DUG Options History — August 2017

In August 2017, DUG traded between $923.40 and $1061.80. ATM implied volatility averaged 32.1%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.6% (HV 20d: 23.4%). Max pain ranged from $900.00 to $1000.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.20.

Notable Days

  • 2017-08-18: Highest Volume — 65 contracts
  • 2017-08-04: Largest IV drop — 9.4% change
  • 2017-08-11: Highest IV Rank — 34.7%
  • 2017-08-11: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1006.54$923.40$1061.80$923.40$1026.80
Max Pain$950.43$900.00$1000.00$920.00$1000.00
ATM IV32.1%28.8%36.3%29.8%28.8%
Expected Move9.2%8.3%10.4%8.6%8.3%
HV 20d23.4%20.6%28.2%28.2%20.6%
HV 60d30.6%29.2%31.5%31.4%29.2%
IV Rank25.7%18.8%34.7%21.0%18.8%
IV Percentile22.1%3.6%58.3%6.3%3.6%
Term Structure1.6%-1.5%3.1%0.2%3.0%
VWIV30.8%26.6%36.9%29.1%27.3%
Skew 25d-6.5%-8.6%-4.4%-5.8%-4.4%
Skew 10d-11.6%-15.9%-7.2%-10.6%-8.4%
Call IV 25d36.2%32.0%41.8%33.4%32.0%
Put IV 25d29.7%26.5%33.2%27.6%27.5%
Bid-Ask Spread %39.8527.3579.9236.4068.81
Gamma HHI0.170.120.300.140.14
Net GEX32.8K-44.8K160.6K22.3K-35.9K
Net DEX-568.8K-2.1M282.9K77.0K-100.9K
Net VEX-7.6K-11.5K-5.1K-5.1K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.451.801.451.36
Total Volume45.1324652464
Total OI73.60955955594

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$923.40$920.0029.8%8.6%28.2%21.0%29.1%-5.8%0.2%22.3K77.0K-5.1K1.4536.40N/AN/A10143124
2017-08-02$931.00$920.0031.1%8.9%23.8%23.7%29.2%-5.0%-0.7%27.9K20.3K-5.1K1.4657.14N/AN/A10143124
2017-08-03$954.80$900.0032.0%9.0%23.7%25.7%30.1%-7.0%1.3%44.2K-223.0K-5.1K1.2543.91N/AN/A11143124
2017-08-04$944.80$900.0029.0%8.8%23.9%19.2%29.5%-6.3%1.8%44.3K-145.5K-5.3K1.3032.41N/AN/A11143224
2017-08-07$963.80$900.0030.7%9.1%25.1%22.7%30.6%-6.1%2.4%62.1K-360.2K-5.1K1.2531.44N/AN/A11143324
2017-08-08$966.60$900.0032.6%9.3%25.0%26.9%34.1%-7.4%1.3%67.3K-412.9K-5.1K1.2235.76N/AN/A11143324
2017-08-09$966.80$900.0033.5%9.6%24.9%28.7%34.9%-7.2%1.4%70.0K-437.7K-5.2K1.1832.55N/AN/A12143424
2017-08-10$988.60$900.0036.2%10.4%26.0%34.6%36.9%-8.6%2.2%79.3K-747.7K-5.5K0.5433.99N/AN/A27143525
2017-08-11$996.80$900.0036.3%10.4%25.2%34.7%36.1%-8.3%1.6%115.4K-1.1M-7.1K0.5427.35N/AN/A27144925
2017-08-14$1006.60$900.0034.3%9.8%25.3%30.5%33.5%-7.4%2.8%160.6K-1.2M-6.7K0.5541.04N/AN/A26154925
2017-08-15$1013.00$900.0034.0%9.7%25.2%29.8%35.5%-7.8%2.4%159.4K-1.5M-6.5K0.4542.50N/AN/A32155025
2017-08-16$1035.60$960.0033.6%9.6%22.9%28.9%32.2%-6.9%-1.5%109.1K-1.9M-6.1K0.5079.92N/AN/A28145125
2017-08-17$1061.80$960.0034.5%9.9%23.9%30.9%31.5%-7.6%0.8%74.7K-2.1M-6.4K1.1853.72N/AN/A29345025
2017-08-18$1045.80$1000.0033.1%9.5%24.0%28.0%31.2%-7.5%1.5%-23.7K-1.3M-9.0K1.1143.34N/AN/A31345045
2017-08-21$1060.60$1000.0032.7%9.4%24.3%27.1%29.5%-6.6%2.5%-15.4K-484.4K-8.4K1.5429.16N/AN/A22343145
2017-08-22$1046.00$1000.0031.6%9.0%20.8%24.6%29.5%-5.9%1.9%-22.7K-304.3K-9.0K1.4828.78N/AN/A20303346
2017-08-23$1036.60$1000.0031.4%9.0%21.4%24.4%29.2%-5.1%1.8%-26.7K-120.1K-9.0K1.4844.15N/AN/A20303447
2017-08-24$1035.80$1000.0031.6%9.1%20.8%24.7%28.6%-4.9%0.7%-30.8K-107.7K-8.8K1.8030.01N/AN/A20373447
2017-08-25$1026.20$1000.0029.0%8.3%21.3%19.1%26.6%-6.2%2.4%-44.8K282.9K-10.6K1.6833.47N/AN/A22373453
2017-08-28$1039.40$1000.0030.7%8.8%20.8%22.7%28.1%-5.7%1.9%-28.8K-125.1K-10.6K1.4934.10N/AN/A25373653
2017-08-29$1039.00$1000.0030.7%8.8%20.9%22.8%27.7%-5.6%3.1%-26.4K-282.2K-11.4K1.4527.62N/AN/A25373953
2017-08-30$1040.60$1000.0030.5%8.7%20.9%22.3%27.3%-5.2%1.9%-26.1K-318.6K-11.5K1.3728.94N/AN/A27373953
2017-08-31$1026.80$1000.0028.8%8.3%20.6%18.8%27.3%-4.4%3.0%-35.9K-100.9K-11.3K1.3668.81N/AN/A27374153