DJD Options History — January 2022

In January 2022, DJD traded between $44.62 and $46.60. ATM implied volatility averaged 32.0%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 19.9% (HV 20d: 12.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.25.

Notable Days

  • 2022-01-05: Highest Volume — 17 contracts
  • 2022-01-25: Largest IV spike — 30.9% change
  • 2022-01-26: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.79$44.62$46.60$45.53$45.26
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV32.0%22.3%51.2%27.6%34.4%
Expected Move8.5%6.1%14.7%7.9%9.8%
HV 20d12.1%9.9%13.0%12.9%12.2%
HV 60d12.4%12.1%12.8%12.3%12.6%
Term Structure-6.3%-13.3%-2.2%-6.7%-13.3%
VWIV26.3%24.5%28.2%28.2%24.5%
Skew 25d3.4%0.4%5.5%3.5%2.0%
Skew 10d6.0%-1.8%10.6%7.6%3.5%
Call IV 25d33.3%23.5%59.7%34.2%36.4%
Put IV 25d36.7%26.8%65.2%37.7%38.4%
Bid-Ask Spread %149.19138.54157.78148.19145.66
Gamma HHI0.650.291.001.000.30
Net GEX2.4K-4568.3K0-95
Net DEX-10.9K-32.1K7.3K01.1K
Net VEX-41-7100-41
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.000.001.00
Total Volume10.7501704
Total OI11.9502006

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$45.53$0.0027.6%7.9%12.9%0.0%0.0%3.5%-6.7%0000.00148.19N/AN/A0000
2022-01-04$46.33$0.0029.0%8.3%12.2%0.0%28.2%0.4%-10.7%0000.00144.15N/AN/A1000
2022-01-05$46.52$45.0025.8%7.4%12.1%0.0%24.5%1.8%-3.0%279-3.3K-30.13138.54N/AN/A15210
2022-01-06$46.28$0.0031.5%6.6%12.5%0.0%0.0%3.7%-4.0%6.2K-20.6K-580.00146.63N/AN/A150162
2022-01-07$46.60$0.0030.7%6.1%12.5%0.0%0.0%3.3%-2.6%4.4K-31.6K-670.07146.57N/AN/A151162
2022-01-10$46.28$0.0035.2%6.7%13.0%0.0%0.0%3.4%-3.3%6.7K-15.6K-580.07146.95N/AN/A151163
2022-01-11$46.47$0.0037.1%6.5%12.9%0.0%0.0%3.4%-2.2%4.1K-30.4K-710.07146.81N/AN/A151163
2022-01-12$46.46$0.0030.2%8.7%13.0%0.0%0.0%3.5%-4.9%2.8K-32.1K-680.07157.78N/AN/A151163
2022-01-13$46.58$0.0022.3%6.4%12.9%0.0%0.0%3.2%-3.4%4.1K-31.7K-660.07149.41N/AN/A151163
2022-01-14$46.37$0.0023.6%6.8%12.7%0.0%0.0%3.7%-3.4%8.3K-23.2K-590.07149.06N/AN/A151163
2022-01-18$46.04$0.0025.0%7.2%12.3%0.0%0.0%3.7%-4.2%4.0K-25.9K-470.13147.09N/AN/A152163
2022-01-19$45.96$0.0025.4%7.3%9.9%0.0%0.0%3.6%-4.0%3.9K-22.6K-500.13147.16N/AN/A152164
2022-01-20$45.50$0.0027.9%8.0%10.4%0.0%0.0%2.6%-5.5%3.9K-16.6K-440.13146.66N/AN/A152164
2022-01-21$44.97$0.0033.6%9.6%11.2%0.0%0.0%3.8%-7.6%1.2K4.8K-280.13154.06N/AN/A152164
2022-01-24$44.62$0.0030.7%8.8%11.3%0.0%0.0%3.9%-6.2%-4567.3K-280.00146.22N/AN/A0204
2022-01-25$45.18$0.0040.1%11.5%12.0%0.0%0.0%4.2%-10.0%-4397.0K-270.00157.12N/AN/A0204
2022-01-26$44.78$0.0051.2%14.7%12.1%0.0%0.0%5.5%-13.1%-3827.0K-300.00155.95N/AN/A0204
2022-01-27$45.03$0.0042.6%12.2%12.1%0.0%0.0%4.7%-10.3%-4096.9K-291.00155.76N/AN/A2204
2022-01-28$45.05$0.0036.0%10.3%12.1%0.0%0.0%3.6%-7.8%-1181.5K-401.00154.09N/AN/A2224
2022-01-31$45.26$0.0034.4%9.8%12.2%0.0%0.0%2.0%-13.3%-951.1K-411.00145.66N/AN/A2224