DUG Options History — July 2017

In July 2017, DUG traded between $914.60 and $995.40. ATM implied volatility averaged 32.8%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 0.2% (HV 20d: 33.0%). Max pain ranged from $840.00 to $940.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.83.

Notable Days

2017-07-18: Highest Volume — 48 contracts
2017-07-12: Largest IV drop — 14.2% change
2017-07-05: Highest IV Rank — 38.1%
2017-07-06: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$954.44	$914.60	$995.40	$930.60	$914.60
Max Pain	$918.00	$840.00	$940.00	$880.00	$920.00
ATM IV	32.8%	29.4%	37.8%	33.8%	29.4%
Expected Move	9.4%	8.4%	11.1%	9.7%	8.4%
HV 20d	33.0%	27.2%	41.0%	38.8%	30.8%
HV 60d	33.5%	32.2%	34.3%	33.4%	32.2%
IV Rank	27.2%	20.0%	38.1%	29.4%	20.0%
IV Percentile	22.9%	4.0%	59.9%	24.6%	4.0%
Term Structure	2.1%	-3.1%	7.2%	5.3%	1.4%
VWIV	36.0%	29.3%	49.2%	37.7%	29.3%
Skew 25d	-6.3%	-20.0%	3.4%	-4.7%	-4.4%
Skew 10d	-10.4%	-23.7%	7.0%	-7.7%	-11.4%
Call IV 25d	37.6%	31.6%	55.6%	37.1%	32.1%
Put IV 25d	31.3%	27.7%	42.2%	32.4%	27.7%
Bid-Ask Spread %	64.54	40.10	112.15	87.85	46.13
Gamma HHI	0.15	0.07	0.24	0.10	0.13
Net GEX	40.8K	-3.2K	88.3K	24.9K	19.7K
Net DEX	-802.6K	-1.9M	143.7K	-778.4K	134.9K
Net VEX	-6.0K	-7.2K	-5.1K	-6.4K	-5.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.55	1.46	1.22	1.46
Total Volume	37.55	24	48	36	24
Total OI	68	49	79	71	55

Daily Data (20 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
2017-07-03	$930.60	$880.00	33.8%	9.7%	38.8%	29.4%	37.7%	-4.7%	5.3%	24.9K	-778.4K	-6.4K	1.22	87.85	N/A	N/A	16	20	42	29
2017-07-05	$970.00	$840.00	37.8%	10.8%	41.0%	38.1%	40.5%	-20.0%	7.2%	33.1K	-1.4M	-6.6K	1.16	111.07	N/A	N/A	17	20	41	28
2017-07-06	$995.40	$920.00	35.4%	11.1%	40.2%	32.8%	49.2%	-11.1%	0.7%	47.7K	-1.7M	-6.2K	0.95	74.63	N/A	N/A	15	15	42	28
2017-07-07	$993.80	$920.00	35.0%	10.7%	40.2%	31.9%	43.1%	-7.3%	2.3%	38.6K	-1.9M	-6.3K	1.21	48.51	N/A	N/A	13	15	42	28
2017-07-10	$987.20	$920.00	35.9%	10.3%	35.7%	33.9%	38.4%	-7.9%	1.3%	33.3K	-1.7M	-5.9K	0.55	47.55	N/A	N/A	28	15	43	29
2017-07-11	$977.80	$920.00	37.0%	10.1%	35.6%	36.3%	38.5%	-7.9%	2.0%	58.5K	-1.7M	-6.8K	0.60	40.10	N/A	N/A	28	17	50	29
2017-07-12	$972.60	$920.00	31.8%	9.1%	35.2%	25.1%	36.4%	-10.3%	4.4%	63.5K	-1.3M	-7.2K	0.59	74.99	N/A	N/A	29	17	48	31
2017-07-13	$965.40	$920.00	32.8%	9.4%	32.6%	27.3%	35.6%	-6.5%	-0.5%	59.8K	-1.2M	-6.9K	0.58	64.94	N/A	N/A	29	17	46	31
2017-07-14	$949.40	$920.00	30.4%	8.7%	32.3%	22.1%	34.8%	-5.3%	3.6%	52.5K	-800.7K	-6.7K	0.58	61.28	N/A	N/A	29	17	46	31
2017-07-17	$953.80	$920.00	32.3%	9.3%	29.3%	26.3%	35.6%	-5.9%	3.5%	53.2K	-840.9K	-6.1K	0.58	45.45	N/A	N/A	29	17	46	30
2017-07-18	$964.00	$920.00	31.5%	9.0%	29.2%	24.4%	33.8%	-7.4%	3.0%	60.6K	-1.0M	-6.0K	0.55	53.68	N/A	N/A	31	17	46	30
2017-07-19	$935.00	$920.00	31.6%	9.1%	30.0%	24.7%	32.7%	-2.1%	1.2%	53.1K	-425.2K	-5.8K	0.59	79.05	N/A	N/A	29	17	46	31
2017-07-20	$938.60	$920.00	30.8%	8.8%	27.2%	23.0%	33.8%	-4.8%	3.2%	-3.2K	-327.4K	-5.4K	0.64	63.64	N/A	N/A	27	17	46	31
2017-07-21	$962.20	$920.00	30.8%	8.8%	29.0%	22.9%	32.4%	-6.8%	5.2%	88.3K	-1.0M	-5.7K	0.71	46.27	N/A	N/A	25	17	46	30
2017-07-24	$965.60	$920.00	31.0%	8.9%	28.6%	23.4%	32.7%	-5.1%	-0.1%	43.1K	-305.9K	-5.2K	0.67	51.16	N/A	N/A	17	11	28	21
2017-07-25	$933.40	$940.00	31.4%	9.0%	30.9%	24.4%	34.2%	-5.1%	2.7%	27.5K	-46.9K	-5.1K	0.84	51.73	N/A	N/A	17	14	29	22
2017-07-26	$932.60	$940.00	34.2%	9.8%	30.8%	30.3%	35.9%	3.4%	-3.1%	24.6K	75.9K	-6.0K	0.83	112.15	N/A	N/A	17	14	29	24
2017-07-27	$923.80	$940.00	31.9%	9.2%	30.9%	25.4%	34.3%	-4.6%	-1.8%	19.6K	97.4K	-5.4K	0.84	55.62	N/A	N/A	16	14	29	24
2017-07-28	$923.00	$940.00	30.9%	8.8%	30.9%	23.1%	31.9%	-2.7%	1.1%	17.5K	143.7K	-5.3K	1.46	75.03	N/A	N/A	10	14	29	24
2017-07-31	$914.60	$920.00	29.4%	8.4%	30.8%	20.0%	29.3%	-4.4%	1.4%	19.7K	134.9K	-5.2K	1.46	46.13	N/A	N/A	10	14	31	24