DUG Options History — May 2017

In May 2017, DUG traded between $887.00 and $965.80. ATM implied volatility averaged 34.4%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.5% (HV 20d: 32.9%). Max pain ranged from $880.00 to $900.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2017-05-01: Highest Volume — 21 contracts
  • 2017-05-03: Largest IV spike — 59.9% change
  • 2017-05-03: Highest IV Rank — 58.3%
  • 2017-05-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$912.16$887.00$965.80$904.40$965.80
Max Pain$897.27$880.00$900.00$880.00$900.00
ATM IV34.4%29.5%47.3%29.6%33.9%
Expected Move9.9%8.5%13.5%8.5%9.7%
HV 20d32.9%26.9%36.4%26.9%33.8%
HV 60d31.6%30.2%32.9%30.8%30.4%
IV Rank30.6%20.1%58.3%20.4%29.6%
IV Percentile27.1%4.0%82.1%4.4%23.8%
Term Structure0.3%-3.2%5.9%2.1%-0.2%
VWIV34.4%28.8%38.1%29.9%35.5%
Skew 25d-7.1%-35.5%-3.5%-4.9%-4.4%
Skew 10d-13.9%-74.0%-6.5%-9.4%-10.8%
Call IV 25d39.3%31.7%67.2%33.8%37.7%
Put IV 25d32.3%27.9%35.3%28.8%33.3%
Bid-Ask Spread %61.2930.57127.16101.6436.08
Gamma HHI0.170.110.260.200.11
Net GEX64.4K38.4K103.0K46.9K44.5K
Net DEX-1.4M-1.8M-996.2K-1.2M-1.7M
Net VEX-4.0K-4.5K-2.8K-3.8K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.400.910.400.67
Total Volume17.18212212120
Total OI39.86431453439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$904.40$880.0029.6%8.5%26.9%20.4%29.9%-4.9%2.1%46.9K-1.2M-3.8K0.40101.64N/AN/A156259
2017-05-02$916.20$880.0029.6%8.5%27.1%20.3%28.8%-3.8%3.1%62.0K-1.5M-3.7K0.44102.90N/AN/A146289
2017-05-03$906.40$880.0047.3%13.5%27.2%58.3%36.5%-35.5%1.0%50.1K-1.5M-3.8K0.47127.16N/AN/A136289
2017-05-04$950.60$900.0037.8%10.2%31.3%38.0%32.3%-6.3%-0.7%51.4K-1.8M-3.6K0.4573.90N/AN/A136299
2017-05-05$916.60$900.0030.5%9.2%34.1%22.3%32.6%-7.1%5.9%65.2K-1.8M-4.5K0.4671.55N/AN/A136349
2017-05-08$903.00$900.0029.5%9.4%34.8%20.1%33.7%-5.5%0.5%75.1K-1.5M-4.4K0.5057.41N/AN/A126349
2017-05-09$919.40$900.0031.6%10.2%33.7%24.6%34.7%-6.3%1.1%78.1K-1.6M-4.2K0.5058.44N/AN/A126349
2017-05-10$889.00$900.0034.8%10.0%36.4%31.7%36.0%-3.5%-3.2%82.4K-1.4M-4.5K0.4973.28N/AN/A126359
2017-05-11$893.60$900.0035.8%10.3%36.4%33.6%35.8%-6.3%-0.9%89.3K-1.3M-4.4K0.5252.52N/AN/A126359
2017-05-12$903.40$900.0035.0%10.0%34.3%32.0%35.4%-5.9%0.9%89.5K-1.5M-4.2K0.5443.17N/AN/A116359
2017-05-15$887.00$900.0034.2%9.8%35.0%30.2%35.6%-5.4%0.1%93.8K-1.2M-4.1K0.5844.89N/AN/A116369
2017-05-16$892.60$900.0034.7%9.9%34.9%31.3%35.2%-7.3%0.5%103.0K-1.4M-4.2K0.5740.12N/AN/A116369
2017-05-17$910.20$900.0038.3%11.0%32.9%39.0%38.1%-7.8%-2.2%97.9K-1.6M-4.1K0.5569.20N/AN/A126369
2017-05-18$912.60$900.0037.4%10.7%32.2%37.1%37.7%-7.6%-0.6%102.3K-1.8M-3.9K0.6840.76N/AN/A96369
2017-05-19$890.60$900.0035.4%10.2%33.3%33.0%36.0%-4.3%0.8%38.4K-1.1M-4.0K0.5744.64N/AN/A116359
2017-05-22$892.60$900.0033.2%9.5%33.0%28.2%34.5%-7.0%-0.1%38.8K-996.2K-3.6K0.6750.23N/AN/A75256
2017-05-23$892.40$900.0033.8%9.7%32.4%29.5%34.6%-5.6%1.0%40.4K-1.0M-3.8K0.7173.95N/AN/A75267
2017-05-24$902.00$900.0035.2%10.1%32.6%32.3%36.5%-7.4%-0.9%40.5K-1.1M-3.8K0.7158.73N/AN/A75267
2017-05-25$934.20$900.0033.5%9.6%33.4%28.8%33.1%-4.1%-0.3%39.3K-1.4M-2.8K0.9157.24N/AN/A98267
2017-05-26$934.80$900.0031.3%9.0%33.3%24.1%31.9%-4.9%0.7%42.7K-1.3M-4.3K0.8840.03N/AN/A982810
2017-05-30$950.20$900.0034.0%9.7%33.7%29.8%33.4%-4.9%-1.6%45.0K-1.5M-4.0K0.9030.57N/AN/A982910
2017-05-31$965.80$900.0033.9%9.7%33.8%29.6%35.5%-4.4%-0.2%44.5K-1.7M-4.0K0.6736.08N/AN/A1282910