DUG Options History — October 2017

In October 2017, DUG traded between $839.60 and $884.60. ATM implied volatility averaged 25.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.1% (HV 20d: 16.5%). Max pain ranged from $900.00 to $900.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-10-20: Highest Volume — 73 contracts
  • 2017-10-11: Largest IV spike — 12.0% change
  • 2017-10-25: Highest IV Rank — 16.2%
  • 2017-10-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$858.76$839.60$884.60$845.60$857.20
Max Pain$900.00$900.00$900.00$900.00$900.00
ATM IV25.6%23.1%27.4%26.0%27.0%
Expected Move7.4%6.8%7.9%7.4%7.7%
HV 20d16.5%12.7%21.0%20.9%14.6%
HV 60d22.1%20.2%23.7%23.2%20.2%
IV Rank12.2%6.6%16.2%13.1%15.4%
IV Percentile6.7%0.8%13.5%4.0%13.1%
Term Structure2.5%0.9%3.6%2.0%1.5%
VWIV27.2%23.4%28.8%26.1%28.5%
Skew 25d-4.3%-5.4%-2.8%-3.9%-4.3%
Skew 10d-7.7%-10.8%5.4%-10.8%-7.4%
Call IV 25d29.0%26.2%30.9%28.8%29.9%
Put IV 25d24.7%23.4%25.8%24.9%25.6%
Bid-Ask Spread %65.4735.0087.4647.6671.54
Gamma HHI0.240.080.430.370.10
Net GEX41.4K-29.5K128.1K61.8K-23.9K
Net DEX1.3M503.5K1.9M1.6M722.1K
Net VEX-6.9K-8.6K-5.5K-8.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.781.171.150.80
Total Volume56.27335736636
Total OI113.0454714514054

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$845.60$900.0026.0%7.4%20.9%13.1%26.1%-3.9%2.0%61.8K1.6M-8.6K1.1547.66N/AN/A31358258
2017-10-03$844.00$900.0024.7%7.1%21.0%10.3%25.2%-3.6%2.5%60.2K1.6M-8.3K1.1436.12N/AN/A31358258
2017-10-04$848.00$900.0023.7%6.8%19.2%8.0%23.4%-2.8%2.7%78.8K1.6M-8.1K1.1357.39N/AN/A31358258
2017-10-05$839.60$900.0023.5%7.4%19.0%7.8%27.9%-4.4%3.6%44.0K1.7M-7.7K1.1361.99N/AN/A31358258
2017-10-06$857.20$900.0024.9%7.8%18.9%10.7%28.8%-4.4%3.5%117.6K1.3M-8.3K1.1258.12N/AN/A31358358
2017-10-09$852.40$900.0026.0%7.9%18.2%13.3%28.8%-4.7%3.3%108.1K1.5M-7.5K1.1242.45N/AN/A31358458
2017-10-10$849.80$900.0023.1%7.5%18.1%6.6%28.2%-4.2%3.3%91.7K1.7M-7.1K1.1735.00N/AN/A31378458
2017-10-11$845.40$900.0025.8%7.4%16.2%12.8%28.7%-4.0%3.6%65.5K1.8M-7.1K1.1771.56N/AN/A31378458
2017-10-12$853.00$900.0026.9%7.7%16.7%15.2%27.8%-4.2%3.4%96.3K1.7M-6.7K1.1387.46N/AN/A31358458
2017-10-13$852.80$900.0026.0%7.5%16.8%13.3%27.7%-5.1%3.1%54.6K1.9M-6.5K0.9766.45N/AN/A32318459
2017-10-16$849.60$900.0024.8%7.1%16.5%10.5%27.0%-3.9%2.9%59.2K1.9M-6.0K0.9771.38N/AN/A32318458
2017-10-17$848.80$900.0024.7%7.1%16.5%10.4%26.8%-3.7%3.0%41.6K1.9M-5.8K0.9572.29N/AN/A33318458
2017-10-18$862.20$900.0025.6%7.3%17.0%12.4%27.0%-4.4%2.2%128.1K1.7M-5.9K0.9570.43N/AN/A33318559
2017-10-19$868.60$900.0024.5%7.0%17.2%9.8%26.2%-4.5%2.9%86.8K1.7M-5.7K0.9775.86N/AN/A32318659
2017-10-20$866.00$900.0024.0%6.9%16.7%8.8%24.3%-3.4%2.7%-29.5K1.6M-5.5K0.7881.80N/AN/A41328658
2017-10-23$876.40$900.0026.1%7.5%12.7%13.4%26.2%-3.8%1.2%-26.3K617.9K-6.3K0.9569.95N/AN/A18172027
2017-10-24$873.40$900.0026.3%7.5%12.8%13.8%26.4%-5.3%1.2%-24.5K656.1K-6.5K0.9771.31N/AN/A18172227
2017-10-25$884.60$900.0027.4%7.8%13.0%16.2%27.9%-5.2%0.9%-23.2K560.6K-6.8K0.9370.29N/AN/A18172228
2017-10-26$879.60$900.0027.3%7.8%13.1%16.1%28.1%-4.8%1.4%-19.8K566.3K-6.8K0.8474.16N/AN/A20172328
2017-10-27$875.00$900.0027.2%7.8%13.4%16.0%27.6%-4.6%1.7%-16.8K503.5K-6.9K0.7975.73N/AN/A20162528
2017-10-30$863.60$900.0026.8%7.7%14.4%15.0%28.7%-5.4%1.7%-20.5K641.1K-6.8K0.8071.43N/AN/A20162529
2017-10-31$857.20$900.0027.0%7.7%14.6%15.4%28.5%-4.3%1.5%-23.9K722.1K-6.6K0.8071.54N/AN/A20162529