DUG Options History — December 2020

In December 2020, DUG traded between $501.80 and $642.20. ATM implied volatility averaged 75.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 28.9% (HV 20d: 104.5%). Max pain ranged from $600.00 to $700.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.52.

Notable Days

  • 2020-12-21: Highest Volume — 14 contracts
  • 2020-12-10: Largest IV spike — 11.7% change
  • 2020-12-10: Highest IV Rank — 17.8%
  • 2020-12-21: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$560.06$501.80$642.20$642.20$574.60
Max Pain$664.55$600.00$700.00$700.00$600.00
ATM IV75.6%69.9%81.9%81.6%71.0%
Expected Move21.7%20.2%23.5%23.4%20.3%
HV 20d104.5%67.5%153.4%150.5%67.5%
HV 60d106.8%104.8%108.5%107.1%104.8%
IV Rank15.6%13.7%17.8%17.8%13.9%
IV Percentile45.6%30.6%59.9%59.9%32.1%
Term Structure-2.0%-16.8%6.6%-5.1%1.9%
VWIV76.3%61.9%85.0%71.0%73.6%
Skew 25d-5.3%-18.3%-1.2%-1.2%-2.1%
Skew 10d-10.3%-43.0%25.7%12.6%-7.5%
Call IV 25d80.4%73.5%86.7%81.3%74.7%
Put IV 25d75.1%61.1%82.6%80.0%72.6%
Bid-Ask Spread %83.3257.4097.9988.7988.93
Gamma HHI0.160.090.750.100.16
Net GEX812-58.2K9.6K9.6K3.1K
Net DEX135.6K-174.4K361.0K-57.0K-3.4K
Net VEX-2.5K-3.4K-1.5K-2.8K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.0042.500.090.87
Total Volume3.04501422
Total OI59.81851745557

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$642.20$700.0081.6%23.4%150.5%17.8%71.0%-1.2%-5.1%9.6K-57.0K-2.8K0.0988.79N/AN/A204411
2020-12-02$599.60$700.0076.9%22.0%150.6%16.1%79.6%-7.2%0.1%7.1K47.4K-2.6K0.1583.95N/AN/A104410
2020-12-03$596.80$700.0069.9%21.9%150.7%13.7%61.9%-2.1%-6.4%5.6K105.0K-2.3K0.6185.96N/AN/A214410
2020-12-04$531.00$700.0070.7%21.1%153.0%14.0%75.2%-18.3%-2.1%3.0K249.6K-1.9K0.1176.52N/AN/A204411
2020-12-07$555.20$700.0075.8%21.9%153.4%15.7%78.6%-3.2%-0.3%3.6K228.9K-1.9K0.2057.40N/AN/A104411
2020-12-08$535.80$700.0079.3%21.1%105.1%17.0%79.4%-6.9%-2.2%3.2K270.4K-1.7K4.0084.08N/AN/A124511
2020-12-09$534.80$700.0073.2%21.0%105.3%14.8%75.1%-3.6%-3.0%3361.0K-1.5K0.1997.99N/AN/A314514
2020-12-10$501.80$680.0081.7%23.4%105.5%17.8%81.3%-8.0%-1.9%1.8K359.3K-1.6K0.6496.49N/AN/A224714
2020-12-11$515.00$680.0079.8%22.9%102.2%17.2%72.1%-3.4%-4.0%2.8K359.1K-1.9K0.0088.38N/AN/A1304916
2020-12-14$547.00$680.0080.3%23.0%103.5%17.3%85.0%-5.1%-5.7%-2.2K302.5K-2.2K0.0163.50N/AN/A405116
2020-12-15$529.00$680.0072.4%20.8%96.0%14.6%82.0%-4.7%1.5%1.2K329.6K-2.3K0.0885.42N/AN/A305616
2020-12-16$532.20$680.0074.8%21.4%96.3%15.4%81.8%-7.1%6.6%1.2K283.5K-2.6K0.0091.68N/AN/A105616
2020-12-17$537.80$680.0076.0%21.8%95.6%15.8%78.1%-4.7%-16.8%1.9K316.1K-2.4K42.5087.80N/AN/A045716
2020-12-18$557.80$680.0077.6%22.3%97.3%16.3%78.3%-4.6%-2.4%-58.2K289.2K-2.7K0.0975.75N/AN/A205717
2020-12-21$572.40$680.0081.9%23.5%98.0%17.8%81.8%-6.2%-6.3%8.9K-174.4K-2.9K4.3383.23N/AN/A311438
2020-12-22$591.20$600.0080.4%23.0%87.4%17.2%80.5%-3.0%1.4%5.9K-133.9K-3.4K0.3577.61N/AN/A104412
2020-12-23$560.20$600.0073.6%21.1%80.5%14.8%73.8%-5.0%0.6%4.3K-14.0K-3.1K0.0086.69N/AN/A104412
2020-12-24$576.00$600.0073.7%21.1%80.2%14.9%73.1%-5.7%-0.6%4.5K-52.2K-3.1K0.0064.24N/AN/A004412
2020-12-28$579.40$600.0070.9%20.3%79.5%13.9%0.0%-3.0%0.5%3.8K-34.1K-3.0K0.1891.41N/AN/A104412
2020-12-29$584.40$600.0070.5%20.2%70.6%13.8%70.7%-7.0%0.5%3.8K-53.5K-3.0K0.0085.58N/AN/A104412
2020-12-30$567.20$680.0071.7%20.6%71.2%14.2%69.5%-3.5%-0.4%3.0K4.7K-2.9K1.0091.58N/AN/A004412
2020-12-31$574.60$600.0071.0%20.3%67.5%13.9%73.6%-2.1%1.9%3.1K-3.4K-2.9K0.8788.93N/AN/A114413