DUG Options History — February 2009

In February 2009, DUG traded between $8800.00 and $12540.00. ATM implied volatility averaged 87.9%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 2.9% (HV 20d: 85.0%). Max pain ranged from $9600.00 to $11200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2009-02-20: Highest Volume — 23 contracts
2009-02-17: Largest IV spike — 11.6% change
2009-02-23: Highest IV Rank — 33.0%
2009-02-23: Largest Expected Move — 28.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10473.68	$8800.00	$12540.00	$10088.00	$12200.00
Max Pain	$10168.42	$9600.00	$11200.00	$10400.00	$11200.00
ATM IV	87.9%	70.2%	100.1%	92.5%	89.1%
Expected Move	25.8%	21.9%	28.7%	26.5%	25.5%
HV 20d	85.0%	71.7%	93.6%	92.0%	79.6%
HV 60d	136.9%	113.4%	149.6%	149.5%	114.0%
IV Rank	26.9%	18.1%	33.0%	29.2%	27.5%
IV Percentile	69.2%	52.4%	76.2%	74.2%	68.3%
Term Structure	1.9%	-3.1%	10.3%	4.3%	3.3%
VWIV	90.5%	80.2%	98.6%	93.7%	88.2%
Skew 25d	-9.8%	-16.9%	7.0%	-12.3%	-9.8%
Skew 10d	-14.9%	-33.9%	11.1%	-18.0%	-22.1%
Call IV 25d	95.7%	86.4%	103.5%	99.0%	96.4%
Put IV 25d	85.9%	70.5%	103.2%	86.7%	86.6%
Bid-Ask Spread %	34.34	16.00	52.56	46.92	22.92
Gamma HHI	0.11	0.07	0.17	0.07	0.12
Net GEX	175.5K	23.1K	329.4K	87.9K	267.7K
Net DEX	-10.8M	-31.4M	7.2M	-3.7M	-28.4M
Net VEX	-66.3K	-94.3K	-53.1K	-66.7K	-94.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.11	1.17	0.22	0.57
Total Volume	7.789	3	23	5	3
Total OI	74.105	47	87	68	75

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
2009-02-02	$10088.00	$10400.00	92.5%	26.5%	92.0%	29.2%	93.7%	-12.3%	4.3%	87.9K	-3.7M	-66.7K	0.22	46.92	N/A	N/A	4	1	38	30
2009-02-03	$9768.00	$10400.00	84.9%	24.3%	91.9%	25.5%	88.2%	-15.4%	4.3%	94.0K	-1.3M	-63.8K	0.11	29.68	N/A	N/A	6	1	39	30
2009-02-04	$9656.00	$10400.00	78.4%	22.5%	91.9%	22.2%	80.2%	-13.1%	10.3%	96.1K	-2.6M	-67.5K	0.25	24.31	N/A	N/A	4	1	43	30
2009-02-05	$9160.00	$10400.00	76.2%	21.9%	90.3%	21.1%	83.9%	-16.9%	8.9%	83.4K	1.2M	-63.0K	0.22	52.56	N/A	N/A	4	1	45	30
2009-02-06	$8824.00	$9600.00	70.2%	24.1%	90.6%	18.1%	85.6%	-13.3%	3.3%	23.1K	7.2M	-53.1K	0.28	16.00	N/A	N/A	4	1	46	31
2009-02-09	$8800.00	$9600.00	77.8%	24.3%	87.2%	21.9%	85.1%	-10.9%	1.5%	55.6K	5.5M	-54.5K	0.34	26.23	N/A	N/A	2	1	46	31
2009-02-10	$9528.00	$9600.00	83.7%	27.6%	89.2%	24.8%	98.6%	-10.5%	-2.5%	113.2K	-1.8M	-63.1K	0.12	42.24	N/A	N/A	9	1	46	32
2009-02-11	$9808.00	$9600.00	82.6%	26.0%	88.7%	24.3%	90.6%	-2.9%	2.7%	199.5K	-6.7M	-67.3K	0.26	40.42	N/A	N/A	8	2	50	32
2009-02-12	$9792.00	$9600.00	89.7%	25.7%	83.9%	27.9%	89.1%	-10.5%	-3.1%	173.3K	-5.6M	-65.6K	0.30	38.36	N/A	N/A	6	2	49	32
2009-02-13	$9800.00	$9600.00	85.0%	24.4%	83.6%	25.5%	85.5%	-10.8%	-1.6%	151.6K	-3.8M	-60.2K	0.20	25.51	N/A	N/A	2	1	49	32
2009-02-17	$11032.00	$9600.00	94.8%	27.2%	93.6%	30.4%	93.8%	-4.2%	-1.6%	272.6K	-20.3M	-58.9K	0.66	43.55	N/A	N/A	5	3	50	32
2009-02-18	$11124.00	$9600.00	95.4%	27.4%	87.3%	30.7%	94.7%	-5.1%	0.7%	329.4K	-22.7M	-58.5K	0.51	20.69	N/A	N/A	3	1	51	33
2009-02-19	$10968.00	$9600.00	91.3%	26.2%	72.4%	28.7%	90.7%	-7.4%	2.7%	294.0K	-20.5M	-57.1K	0.38	45.74	N/A	N/A	3	1	52	34
2009-02-20	$11476.00	$9600.00	97.7%	28.0%	71.7%	31.8%	96.8%	-12.6%	-2.5%	263.7K	-31.4M	-55.3K	0.51	44.00	N/A	N/A	15	8	53	34
2009-02-23	$12540.00	$10800.00	100.1%	28.7%	74.6%	33.0%	98.1%	7.0%	4.6%	149.3K	-19.0M	-66.7K	0.44	47.94	N/A	N/A	7	3	30	17
2009-02-24	$11368.00	$11200.00	94.3%	27.0%	82.7%	30.2%	95.6%	-10.0%	-1.4%	190.6K	-14.1M	-75.4K	0.53	18.66	N/A	N/A	7	4	35	20
2009-02-25	$11528.00	$11200.00	96.1%	27.5%	82.7%	31.0%	92.2%	-14.4%	-0.4%	207.5K	-15.9M	-80.9K	0.28	47.15	N/A	N/A	10	3	39	22
2009-02-26	$11540.00	$11200.00	89.8%	25.8%	80.2%	27.9%	87.9%	-13.9%	2.0%	281.9K	-21.9M	-88.7K	1.17	19.54	N/A	N/A	5	6	46	24
2009-02-27	$12200.00	$11200.00	89.1%	25.5%	79.6%	27.5%	88.2%	-9.8%	3.3%	267.7K	-28.4M	-94.3K	0.57	22.92	N/A	N/A	2	1	48	27