DUG Options History — December 2008

In December 2008, DUG traded between $10016.00 and $15116.00. ATM implied volatility averaged 117.5%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 34.4%. IV traded below realized volatility by 62.4% (HV 20d: 179.9%). Max pain ranged from $10400.00 to $18000.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2008-12-04: Highest Volume — 19 contracts
2008-12-16: Largest IV drop — 12.6% change
2008-12-04: Highest IV Rank — 54.7%
2008-12-05: Largest Expected Move — 42.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12633.47	$10016.00	$15116.00	$14476.00	$10016.00
Max Pain	$15094.74	$10400.00	$18000.00	$16000.00	$10400.00
ATM IV	117.5%	81.2%	143.4%	137.6%	82.5%
Expected Move	34.4%	23.3%	42.5%	39.5%	23.6%
HV 20d	179.9%	130.3%	205.9%	205.0%	147.8%
HV 60d	211.9%	209.1%	214.0%	212.2%	212.5%
IV Rank	41.7%	23.6%	54.7%	51.8%	24.2%
IV Percentile	83.1%	73.4%	91.3%	90.1%	73.4%
Term Structure	2.7%	-16.2%	19.1%	9.2%	10.8%
VWIV	126.0%	81.8%	171.2%	137.7%	87.7%
Skew 25d	-32.4%	-57.9%	-4.7%	-31.3%	-20.1%
Skew 10d	-51.1%	-84.7%	-4.5%	-43.8%	-39.1%
Call IV 25d	143.7%	80.9%	189.2%	161.3%	95.0%
Put IV 25d	111.3%	74.9%	141.8%	130.1%	74.9%
Bid-Ask Spread %	30.53	13.64	52.89	26.33	38.04
Gamma HHI	0.09	0.04	0.38	0.05	0.16
Net GEX	98.1K	-95.8K	616.6K	50.0K	21.1K
Net DEX	9.6M	-10.1M	32.4M	-969.0K	-545.7K
Net VEX	-110.4K	-190.8K	-826	-177.0K	-6.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.15	1.58	0.15	0.25
Total Volume	11.105	3	19	15	4
Total OI	111.526	1	156	114	8

Daily Data (19 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
2008-12-01	$14476.00	$16000.00	137.6%	39.5%	205.0%	51.8%	137.7%	-31.3%	9.2%	50.0K	-969.0K	-177.0K	0.15	26.33	N/A	N/A	13	2	65	49
2008-12-02	$13464.00	$15600.00	133.2%	38.2%	205.9%	49.5%	134.7%	-30.7%	14.7%	119.2K	1.7M	-167.8K	0.88	36.63	N/A	N/A	8	7	72	49
2008-12-03	$13396.00	$15600.00	132.0%	37.8%	202.0%	49.0%	139.4%	-31.1%	13.7%	26.7K	6.5M	-168.1K	0.53	23.61	N/A	N/A	4	2	72	54
2008-12-04	$15116.00	$15600.00	143.4%	41.1%	204.7%	54.7%	142.5%	-5.9%	9.4%	101.5K	-10.1M	-190.8K	0.94	26.77	N/A	N/A	10	9	73	55
2008-12-05	$14580.00	$18000.00	137.5%	42.5%	201.2%	51.7%	157.7%	-55.2%	-14.8%	168.3K	-9.8M	-179.1K	0.20	13.64	N/A	N/A	16	3	74	50
2008-12-08	$13196.00	$17600.00	133.4%	41.8%	201.3%	49.6%	171.2%	-53.7%	-16.2%	101.3K	8.4M	-151.0K	0.22	15.14	N/A	N/A	7	2	80	51
2008-12-09	$13152.00	$17200.00	127.3%	39.9%	201.3%	46.6%	147.9%	-57.9%	-7.3%	111.0K	8.6M	-148.0K	1.58	18.16	N/A	N/A	4	6	82	51
2008-12-10	$11936.00	$17200.00	121.5%	37.9%	201.8%	43.7%	148.9%	-57.6%	-8.4%	-8.6K	25.2M	-106.3K	0.87	21.55	N/A	N/A	9	8	82	50
2008-12-11	$12060.00	$17200.00	125.4%	36.0%	194.6%	45.7%	135.6%	-42.1%	-0.3%	10.2K	21.3M	-115.1K	0.33	22.07	N/A	N/A	9	3	85	52
2008-12-12	$12204.00	$16800.00	134.8%	38.7%	174.2%	50.4%	137.2%	-51.8%	-9.8%	58.9K	19.7M	-115.3K	0.16	20.81	N/A	N/A	10	2	87	53
2008-12-15	$12300.00	$15600.00	131.1%	37.6%	171.6%	48.5%	133.8%	-39.1%	-9.4%	60.1K	20.2M	-108.7K	0.31	23.93	N/A	N/A	6	2	91	53
2008-12-16	$11400.00	$14800.00	114.5%	32.8%	172.1%	40.2%	125.4%	-42.5%	-0.4%	-67.4K	32.4M	-84.8K	0.28	33.94	N/A	N/A	9	3	94	54
2008-12-17	$11748.00	$14400.00	116.6%	33.4%	171.7%	41.3%	125.0%	-27.3%	-1.5%	-95.8K	30.3M	-89.9K	0.21	39.38	N/A	N/A	6	1	96	55
2008-12-18	$13172.00	$14400.00	110.0%	31.5%	172.4%	38.0%	110.8%	-21.6%	3.8%	318.9K	14.5M	-104.9K	0.50	31.99	N/A	N/A	10	5	98	56
2008-12-19	$13072.00	$14400.00	98.5%	28.2%	154.6%	32.3%	100.4%	-16.6%	12.3%	616.6K	20.1M	-90.5K	0.55	43.86	N/A	N/A	6	4	99	57
2008-12-22	$13868.00	$14000.00	90.5%	25.9%	130.3%	28.2%	90.2%	-8.6%	10.8%	252.7K	-3.9M	-88.6K	0.44	44.56	N/A	N/A	9	4	45	22
2008-12-29	$10688.00	$11200.00	81.2%	23.3%	152.6%	23.6%	81.8%	-4.7%	15.7%	-492	997	-826	0.28	52.89	N/A	N/A	2	1	1	0
2008-12-30	$10192.00	$10800.00	81.5%	23.4%	153.2%	23.8%	85.9%	-18.1%	19.1%	20.1K	-487.3K	-3.7K	0.62	46.69	N/A	N/A	3	2	3	1
2008-12-31	$10016.00	$10400.00	82.5%	23.6%	147.8%	24.2%	87.7%	-20.1%	10.8%	21.1K	-545.7K	-6.6K	0.25	38.04	N/A	N/A	3	1	5	3