DUG Options History — December 2019

In December 2019, DUG traded between $762.40 and $894.20. ATM implied volatility averaged 36.3%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.4% (HV 20d: 33.9%). Max pain ranged from $800.00 to $940.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2019-12-30: Highest Volume — 6 contracts
  • 2019-12-05: Largest IV drop — 19.3% change
  • 2019-12-03: Highest IV Rank — 18.8%
  • 2019-12-03: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$811.48$762.40$894.20$864.40$766.40
Max Pain$915.24$800.00$940.00$800.00$840.00
ATM IV36.3%30.9%45.3%40.7%37.0%
Expected Move10.5%8.8%13.0%11.7%10.6%
HV 20d33.9%30.6%38.4%38.4%32.3%
HV 60d40.3%37.0%43.1%42.1%37.0%
IV Rank7.6%0.9%18.8%13.1%8.6%
IV Percentile24.1%0.8%68.7%48.0%29.8%
Term Structure2.2%-4.7%7.8%-2.1%-0.3%
VWIV36.1%26.2%45.7%41.6%34.7%
Skew 25d-4.9%-8.9%-1.8%-5.2%-6.0%
Skew 10d-4.6%-13.4%26.4%-8.7%-9.2%
Call IV 25d39.6%34.3%49.9%43.7%40.7%
Put IV 25d34.7%30.6%43.2%38.5%34.8%
Bid-Ask Spread %82.6167.3795.8672.9380.92
Gamma HHI0.180.140.220.210.19
Net GEX-21.1K-27.7K-2.4K-26.2K-17.4K
Net DEX903.0K367.5K1.2M574.9K784.9K
Net VEX-4.4K-5.0K-3.8K-5.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.008.000.004.35
Total Volume1.190615
Total OI44.85739494339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$864.40$800.0040.7%11.7%38.4%13.1%41.6%-5.2%-2.1%-26.2K574.9K-5.0K0.0072.93N/AN/A101132
2019-12-03$894.20$800.0045.3%13.0%31.6%18.8%0.0%-7.4%-4.7%-25.2K367.5K-5.0K0.0076.36N/AN/A001132
2019-12-04$863.00$800.0041.3%11.8%34.4%13.8%45.7%-1.8%-1.7%-25.0K558.8K-5.0K0.1792.79N/AN/A001132
2019-12-05$872.00$940.0033.3%12.5%30.6%4.0%41.4%-3.6%-2.5%-27.7K467.7K-4.6K0.0085.03N/AN/A001232
2019-12-06$837.00$940.0037.7%10.5%32.7%9.4%36.5%-6.6%4.2%-24.8K755.1K-4.8K0.0072.93N/AN/A101232
2019-12-09$842.00$940.0040.3%10.7%32.8%12.6%0.0%-5.5%3.6%-22.3K713.6K-4.9K6.0067.37N/AN/A001232
2019-12-10$838.80$940.0039.6%10.9%32.5%11.7%37.9%-6.1%2.4%-22.1K727.0K-4.8K0.2371.12N/AN/A211232
2019-12-11$841.00$940.0037.5%10.7%32.1%9.1%0.0%-6.9%4.1%-16.2K650.0K-4.8K0.0073.45N/AN/A101433
2019-12-12$807.00$940.0036.0%10.3%35.2%7.2%36.5%-6.0%3.9%-22.2K945.4K-4.6K0.0276.68N/AN/A301433
2019-12-13$823.00$940.0034.9%10.0%35.9%6.0%31.1%-8.9%4.0%-14.6K859.2K-4.9K0.0092.44N/AN/A101533
2019-12-16$798.40$940.0033.3%9.5%37.3%3.9%36.0%-5.5%6.2%-22.3K1.0M-4.4K8.0077.99N/AN/A011533
2019-12-17$799.40$940.0033.9%9.7%36.0%4.7%34.3%-6.3%5.0%-21.8K1.1M-4.3K0.0085.84N/AN/A001533
2019-12-18$789.80$940.0030.9%8.8%34.7%0.9%26.2%-2.2%7.8%-21.2K1.2M-3.9K0.0095.86N/AN/A001533
2019-12-19$794.60$940.0034.9%10.0%34.6%6.0%34.3%-3.8%5.1%-22.0K1.1M-4.2K0.0087.49N/AN/A101533
2019-12-20$779.40$940.0033.9%9.7%33.7%4.7%32.8%-4.5%4.8%-2.4K1.2M-4.1K1.1891.90N/AN/A111633
2019-12-23$762.40$940.0032.7%9.4%34.2%3.2%0.0%-4.8%-1.8%-22.2K1.2M-3.9K0.0086.79N/AN/A001132
2019-12-24$763.60$940.0032.9%9.4%34.2%3.4%0.0%-3.4%3.3%-22.6K1.2M-3.9K0.0087.18N/AN/A001132
2019-12-26$762.60$940.0033.1%9.5%32.9%3.8%33.4%-2.8%1.5%-21.2K1.2M-3.8K0.0093.38N/AN/A001132
2019-12-27$767.00$940.0034.0%9.8%33.1%4.9%0.0%-2.4%3.0%-22.4K1.2M-3.8K0.0085.81N/AN/A001132
2019-12-30$775.00$940.0037.9%10.9%32.2%9.7%39.5%-4.3%0.1%-21.8K1.2M-3.8K4.3580.56N/AN/A151132
2019-12-31$766.40$840.0037.0%10.6%32.3%8.6%34.7%-6.0%-0.3%-17.4K784.9K-3.8K0.0080.92N/AN/A051227