DJD Options History — December 2021

In December 2021, DJD traded between $42.64 and $45.63. ATM implied volatility averaged 34.8%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 20.6% (HV 20d: 14.2%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2021-12-15: Largest IV drop — 67.2% change
  • 2021-12-03: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.41$42.64$45.63$42.64$45.50
ATM IV34.8%22.5%68.5%35.6%28.2%
Expected Move7.8%6.4%13.3%10.2%8.1%
HV 20d14.2%11.7%16.2%11.7%12.9%
HV 60d13.1%12.3%14.0%13.5%12.5%
Term Structure-5.6%-13.5%-3.1%-12.0%-5.9%
Skew 25d3.0%1.9%7.5%3.9%3.0%
Skew 10d3.7%-0.3%8.7%6.6%6.7%
Call IV 25d29.8%24.4%43.8%39.5%31.9%
Put IV 25d32.8%26.8%51.4%43.4%35.0%
Bid-Ask Spread %146.47135.86155.02145.21147.35
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$42.64$0.0035.6%10.2%11.7%0.0%0.0%3.9%-12.0%0000.00145.21N/AN/A0000
2021-12-02$42.98$0.0036.0%10.3%11.9%0.0%0.0%5.0%-12.0%0000.00145.38N/AN/A0000
2021-12-03$42.93$0.0046.5%13.3%11.8%0.0%0.0%7.5%-13.5%0000.00135.86N/AN/A0000
2021-12-06$43.85$0.0039.4%6.8%14.1%0.0%0.0%3.3%-4.2%0000.00145.74N/AN/A0000
2021-12-07$44.15$0.0039.5%6.6%14.4%0.0%0.0%2.4%-3.8%0000.00146.50N/AN/A0000
2021-12-08$44.26$0.0040.6%6.4%14.3%0.0%0.0%2.3%-3.7%0000.00146.75N/AN/A0000
2021-12-09$44.27$0.0043.1%6.5%14.3%0.0%0.0%2.4%-4.2%0000.00146.62N/AN/A0000
2021-12-10$44.42$0.0044.4%6.5%14.4%0.0%0.0%2.3%-4.5%0000.00147.95N/AN/A0000
2021-12-13$44.36$0.0057.4%6.7%14.4%0.0%0.0%2.3%-4.3%0000.00146.52N/AN/A0000
2021-12-14$44.41$0.0068.5%7.0%14.4%0.0%0.0%2.4%-5.3%0000.00146.76N/AN/A0000
2021-12-15$44.63$0.0022.5%6.4%14.5%0.0%0.0%2.4%-4.0%0000.00147.11N/AN/A0000
2021-12-16$45.10$0.0023.9%6.8%14.6%0.0%0.0%2.0%-3.1%0000.00147.70N/AN/A0000
2021-12-17$44.61$0.0028.8%8.3%14.9%0.0%0.0%6.6%-3.5%0000.00138.70N/AN/A0000
2021-12-20$43.79$0.0026.5%7.6%16.2%0.0%0.0%2.8%-4.7%0000.00146.81N/AN/A0000
2021-12-21$44.22$0.0026.1%7.5%15.9%0.0%0.0%2.1%-4.9%0000.00147.62N/AN/A0000
2021-12-22$44.52$0.0024.6%7.0%16.0%0.0%0.0%2.3%-4.5%0000.00147.71N/AN/A0000
2021-12-23$44.84$0.0024.2%6.9%16.2%0.0%0.0%1.9%-3.8%0000.00147.44N/AN/A0000
2021-12-27$45.09$0.0030.6%8.8%14.9%0.0%0.0%1.9%-5.8%0000.00155.02N/AN/A0000
2021-12-28$45.42$0.0027.0%7.7%15.1%0.0%0.0%2.1%-5.7%0000.00147.41N/AN/A0000
2021-12-29$45.63$0.0025.0%7.2%13.0%0.0%0.0%2.5%-4.5%0000.00148.24N/AN/A0000
2021-12-30$45.47$0.0027.6%7.9%13.0%0.0%0.0%2.7%-5.6%0000.00147.87N/AN/A0000
2021-12-31$45.50$0.0028.2%8.1%12.9%0.0%0.0%3.0%-5.9%0000.00147.35N/AN/A0000