DUG Options History — November 2020

In November 2020, DUG traded between $550.80 and $1159.40. ATM implied volatility averaged 77.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 47.4% (HV 20d: 125.2%). Max pain ranged from $700.00 to $1140.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2020-11-09: Highest Volume — 10 contracts
  • 2020-11-04: Largest IV drop — 19.8% change
  • 2020-11-02: Highest IV Rank — 26.6%
  • 2020-11-02: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$811.37$550.80$1159.40$1113.00$647.00
Max Pain$966.00$700.00$1140.00$1100.00$700.00
ATM IV77.8%66.9%106.7%106.7%80.1%
Expected Move22.0%19.2%30.6%30.6%23.0%
HV 20d125.2%66.7%151.5%73.1%151.5%
HV 60d91.1%63.6%107.1%65.3%107.1%
IV Rank16.5%12.6%26.6%26.6%17.3%
IV Percentile52.1%36.9%80.2%80.2%57.1%
Term Structure-0.1%-12.9%12.7%-12.9%12.7%
VWIV79.3%60.4%108.3%108.3%80.2%
Skew 25d-3.6%-13.2%16.4%-8.3%-7.1%
Skew 10d-17.0%-42.1%18.2%-13.0%-14.2%
Call IV 25d81.4%67.8%111.5%111.5%89.8%
Put IV 25d77.8%66.2%103.2%103.2%82.8%
Bid-Ask Spread %66.9836.7397.5459.5782.88
Gamma HHI0.140.080.280.170.11
Net GEX10.4K-3.6K35.9K14.5K9.8K
Net DEX-240.7K-1.2M271.0K-817.2K-51.4K
Net VEX-2.3K-3.9K-1.3K-3.9K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0015.830.200.36
Total Volume3.95110110
Total OI43.432593545

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$1113.00$1100.00106.7%30.6%73.1%26.6%108.3%-8.3%-12.9%14.5K-817.2K-3.9K0.2059.57N/AN/A102312
2020-11-03$1119.80$1100.0098.2%28.2%72.9%23.6%102.3%-3.4%-11.7%16.4K-849.3K-3.8K1.4665.83N/AN/A112312
2020-11-04$1111.80$1100.0078.8%22.6%72.6%16.8%86.8%16.4%-5.6%22.8K-834.8K-3.5K8.2080.01N/AN/A022312
2020-11-05$1116.00$1140.0075.7%21.0%66.7%15.7%0.0%-13.2%-1.2%25.2K-821.8K-3.2K0.7578.80N/AN/A102310
2020-11-06$1159.40$1140.0068.2%20.5%67.3%13.1%72.8%-3.5%2.4%35.9K-1.2M-3.3K15.8343.04N/AN/A05239
2020-11-09$828.20$1140.0076.7%19.2%138.5%16.1%68.4%-5.0%3.8%2.0K271.0K-1.6K0.2165.92N/AN/A82239
2020-11-10$808.40$1020.0082.8%20.4%137.7%18.2%0.0%-2.7%1.3%5.0K-130.2K-2.1K0.0042.61N/AN/A603211
2020-11-11$820.20$1020.0066.9%19.2%138.1%12.6%0.0%2.9%1.0%8.5K-217.9K-2.6K0.0040.12N/AN/A103811
2020-11-12$873.40$1020.0076.5%21.9%140.7%16.0%78.2%-7.5%2.0%12.5K-464.5K-3.1K4.7136.73N/AN/A023811
2020-11-13$796.40$1020.0070.6%20.2%142.5%13.9%73.1%-5.1%7.0%9.0K-210.3K-2.3K1.1359.99N/AN/A113810
2020-11-16$703.60$1020.0073.3%21.0%146.1%14.9%76.1%-1.9%-0.9%6.1K60.5K-1.6K0.0268.25N/AN/A1003810
2020-11-17$695.20$780.0071.5%20.5%146.2%14.3%0.0%-1.8%0.2%8.0K25.3K-1.8K0.0667.99N/AN/A714210
2020-11-18$713.40$780.0077.5%22.2%145.4%16.4%69.1%-3.3%-2.9%7.3K-2.0K-1.9K0.0097.54N/AN/A204711
2020-11-19$699.00$780.0069.6%19.9%143.7%13.6%79.7%-5.9%7.0%7.9K-50.3K-2.0K0.0081.49N/AN/A104711
2020-11-20$701.60$780.0073.0%20.9%143.5%14.8%60.4%-7.4%2.6%-3.6K-94.4K-2.2K0.0068.68N/AN/A204811
2020-11-23$613.80$1020.0074.9%21.5%144.5%15.4%74.3%-0.8%-1.4%4.2K162.3K-1.4K0.0579.49N/AN/A40287
2020-11-24$550.80$1020.0077.4%22.2%145.8%16.3%74.9%-10.2%-3.4%4.2K159.4K-1.3K0.3742.29N/AN/A31317
2020-11-25$569.80$940.0076.8%22.0%142.3%16.1%77.4%-5.5%2.0%4.7K154.6K-1.4K0.0096.29N/AN/A40338
2020-11-27$586.60$700.0080.8%23.2%144.3%17.5%87.7%2.2%-4.3%6.8K85.4K-1.7K0.0382.16N/AN/A20358
2020-11-30$647.00$700.0080.1%23.0%151.5%17.3%80.2%-7.1%12.7%9.8K-51.4K-2.2K0.3682.88N/AN/A73378