.00$740.0026.0%7.5%23.3%0.0%32.1%-5.9%6.4%15.5K-211.2K-2.3K0.40111.78N/AN/A104215
2017-01-25$753.40$740.0024.0%6.9%23.7%0.0%27.4%0.4%9.5%13.5K-136.9K-2.1K0.19120.22N/AN/A224215
2017-01-26$753.60$740.0027.7%7.9%23.5%5.4%31.3%-7.0%2.6%47.4K-323.0K-2.9K0.18107.79N/AN/A244335
2017-01-27$771.00$740.0028.3%8.1%24.0%6.3%29.3%-2.7%2.2%67.1K-499.9K-3.0K0.18118.27N/AN/A254355
2017-01-30$799.20$740.0033.0%9.4%26.9%13.3%30.9%0.4%1.4%79.2K-842.2K-3.2K0.19115.02N/AN/A245365
2017-01-31$800.20$740.0035.5%10.2%26.8%17.1%35.0%-0.1%0.2%75.6K-980.1K-3.7K0.45105.69N/AN/A105375