DUG Options History — November 2017

In November 2017, DUG traded between $795.40 and $874.20. ATM implied volatility averaged 30.4%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.0% (HV 20d: 25.4%). Max pain ranged from $860.00 to $900.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-11-30: Highest Volume — 56 contracts
  • 2017-11-06: Largest IV spike — 20.8% change
  • 2017-11-15: Highest IV Rank — 27.9%
  • 2017-11-15: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$839.66$795.40$874.20$836.00$820.60
Max Pain$889.52$860.00$900.00$900.00$860.00
ATM IV30.4%26.1%32.6%27.7%30.1%
Expected Move8.8%7.9%9.3%7.9%8.6%
HV 20d25.4%15.6%30.3%17.2%30.3%
HV 60d22.2%20.3%23.1%20.7%22.9%
IV Rank23.0%13.4%27.9%17.0%22.5%
IV Percentile29.6%9.9%44.4%16.3%25.8%
Term Structure-0.1%-1.9%1.2%0.7%-1.3%
VWIV33.0%29.6%37.8%29.6%29.9%
Skew 25d-5.1%-7.0%-3.4%-3.4%-4.8%
Skew 10d-9.2%-12.5%-6.6%-7.3%-7.7%
Call IV 25d34.1%29.5%37.1%29.5%33.1%
Put IV 25d29.1%26.1%31.6%26.1%28.3%
Bid-Ask Spread %57.2439.2185.8085.8081.41
Gamma HHI0.120.080.200.100.20
Net GEX-26.6K-52.8K-12.4K-27.6K-52.8K
Net DEX726.2K286.2K1.2M909.8K1.0M
Net VEX-6.5K-7.0K-5.7K-6.3K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.661.750.801.75
Total Volume39.33331563656
Total OI59.57152725472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$836.00$900.0027.7%7.9%17.2%17.0%29.6%-3.4%0.7%-27.6K909.8K-6.3K0.8085.80N/AN/A20162529
2017-11-02$843.00$900.0026.7%8.1%17.1%14.9%30.9%-5.3%0.4%-25.3K837.9K-6.4K0.8349.73N/AN/A21172529
2017-11-03$835.00$900.0026.1%8.3%15.6%13.4%31.1%-5.5%0.5%-30.6K934.4K-6.4K0.8346.67N/AN/A21172530
2017-11-06$795.40$900.0031.5%8.8%22.9%25.5%35.5%-5.5%0.4%-28.7K1.2M-5.7K0.7243.90N/AN/A22162530
2017-11-07$800.80$900.0030.2%8.9%23.2%22.6%35.2%-5.0%0.0%-23.6K1.1M-6.2K0.7045.20N/AN/A22162729
2017-11-08$808.00$900.0030.5%8.7%23.5%23.2%34.4%-4.7%0.9%-25.0K1.1M-6.3K0.7053.99N/AN/A22162730
2017-11-09$800.60$900.0031.4%9.0%23.3%25.4%36.4%-5.4%0.4%-25.0K1.1M-6.2K0.6855.55N/AN/A23162730
2017-11-10$809.60$900.0031.5%9.0%23.8%25.4%37.8%-5.9%1.2%-23.6K1.0M-6.3K0.6854.07N/AN/A23162830
2017-11-13$820.20$900.0031.5%9.0%24.4%25.5%35.7%-5.0%0.6%-26.2K994.1K-6.3K0.6657.40N/AN/A24162830
2017-11-14$848.80$900.0032.5%9.3%27.6%27.6%35.2%-6.0%0.1%-22.9K640.2K-6.7K0.7339.21N/AN/A21162930
2017-11-15$867.00$900.0032.6%9.3%28.1%27.9%35.5%-6.3%-0.3%-17.6K394.4K-6.8K0.7347.58N/AN/A21162930
2017-11-16$874.20$900.0032.3%9.3%28.1%27.3%33.7%-7.0%0.7%-14.8K326.5K-6.8K0.7653.84N/AN/A21162930
2017-11-17$863.60$900.0031.2%8.9%28.4%24.8%33.7%-5.8%0.8%-12.7K401.4K-6.5K0.7640.42N/AN/A21163130
2017-11-20$867.40$880.0031.2%8.9%28.1%24.8%32.1%-5.9%0.2%-12.4K286.2K-6.4K0.8168.22N/AN/A17142626
2017-11-21$863.80$880.0030.0%8.6%28.2%22.1%31.1%-4.5%-0.5%-14.0K317.4K-6.3K1.2462.49N/AN/A17212626
2017-11-22$854.40$880.0029.2%8.4%27.9%20.4%29.8%-3.8%-0.4%-37.8K581.3K-6.9K1.3067.96N/AN/A17222638
2017-11-24$850.80$880.0030.7%8.8%27.9%23.7%30.9%-4.2%-1.3%-41.5K646.4K-6.9K1.3243.34N/AN/A17222639
2017-11-27$869.20$880.0029.6%8.5%29.0%21.2%30.4%-3.9%-1.6%-33.8K424.3K-6.6K1.1165.46N/AN/A20222739
2017-11-28$856.00$860.0030.0%8.6%29.2%22.2%30.8%-4.6%-1.4%-29.2K443.7K-6.7K1.1473.86N/AN/A20233039
2017-11-29$848.40$860.0031.6%9.1%29.2%25.7%33.3%-3.9%-1.9%-34.0K569.3K-7.0K1.2665.99N/AN/A20263039
2017-11-30$820.60$860.0030.1%8.6%30.3%22.5%29.9%-4.8%-1.3%-52.8K1.0M-7.0K1.7581.41N/AN/A20363042