DUG Options History — February 2017 In February 2017, DUG traded between $783.20 and $847.20. ATM implied volatility averaged 33.6%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.8% (HV 20d: 27.8%). Max pain ranged from $700.00 to $800.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.44.
Notable Days 2017-02-27 : Highest Volume — 40 contracts2017-02-02 : Largest IV drop — 12.0% change2017-02-28 : Highest IV Rank — 27.1%2017-02-28 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $810.78 $783.20 $847.20 $808.80 $837.00 Max Pain $721.05 $700.00 $800.00 $740.00 $800.00 ATM IV 33.6% 29.6% 37.3% 35.5% 37.3% Expected Move 9.8% 8.7% 10.7% 10.2% 10.7% HV 20d 27.8% 24.3% 31.4% 24.3% 29.3% HV 60d 36.5% 26.6% 38.5% 38.5% 26.6% IV Rank 17.1% 8.3% 27.1% 17.2% 27.1% IV Percentile 11.0% 2.0% 28.6% 14.7% 28.6% Term Structure 0.7% -2.5% 4.7% -1.7% 1.5% VWIV 33.2% 27.3% 37.3% 32.3% 33.8% Skew 25d -6.5% -44.0% 1.9% -44.0% -6.5% Skew 10d -8.2% -14.6% 8.1% -4.0% 4.0% Call IV 25d 39.5% 33.8% 80.1% 80.1% 38.7% Put IV 25d 32.9% 30.1% 36.0% 36.0% 32.2% Bid-Ask Spread % 95.52 81.08 117.84 117.84 106.97 Gamma HHI 0.36 0.13 0.57 0.55 0.16 Net GEX 123.8K 64.1K 255.7K 75.3K 74.0K Net DEX -1.7M -3.0M -810.7K -1.1M -2.3M Net VEX -4.2K -6.3K -3.3K -3.5K -6.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.30 0.89 0.43 0.89 Total Volume 24.579 16 40 16 36 Total OI 60.211 42 83 42 83
Daily Data (19 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 2017-02-01 $808.80 $740.00 35.5% 10.2% 24.3% 17.2% 32.3% -44.0% -1.7% 75.3K -1.1M -3.5K 0.43 117.84 N/A N/A 11 5 37 5 2017-02-02 $802.40 $800.00 31.3% 10.0% 24.7% 10.8% 35.8% -4.9% -1.6% 87.3K -1.1M -3.6K 0.39 85.43 N/A N/A 12 5 38 5 2017-02-03 $783.20 $800.00 29.6% 9.4% 26.7% 8.3% 33.3% -4.8% 3.5% 95.4K -810.7K -3.5K 0.37 97.06 N/A N/A 13 5 39 5 2017-02-06 $799.20 $760.00 31.1% 10.1% 27.2% 10.6% 34.3% -3.3% -1.5% 121.1K -945.9K -3.3K 0.31 90.49 N/A N/A 16 5 40 5 2017-02-07 $821.00 $700.00 34.3% 9.4% 26.6% 15.3% 32.5% -3.3% 4.7% 132.1K -1.6M -3.6K 0.36 89.38 N/A N/A 14 5 44 6 2017-02-08 $821.20 $700.00 36.1% 10.4% 26.2% 18.0% 36.6% -7.5% 2.3% 101.0K -1.9M -3.9K 0.40 81.08 N/A N/A 17 7 48 6 2017-02-09 $804.20 $700.00 34.3% 9.8% 26.5% 15.2% 34.6% -8.8% 1.9% 154.3K -1.7M -4.5K 0.35 86.97 N/A N/A 19 7 55 8 2017-02-10 $790.80 $700.00 34.0% 9.8% 27.4% 14.9% 33.6% -6.0% 1.6% 164.1K -1.3M -4.3K 0.45 85.74 N/A N/A 15 7 55 8 2017-02-13 $789.20 $700.00 33.3% 9.5% 27.4% 15.9% 34.4% -5.4% -1.6% 184.5K -1.3M -4.0K 0.44 87.22 N/A N/A 15 7 56 8 2017-02-14 $784.00 $700.00 32.3% 9.3% 27.5% 14.8% 32.6% -3.1% 1.8% 189.4K -1.3M -4.0K 0.32 89.57 N/A N/A 21 7 56 7 2017-02-15 $787.80 $700.00 30.2% 8.7% 27.4% 12.6% 30.8% -4.4% -0.4% 255.7K -1.5M -4.0K 0.46 99.65 N/A N/A 15 7 64 7 2017-02-16 $812.00 $700.00 31.8% 9.1% 29.1% 15.7% 29.9% -1.2% 3.5% 182.3K -2.2M -3.8K 0.55 94.13 N/A N/A 14 8 64 7 2017-02-17 $821.20 $700.00 34.2% 9.8% 28.9% 20.6% 33.3% -5.0% 1.4% 83.3K -3.0M -4.0K 0.47 93.20 N/A N/A 17 8 66 8 2017-02-21 $808.20 $700.00 33.2% 9.5% 29.1% 18.8% 29.8% -4.1% 0.0% 64.1K -1.2M -3.8K 0.48 92.75 N/A N/A 15 7 44 8 2017-02-22 $834.80 $700.00 34.3% 9.8% 29.4% 20.8% 32.2% -4.3% 1.2% 71.8K -1.6M -3.7K 0.38 102.72 N/A N/A 19 7 46 8 2017-02-23 $828.20 $700.00 35.4% 10.2% 29.3% 23.2% 35.6% 1.9% -2.5% 85.3K -1.9M -5.1K 0.30 109.45 N/A N/A 24 7 55 9 2017-02-24 $847.20 $700.00 34.5% 9.9% 29.9% 21.3% 27.3% -6.2% -0.3% 112.7K -2.5M -5.0K 0.31 99.07 N/A N/A 23 7 62 9 2017-02-27 $824.40 $700.00 35.9% 10.3% 31.4% 24.1% 37.3% -3.3% 0.1% 118.8K -2.3M -5.7K 0.73 106.19 N/A N/A 23 17 64 9 2017-02-28 $837.00 $800.00 37.3% 10.7% 29.3% 27.1% 33.8% -6.5% 1.5% 74.0K -2.3M -6.3K 0.89 106.97 N/A N/A 19 17 64 19
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