DUG Options History — September 2017

In September 2017, DUG traded between $843.20 and $1005.80. ATM implied volatility averaged 27.0%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.5% (HV 20d: 22.5%). Max pain ranged from $900.00 to $1020.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-09-15: Highest Volume — 115 contracts
  • 2017-09-20: Largest IV drop — 20.2% change
  • 2017-09-12: Highest IV Rank — 28.6%
  • 2017-09-05: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$914.00$843.20$1005.80$1005.80$845.60
Max Pain$959.00$900.00$1020.00$1000.00$900.00
ATM IV27.0%20.2%33.4%27.0%23.1%
Expected Move7.8%5.8%9.2%7.7%6.6%
HV 20d22.5%20.2%26.5%21.8%21.0%
HV 60d26.5%23.2%29.5%29.5%23.2%
IV Rank15.2%0.3%28.6%14.8%6.7%
IV Percentile6.0%0.4%33.7%1.6%0.8%
Term Structure2.5%1.1%5.4%3.5%3.7%
VWIV29.5%23.0%38.0%25.3%23.0%
Skew 25d-4.7%-7.9%10.4%-4.9%-3.4%
Skew 10d-11.3%-16.1%-5.0%-13.8%-5.0%
Call IV 25d31.1%25.9%37.0%29.9%25.9%
Put IV 25d26.4%22.5%40.4%25.0%22.5%
Bid-Ask Spread %50.8529.49104.3641.8857.87
Gamma HHI0.300.080.610.180.37
Net GEX48.8K-63.6K211.8K-54.7K64.3K
Net DEX693.4K-1.1M1.6M360.1K1.6M
Net VEX-9.9K-12.7K-7.8K-11.0K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.391.531.381.16
Total Volume72.6551156466
Total OI111.28714094140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$1005.80$1000.0027.0%7.7%21.8%14.8%25.3%-4.9%3.5%-54.7K360.1K-11.0K1.3841.88N/AN/A27374153
2017-09-05$995.40$1020.0031.7%9.2%21.4%24.9%35.1%-6.8%1.5%-58.0K535.4K-10.8K1.3260.25N/AN/A28374253
2017-09-06$962.20$1020.0029.0%8.7%24.8%19.1%34.3%-6.8%1.5%-55.8K1.1M-10.1K1.3137.43N/AN/A28374353
2017-09-07$962.60$1020.0028.1%8.7%24.8%17.2%38.0%-7.9%2.0%-63.6K1.2M-9.9K1.5164.61N/AN/A28424453
2017-09-08$983.60$1020.0030.7%9.2%24.7%22.8%35.4%-7.5%1.3%17.8K118.5K-9.9K1.3838.58N/AN/A30414443
2017-09-11$963.60$1020.0030.8%8.7%25.5%23.1%34.4%-7.2%2.2%10.6K402.0K-9.5K1.3839.52N/AN/A30414643
2017-09-12$952.20$1020.0033.4%8.6%25.4%28.6%33.3%-6.5%1.5%10.3K570.1K-8.9K1.4229.49N/AN/A30434643
2017-09-13$926.60$1020.0028.7%8.2%26.5%19.2%33.6%-5.0%1.1%3.2K1.0M-8.4K1.4964.53N/AN/A29434644
2017-09-14$917.80$1020.0028.2%8.1%24.6%18.1%30.9%-5.9%2.6%14.2K1.2M-8.0K1.5335.78N/AN/A28434644
2017-09-15$915.00$1020.0027.1%7.8%21.8%15.6%26.1%-5.5%2.3%-24.8K1.3M-7.8K0.4948.52N/AN/A77384644
2017-09-18$904.60$900.0025.5%7.3%21.7%12.1%25.2%-4.7%3.9%204.8K-1.1M-12.7K0.4442.21N/AN/A74328844
2017-09-19$899.40$900.0025.3%7.3%20.2%11.7%25.1%-4.8%2.4%211.8K-754.5K-12.2K0.3943.24N/AN/A75308844
2017-09-20$885.00$900.0020.2%5.8%20.3%0.3%27.7%10.4%5.4%122.3K155.7K-11.2K1.20104.36N/AN/A25307446
2017-09-21$888.20$900.0023.7%6.8%20.7%8.1%26.6%-4.4%2.8%142.6K300.0K-10.8K1.0048.06N/AN/A30307447
2017-09-22$877.80$900.0024.4%7.0%20.6%9.7%27.4%-4.7%3.2%134.7K568.7K-10.5K1.0150.43N/AN/A30307947
2017-09-25$850.60$900.0026.7%7.7%22.2%14.8%27.4%-4.9%1.9%91.5K1.2M-9.2K1.1253.70N/AN/A31357947
2017-09-26$853.60$900.0026.6%7.6%21.2%14.5%28.0%-4.6%1.4%86.0K1.1M-9.7K1.1750.54N/AN/A30358152
2017-09-27$847.20$900.0025.5%7.3%20.9%12.2%27.0%-4.4%2.3%59.9K1.4M-9.5K1.1263.05N/AN/A31358157
2017-09-28$843.20$900.0025.1%7.2%20.5%11.1%26.6%-3.6%2.6%58.1K1.5M-9.1K1.1642.88N/AN/A31358257
2017-09-29$845.60$900.0023.1%6.6%21.0%6.7%23.0%-3.4%3.7%64.3K1.6M-9.0K1.1657.87N/AN/A31358258