DUG Options History — December 2017

In December 2017, DUG traded between $732.20 and $839.60. ATM implied volatility averaged 28.2%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.6% (HV 20d: 26.6%). Max pain ranged from $820.00 to $860.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2017-12-11: Highest Volume — 66 contracts
  • 2017-12-13: Largest IV drop — 21.4% change
  • 2017-12-26: Highest IV Rank — 33.8%
  • 2017-12-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$791.27$732.20$839.60$807.00$738.80
Max Pain$840.00$820.00$860.00$860.00$820.00
ATM IV28.2%24.8%32.9%30.3%28.2%
Expected Move7.9%7.1%8.7%8.7%8.1%
HV 20d26.6%23.0%30.6%30.6%26.0%
HV 60d23.4%22.3%24.9%23.1%24.9%
IV Rank23.8%14.2%33.8%22.8%30.0%
IV Percentile21.6%5.6%53.6%27.4%23.0%
Term Structure2.2%-1.1%3.0%-1.1%2.6%
VWIV27.3%25.0%31.8%31.8%28.4%
Skew 25d-3.2%-4.8%-0.5%-3.7%-3.7%
Skew 10d-5.3%-9.1%0.1%-8.7%-2.8%
Call IV 25d29.8%27.5%33.6%33.6%30.8%
Put IV 25d26.6%24.1%29.9%29.9%27.2%
Bid-Ask Spread %42.2816.2570.4167.8546.53
Gamma HHI0.260.180.360.360.29
Net GEX-94.8K-119.1K-50.4K-87.1K-116.1K
Net DEX1.5M771.7K2.5M1.3M2.4M
Net VEX-6.3K-7.3K-5.4K-7.3K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.001.562.511.831.72
Total Volume57.9552665457
Total OI87.7580988290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$807.00$860.0030.3%8.7%30.6%22.8%31.8%-3.7%-1.1%-87.1K1.3M-7.3K1.8367.85N/AN/A19353052
2017-12-04$807.60$840.0032.3%8.5%30.4%27.2%29.6%-4.5%2.2%-87.5K1.3M-7.1K1.9529.50N/AN/A19383152
2017-12-05$817.00$840.0031.3%8.4%25.2%25.1%28.6%-4.2%2.7%-83.6K1.1M-7.2K1.9528.36N/AN/A19383154
2017-12-06$839.60$840.0031.8%8.4%26.8%26.2%28.5%-4.8%2.2%-57.2K771.7K-7.1K2.0736.90N/AN/A18383154
2017-12-07$831.60$840.0028.0%8.0%27.0%17.8%26.7%-4.0%2.7%-50.4K835.0K-6.8K2.0542.66N/AN/A18383254
2017-12-08$817.80$840.0026.4%7.8%27.5%14.2%27.1%-4.0%2.8%-66.6K1.0M-6.7K2.0269.02N/AN/A19383254
2017-12-11$804.20$840.0029.4%7.5%27.9%20.8%25.9%-3.7%3.0%-86.8K1.3M-6.3K2.5116.25N/AN/A19473354
2017-12-12$810.60$840.0032.9%7.8%27.7%28.5%26.7%-4.3%2.0%-110.7K1.3M-6.8K2.5031.79N/AN/A19473364
2017-12-13$811.80$840.0025.8%7.4%24.4%21.2%25.3%-4.0%3.0%-98.4K1.2M-6.6K2.5070.41N/AN/A19473364
2017-12-14$818.00$840.0025.6%7.3%23.1%20.1%25.0%-3.1%2.5%-93.8K1.1M-6.4K2.4538.06N/AN/A19473365
2017-12-15$823.40$840.0024.8%7.1%23.0%17.5%25.0%-4.1%3.0%-81.4K999.5K-6.1K2.4447.23N/AN/A19473364
2017-12-18$807.00$840.0025.7%7.4%23.6%20.7%25.1%-3.1%2.1%-94.4K1.2M-6.0K2.0132.27N/AN/A18352951
2017-12-19$807.20$840.0025.3%7.2%23.5%19.1%25.9%-2.4%2.5%-93.7K1.2M-6.0K1.8322.59N/AN/A19342951
2017-12-20$782.20$840.0025.7%7.4%25.5%20.8%26.0%-2.9%2.6%-115.9K1.7M-6.3K1.9129.99N/AN/A18343053
2017-12-21$749.60$840.0026.8%7.7%28.7%24.8%26.8%-0.5%2.0%-119.1K2.3M-5.8K1.5640.80N/AN/A21333054
2017-12-22$746.00$840.0027.6%7.9%28.7%27.5%27.7%-1.0%2.2%-114.2K2.3M-6.2K1.6754.13N/AN/A21343454
2017-12-26$732.20$840.0029.3%8.4%27.0%33.8%29.5%-0.9%0.6%-107.4K2.5M-5.4K1.6755.55N/AN/A21343454
2017-12-27$738.00$840.0028.0%8.0%27.5%29.2%28.5%-1.9%2.0%-116.8K2.4M-5.5K1.6944.58N/AN/A21353454
2017-12-28$735.80$840.0027.9%8.0%27.6%28.8%28.2%-2.7%2.3%-115.6K2.5M-5.6K1.7241.16N/AN/A21363556
2017-12-29$738.80$820.0028.2%8.1%26.0%30.0%28.4%-3.7%2.6%-116.1K2.4M-5.5K1.7246.53N/AN/A21363555