DUG Options History — March 2017

In March 2017, DUG traded between $797.40 and $892.20. ATM implied volatility averaged 34.7%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.9% (HV 20d: 35.6%). Max pain ranged from $760.00 to $800.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-03-10: Highest Volume — 44 contracts
  • 2017-03-30: Largest IV spike — 52.5% change
  • 2017-03-14: Highest IV Rank — 50.7%
  • 2017-03-16: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$854.43$797.40$892.20$797.40$842.00
Max Pain$784.35$760.00$800.00$800.00$800.00
ATM IV34.7%20.1%45.7%31.2%29.3%
Expected Move9.6%5.8%12.6%8.9%8.4%
HV 20d35.6%31.4%39.7%34.4%31.4%
HV 60d29.6%28.2%30.7%28.5%30.2%
IV Rank25.3%0.0%50.7%14.6%19.8%
IV Percentile20.8%0.0%66.7%4.0%2.4%
Term Structure4.0%-4.9%21.1%3.1%1.8%
VWIV34.8%26.7%44.7%35.6%26.7%
Skew 25d-4.6%-16.7%0.4%-2.3%-3.2%
Skew 10d-8.8%-20.5%8.2%-11.3%-6.6%
Call IV 25d38.5%30.0%69.9%37.5%30.0%
Put IV 25d33.9%26.8%67.9%35.2%26.8%
Bid-Ask Spread %97.3584.49119.96114.16103.30
Gamma HHI0.150.110.230.180.15
Net GEX73.0K24.1K122.7K74.5K27.3K
Net DEX-1.9M-3.1M-659.6K-1.6M-659.6K
Net VEX-4.4K-5.7K-3.3K-5.7K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.431.240.951.24
Total Volume32.26120443734
Total OI71.60950878267

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$797.40$800.0031.2%8.9%34.4%14.6%35.6%-2.3%3.1%74.5K-1.6M-5.7K0.95114.16N/AN/A19186319
2017-03-02$813.40$800.0034.9%10.0%35.0%22.2%35.0%-3.4%0.6%72.5K-1.5M-5.5K0.9798.17N/AN/A18186319
2017-03-03$819.40$800.0033.2%9.5%34.9%18.7%32.7%-1.7%3.5%79.4K-1.6M-5.4K0.44110.84N/AN/A1786319
2017-03-06$813.40$760.0034.0%9.7%33.8%20.4%36.5%-6.4%4.6%79.1K-1.8M-5.2K0.4384.49N/AN/A1786319
2017-03-07$830.00$760.0034.6%9.0%33.8%21.5%31.9%-2.9%8.6%79.5K-2.0M-4.5K0.8684.81N/AN/A20176319
2017-03-08$871.40$760.0034.5%11.6%36.7%21.3%37.0%-5.8%3.3%108.3K-3.1M-3.3K0.9295.35N/AN/A19186119
2017-03-09$862.80$760.0041.5%10.1%37.0%40.9%38.8%-4.7%5.7%89.1K-3.1M-4.4K0.8387.37N/AN/A22186420
2017-03-10$868.60$780.0042.3%9.7%35.9%42.8%33.0%-6.1%4.5%97.4K-3.0M-4.2K0.7589.95N/AN/A25196521
2017-03-13$865.20$780.0042.3%9.6%35.2%42.8%33.5%-5.7%4.0%104.7K-3.0M-4.3K0.8488.60N/AN/A23196621
2017-03-14$882.80$780.0045.7%10.0%35.6%50.7%33.9%-1.8%3.2%87.2K-3.1M-3.9K0.9089.45N/AN/A22206221
2017-03-15$844.40$780.0033.8%9.7%39.6%22.9%35.5%0.4%9.8%122.7K-2.5M-4.0K1.0799.23N/AN/A20216222
2017-03-16$855.80$780.0043.9%12.6%39.7%46.4%44.7%-2.0%-4.9%108.5K-2.5M-4.6K1.15113.91N/AN/A18216423
2017-03-17$855.40$780.0031.9%9.2%38.5%18.5%32.6%-5.0%6.3%53.0K-2.4M-4.2K1.2199.10N/AN/A18216423
2017-03-20$859.20$780.0031.6%9.0%38.4%17.6%32.4%-2.8%1.0%54.0K-1.1M-4.2K0.5590.20N/AN/A147419
2017-03-21$874.00$780.0032.9%9.4%38.1%20.9%32.4%-5.0%2.8%59.1K-1.2M-3.9K0.5595.43N/AN/A137429
2017-03-22$874.80$780.0035.3%10.1%36.6%26.4%38.2%-8.8%3.0%53.1K-1.3M-4.2K0.5993.93N/AN/A148429
2017-03-23$881.80$780.0033.9%9.7%36.5%23.2%35.3%-6.3%2.7%57.6K-1.3M-4.0K0.5590.25N/AN/A1584310
2017-03-24$889.60$800.0034.2%9.8%35.8%23.7%34.3%-0.1%2.0%63.8K-1.4M-4.2K0.5796.03N/AN/A1594410
2017-03-27$892.20$800.0035.3%10.1%34.0%26.3%37.8%-5.5%1.6%56.9K-1.6M-4.2K0.5891.77N/AN/A1594410
2017-03-28$872.00$800.0031.7%9.1%35.0%18.0%35.5%-8.1%3.3%65.3K-1.3M-4.3K0.5798.78N/AN/A1594510
2017-03-29$847.80$800.0020.1%5.8%31.7%0.0%38.8%-16.7%21.1%61.8K-1.2M-4.3K1.21119.96N/AN/A15184611
2017-03-30$838.40$800.0030.6%8.8%31.5%22.6%27.9%-2.9%0.4%24.1K-683.9K-4.6K1.24103.87N/AN/A15184621
2017-03-31$842.00$800.0029.3%8.4%31.4%19.8%26.7%-3.2%1.8%27.3K-659.6K-4.5K1.24103.30N/AN/A15194621