DUG Options History — December 2007

Name: DUG Options Analytics - December 2007
Creator: Options Analysis Suite

In December 2007, DUG traded between $14028.00 and $16964.00. ATM implied volatility averaged 52.7%. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 3.8% (HV 20d: 49.0%). Max pain ranged from $14000.00 to $16000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2007-12-17: Highest Volume — 2 contracts
2007-12-24: Largest IV drop — 30.7% change
2007-12-19: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15356.40	$14028.00	$16964.00	$16720.00	$14392.00
Max Pain	$15180.00	$14000.00	$16000.00	$16000.00	$14000.00
ATM IV	52.7%	35.3%	64.5%	58.0%	45.3%
Expected Move	15.6%	10.1%	18.5%	16.6%	13.0%
HV 20d	49.0%	41.2%	60.2%	60.0%	43.0%
Term Structure	2.4%	-10.2%	13.9%	2.6%	4.1%
VWIV	55.2%	40.3%	70.1%	61.0%	40.3%
Skew 25d	-3.0%	-16.7%	19.4%	-7.9%	10.9%
Skew 10d	-3.1%	-21.3%	27.6%	2.3%	27.6%
Call IV 25d	54.6%	31.9%	67.3%	57.2%	31.9%
Put IV 25d	51.6%	40.1%	71.6%	49.3%	42.9%
Bid-Ask Spread %	73.77	18.52	116.56	83.34	113.03
Gamma HHI	0.17	0.16	0.20	0.17	0.16
Net GEX	123.0K	57.4K	196.3K	153.4K	81.6K
Net DEX	-1.7M	-4.4M	504.1K	-4.0M	-530.2K
Net VEX	-13.0K	-16.9K	-8.9K	-16.9K	-9.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.00	2.98	0.24	0.09
Total Volume	0.2	0	2	0	0
Total OI	7.75	5	9	8	6

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-12-03	$16720.00	$16000.00	58.0%	16.6%	60.0%	0.0%	61.0%	-7.9%	2.6%	153.4K	-4.0M	-16.9K	0.24	83.34	N/A	N/A	0	0	6	2
2007-12-04	$16964.00	$16000.00	57.8%	16.6%	60.2%	0.0%	57.6%	1.7%	13.9%	169.8K	-4.4M	-16.9K	0.26	88.78	N/A	N/A	0	0	6	2
2007-12-05	$16372.00	$16000.00	56.0%	16.1%	58.9%	0.0%	59.0%	-8.9%	3.4%	157.7K	-3.5M	-16.6K	0.49	43.55	N/A	N/A	0	0	6	2
2007-12-06	$15536.00	$16000.00	54.1%	15.5%	59.0%	0.0%	48.0%	4.8%	1.9%	133.6K	-2.3M	-15.8K	0.47	71.53	N/A	N/A	0	0	6	2
2007-12-07	$15600.00	$14800.00	50.3%	15.6%	57.7%	0.0%	57.5%	-13.3%	7.9%	135.9K	-2.0M	-15.4K	0.13	18.52	N/A	N/A	0	0	6	2
2007-12-10	$15412.00	$15200.00	51.7%	17.9%	54.9%	0.0%	59.4%	5.5%	-2.5%	132.4K	-1.5M	-14.3K	0.91	64.16	N/A	N/A	0	0	6	2
2007-12-11	$15900.00	$15200.00	47.8%	16.1%	47.8%	0.0%	56.2%	-16.7%	11.0%	152.0K	-2.3M	-14.8K	0.01	65.02	N/A	N/A	1	0	6	2
2007-12-12	$15280.00	$15200.00	49.8%	17.7%	47.3%	0.0%	61.5%	-1.9%	-0.2%	137.4K	-1.5M	-14.3K	0.38	62.09	N/A	N/A	0	0	7	2
2007-12-13	$15200.00	$15200.00	61.8%	17.7%	47.1%	0.0%	61.7%	-6.3%	0.0%	131.7K	-1.2M	-13.8K	0.00	77.45	N/A	N/A	0	0	7	2
2007-12-14	$15548.00	$15200.00	56.0%	16.1%	45.5%	0.0%	55.3%	-12.6%	5.7%	139.7K	-1.6M	-14.1K	0.27	28.03	N/A	N/A	0	0	7	2
2007-12-17	$16236.00	$15200.00	61.1%	17.5%	48.5%	0.0%	54.3%	-6.7%	3.6%	196.3K	-2.9M	-14.1K	0.00	59.49	N/A	N/A	2	0	7	2
2007-12-18	$15820.00	$15200.00	59.1%	16.9%	48.4%	0.0%	61.0%	-9.2%	2.6%	182.4K	-2.3M	-12.9K	0.29	47.76	N/A	N/A	0	0	7	2
2007-12-19	$15720.00	$15200.00	64.5%	18.5%	44.2%	0.0%	62.2%	-3.0%	-2.6%	137.5K	-1.4M	-12.2K	0.06	72.46	N/A	N/A	0	0	7	2
2007-12-20	$15232.00	$15200.00	53.9%	15.5%	44.1%	0.0%	54.3%	-9.4%	6.4%	102.8K	-575.5K	-11.5K	0.06	91.40	N/A	N/A	0	0	7	2
2007-12-21	$14520.00	$15200.00	51.0%	14.6%	46.3%	0.0%	46.1%	-5.3%	13.6%	64.8K	504.1K	-9.8K	2.98	81.80	N/A	N/A	0	1	7	2
2007-12-24	$14364.00	$15200.00	35.3%	10.1%	42.2%	0.0%	49.9%	19.4%	-2.4%	58.9K	-774.5K	-9.9K	0.00	116.56	N/A	N/A	0	0	4	1
2007-12-26	$14028.00	$15200.00	45.9%	13.2%	41.2%	0.0%	70.1%	5.1%	-10.2%	57.4K	-608.5K	-9.3K	0.25	107.87	N/A	N/A	0	0	4	1
2007-12-27	$14244.00	$14400.00	47.5%	13.6%	42.0%	0.0%	48.9%	-8.4%	-7.6%	61.7K	-302.7K	-8.9K	0.07	86.59	N/A	N/A	0	0	4	1
2007-12-28	$14040.00	$14000.00	47.8%	13.7%	41.2%	0.0%	40.3%	1.5%	-2.5%	72.7K	-484.8K	-9.1K	0.57	96.02	N/A	N/A	0	0	5	1
2007-12-31	$14392.00	$14000.00	45.3%	13.0%	43.0%	0.0%	40.3%	10.9%	4.1%	81.6K	-530.2K	-9.0K	0.09	113.03	N/A	N/A	0	0	5	1