DUG Options History — June 2017

In June 2017, DUG traded between $915.00 and $1003.00. ATM implied volatility averaged 35.2%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.0% (HV 20d: 34.2%). Max pain ranged from $800.00 to $900.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-06-29: Highest Volume — 45 contracts
  • 2017-06-07: Largest IV spike — 21.8% change
  • 2017-06-12: Highest IV Rank — 45.2%
  • 2017-06-14: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$967.80$915.00$1003.00$959.00$965.80
Max Pain$836.36$800.00$900.00$900.00$880.00
ATM IV35.2%31.4%41.2%33.3%33.8%
Expected Move9.8%9.0%10.6%9.6%9.7%
HV 20d34.2%25.7%38.7%33.7%36.6%
HV 60d31.3%28.9%33.3%30.2%32.5%
IV Rank32.5%24.3%45.2%28.4%29.4%
IV Percentile35.7%11.1%70.6%19.8%25.0%
Term Structure1.3%-5.8%5.3%-1.0%-1.9%
VWIV30.8%26.4%36.8%34.5%29.5%
Skew 25d-6.4%-12.0%2.5%-5.2%-9.7%
Skew 10d-12.3%-20.1%-4.5%-10.4%-20.1%
Call IV 25d38.7%33.8%44.5%36.3%39.2%
Put IV 25d32.3%29.5%39.4%31.1%29.5%
Bid-Ask Spread %46.5929.94102.7563.6273.50
Gamma HHI0.110.070.220.110.09
Net GEX40.0K14.1K89.3K58.6K28.0K
Net DEX-1.3M-1.7M-812.0K-1.7M-1.1M
Net VEX-5.3K-7.1K-3.5K-4.1K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.491.620.571.28
Total Volume31.40922452244
Total OI53.72739714270

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$959.00$900.0033.3%9.6%33.7%28.4%34.5%-5.2%-1.0%58.6K-1.7M-4.1K0.5763.62N/AN/A1483210
2017-06-02$979.00$900.0034.9%10.0%30.1%31.7%35.2%-5.9%-1.1%49.2K-1.6M-3.5K0.4953.35N/AN/A1792910
2017-06-05$972.00$800.0035.2%9.4%26.8%32.4%30.5%-6.9%3.6%54.8K-1.6M-4.1K0.5433.62N/AN/A1583112
2017-06-06$952.20$800.0033.7%9.7%27.4%29.1%32.0%-5.4%1.9%53.8K-1.4M-4.2K0.8742.13N/AN/A14123112
2017-06-07$985.40$800.0041.0%9.4%29.1%44.9%29.0%-7.6%1.8%52.8K-1.5M-4.5K0.9352.31N/AN/A13123216
2017-06-08$988.20$800.0034.8%10.0%25.7%31.7%28.8%-7.1%2.2%56.4K-1.6M-4.9K0.9338.71N/AN/A13123216
2017-06-09$940.00$800.0035.5%10.1%32.3%33.1%28.6%2.5%5.3%52.2K-1.2M-4.8K0.9448.22N/AN/A14143315
2017-06-12$928.20$800.0041.2%9.9%32.6%45.2%29.6%-4.5%1.4%60.4K-919.1K-5.4K1.0442.50N/AN/A13143517
2017-06-13$915.00$800.0038.6%9.5%32.3%39.7%31.0%-7.1%0.0%47.6K-812.0K-4.9K1.0149.92N/AN/A14143517
2017-06-14$951.40$800.0036.9%10.6%34.9%36.1%31.4%-12.0%-5.8%65.1K-1.2M-5.1K1.01102.75N/AN/A14143517
2017-06-15$971.40$800.0036.0%10.3%35.0%34.1%29.0%-1.7%-0.7%89.3K-1.4M-4.8K0.9937.61N/AN/A14143517
2017-06-16$935.80$800.0032.8%9.4%37.8%27.2%29.3%-7.1%4.7%23.0K-940.6K-4.8K1.0045.08N/AN/A14143518
2017-06-19$948.60$800.0031.4%9.0%36.8%24.3%26.4%-6.1%3.5%27.6K-964.4K-4.6K1.4040.71N/AN/A13182816
2017-06-20$970.80$800.0035.8%10.3%37.5%33.6%30.6%-7.0%-0.6%22.1K-1.2M-5.2K1.2636.81N/AN/A14182821
2017-06-21$1002.80$800.0036.2%10.4%38.7%34.6%36.8%-10.0%3.1%27.3K-1.5M-5.5K1.6243.22N/AN/A14233122
2017-06-22$1003.00$860.0034.3%9.8%38.7%30.5%32.8%-7.9%4.5%14.1K-1.5M-5.9K1.1936.48N/AN/A16193227
2017-06-23$988.20$880.0034.8%10.0%37.7%31.5%31.9%-7.1%1.2%17.3K-1.5M-6.4K1.1929.94N/AN/A16203428
2017-06-26$986.20$880.0033.5%9.6%37.7%28.8%31.4%-6.7%2.0%17.7K-1.5M-6.4K1.1033.94N/AN/A18203629
2017-06-27$989.40$900.0034.3%9.8%37.4%30.6%28.3%-6.0%1.7%21.3K-1.5M-6.5K0.9942.80N/AN/A19193929
2017-06-28$982.20$900.0033.1%9.5%37.1%28.0%29.7%-5.9%0.8%20.0K-1.4M-6.6K1.0739.08N/AN/A20214029
2017-06-29$977.00$900.0033.9%9.7%37.1%29.6%30.7%-7.4%1.5%22.4K-1.3M-6.9K1.2338.73N/AN/A20254130
2017-06-30$965.80$880.0033.8%9.7%36.6%29.4%29.5%-9.7%-1.9%28.0K-1.1M-7.1K1.2873.50N/AN/A19254129