DUG Options History — January 2020

In January 2020, DUG traded between $745.20 and $966.20. ATM implied volatility averaged 36.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 11.2% (HV 20d: 25.4%). Max pain ranged from $680.00 to $840.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-01-23: Highest Volume — 15 contracts
  • 2020-01-31: Largest IV spike — 18.1% change
  • 2020-01-31: Highest IV Rank — 20.7%
  • 2020-01-31: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$819.12$745.20$966.20$756.20$966.20
Max Pain$706.67$680.00$840.00$840.00$680.00
ATM IV36.6%31.2%46.9%36.6%46.9%
Expected Move10.5%9.0%13.4%10.5%13.4%
HV 20d25.4%20.6%32.0%28.7%32.0%
HV 60d35.3%33.2%37.0%37.0%33.2%
IV Rank8.0%1.4%20.7%8.0%20.7%
IV Percentile30.9%1.6%84.9%27.0%84.9%
Term Structure1.7%-2.3%4.0%1.4%-2.3%
VWIV37.5%32.3%47.3%35.8%47.3%
Skew 25d-5.2%-9.1%-2.6%-3.3%-9.1%
Skew 10d-10.3%-19.1%-2.3%-7.9%-15.1%
Call IV 25d39.7%32.8%51.9%38.9%51.9%
Put IV 25d34.6%30.2%42.8%35.6%42.8%
Bid-Ask Spread %70.8655.1293.5993.5971.72
Gamma HHI0.180.100.250.220.10
Net GEX-8.4K-30.8K20.6K-19.6K17.2K
Net DEX238.1K-1.2M933.1K870.5K-1.2M
Net VEX-3.8K-5.1K-2.9K-3.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.004.620.000.36
Total Volume2.52401502
Total OI40.90526473947

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$756.20$840.0036.6%10.5%28.7%8.0%35.8%-3.3%1.4%-19.6K870.5K-3.7K0.0093.59N/AN/A001227
2020-01-03$757.20$840.0037.9%10.9%27.0%9.6%38.6%-4.0%-0.4%-18.2K863.4K-3.7K0.2185.97N/AN/A101227
2020-01-06$745.20$740.0037.6%10.7%26.4%9.2%0.0%-4.8%3.3%-22.4K933.1K-3.5K0.0058.72N/AN/A001327
2020-01-07$750.20$740.0038.4%10.9%23.8%10.2%36.1%-6.5%3.1%-21.7K892.9K-3.5K2.3055.12N/AN/A111327
2020-01-08$772.60$720.0035.9%10.6%26.6%7.2%0.0%-4.2%3.1%-21.7K831.5K-3.7K0.0061.84N/AN/A101328
2020-01-09$765.80$720.0033.9%10.1%26.6%4.7%0.0%-4.3%3.0%-23.0K870.5K-3.6K0.1970.25N/AN/A211428
2020-01-10$773.00$720.0033.2%10.3%27.0%3.8%35.8%-4.1%2.6%-21.7K830.5K-3.8K0.0762.06N/AN/A301429
2020-01-13$775.20$680.0036.4%9.9%23.2%7.7%33.0%-5.0%2.5%-25.6K775.4K-3.7K0.0059.84N/AN/A011429
2020-01-14$771.00$680.0035.3%9.6%21.8%6.4%32.3%-5.3%2.4%-30.8K809.6K-3.6K1.0072.63N/AN/A001429
2020-01-15$785.60$680.0032.3%9.3%20.6%2.7%0.0%-4.0%2.9%-20.7K709.8K-3.5K0.0074.44N/AN/A001429
2020-01-16$780.20$680.0031.2%9.0%20.7%1.4%0.0%-3.2%4.0%-23.5K752.2K-3.3K0.0089.35N/AN/A001429
2020-01-17$791.20$680.0032.1%9.2%21.0%2.4%0.0%-2.6%2.9%-18.7K677.7K-3.3K0.0085.57N/AN/A031429
2020-01-21$820.40$680.0033.6%9.6%24.5%4.3%34.7%-3.9%1.3%-11.3K146.8K-2.9K4.6273.43N/AN/A13719
2020-01-22$836.20$680.0034.1%9.8%24.0%5.0%34.9%-5.0%1.4%-7.3K64.2K-2.9K0.0073.48N/AN/A120819
2020-01-23$842.20$680.0034.4%9.8%22.0%5.2%35.8%-4.8%1.7%8.2K-262.9K-3.6K1.1770.75N/AN/A781419
2020-01-24$865.60$680.0037.1%10.6%23.3%8.6%37.2%-5.6%0.1%12.1K-416.7K-5.1K0.0068.99N/AN/A201826
2020-01-27$910.20$680.0043.0%12.3%27.9%16.0%42.4%-8.0%-0.5%13.8K-723.2K-4.7K0.2459.36N/AN/A211826
2020-01-28$901.00$680.0039.6%11.4%28.6%11.8%40.8%-6.5%0.7%18.0K-717.3K-4.9K0.1461.97N/AN/A001927
2020-01-29$922.00$680.0039.0%11.2%29.1%11.0%39.1%-6.8%0.5%19.4K-885.6K-4.5K0.0071.25N/AN/A001927
2020-01-30$914.40$680.0039.7%11.4%28.9%11.8%38.7%-7.5%1.5%20.6K-847.8K-4.6K0.2767.68N/AN/A102027
2020-01-31$966.20$680.0046.9%13.4%32.0%20.7%47.3%-9.1%-2.3%17.2K-1.2M-4.1K0.3671.72N/AN/A112027