DUG Options History — October 2009

In October 2009, DUG traded between $4740.00 and $6224.00. ATM implied volatility averaged 51.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 4.8% (HV 20d: 46.6%). Max pain ranged from $5600.00 to $6400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.32.

Notable Days

2009-10-28: Highest Volume — 20 contracts
2009-10-14: Largest IV spike — 20.6% change
2009-10-30: Highest IV Rank — 17.5%
2009-10-30: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5251.27	$4740.00	$6224.00	$6136.00	$5440.00
Max Pain	$5963.64	$5600.00	$6400.00	$6400.00	$5600.00
ATM IV	51.4%	41.5%	63.5%	56.2%	63.5%
Expected Move	15.2%	13.0%	18.2%	16.1%	18.2%
HV 20d	46.6%	42.0%	55.5%	44.3%	55.5%
HV 60d	45.2%	43.0%	48.1%	45.5%	48.1%
IV Rank	5.8%	0.0%	17.5%	6.1%	17.5%
IV Percentile	10.6%	0.0%	40.1%	19.4%	40.1%
Term Structure	3.8%	0.8%	7.4%	1.9%	0.9%
VWIV	55.7%	48.6%	64.4%	54.6%	64.4%
Skew 25d	-10.3%	-15.0%	-5.8%	-14.5%	-9.3%
Skew 10d	-27.1%	-49.8%	-12.5%	-49.8%	-28.0%
Call IV 25d	60.3%	54.7%	68.5%	66.8%	68.5%
Put IV 25d	50.0%	40.3%	59.2%	52.3%	59.2%
Bid-Ask Spread %	16.00	5.61	25.04	5.61	16.84
Gamma HHI	0.23	0.17	0.31	0.31	0.19
Net GEX	347.6K	163.9K	606.3K	582.5K	498.9K
Net DEX	3.9M	-12.2M	16.5M	-9.7M	-9.7M
Net VEX	-77.2K	-122.8K	-49.8K	-122.8K	-88.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.07	0.64	0.59	0.07
Total Volume	11.455	5	20	16	15
Total OI	174.091	120	212	197	150

Daily Data (22 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
2009-10-01	$6136.00	$6400.00	56.2%	16.1%	44.3%	6.1%	54.6%	-14.5%	1.9%	582.5K	-9.7M	-122.8K	0.59	5.61	N/A	N/A	10	6	134	63
2009-10-02	$6224.00	$6400.00	57.9%	16.6%	44.8%	7.0%	61.8%	-10.5%	3.5%	606.3K	-12.2M	-122.5K	0.12	6.47	N/A	N/A	9	1	135	64
2009-10-05	$5956.00	$6000.00	55.3%	16.8%	45.7%	5.7%	59.1%	-9.6%	1.8%	524.6K	-3.3M	-109.4K	0.36	18.05	N/A	N/A	7	3	135	63
2009-10-06	$5700.00	$6000.00	52.6%	17.0%	44.3%	4.2%	60.3%	-7.2%	1.4%	421.4K	4.2M	-101.2K	0.26	19.63	N/A	N/A	14	4	137	65
2009-10-07	$5636.00	$6000.00	49.7%	16.0%	44.4%	2.7%	58.3%	-7.2%	4.3%	439.4K	4.8M	-99.3K	0.10	25.04	N/A	N/A	9	1	140	64
2009-10-08	$5368.00	$6000.00	50.6%	15.5%	46.1%	3.2%	58.2%	-10.6%	5.3%	314.1K	10.6M	-88.0K	0.41	11.93	N/A	N/A	11	5	143	65
2009-10-09	$5356.00	$6000.00	41.5%	15.2%	46.2%	0.0%	58.1%	-9.8%	7.4%	368.5K	10.5M	-86.7K	0.25	13.98	N/A	N/A	7	2	147	65
2009-10-12	$5212.00	$6000.00	46.9%	15.2%	46.8%	2.8%	55.7%	-10.7%	3.6%	302.1K	13.3M	-74.8K	0.64	14.35	N/A	N/A	6	4	147	64
2009-10-13	$5224.00	$6000.00	47.8%	15.0%	46.6%	3.2%	54.1%	-9.0%	5.1%	309.7K	13.2M	-73.0K	0.57	21.01	N/A	N/A	4	2	147	64
2009-10-14	$5032.00	$6000.00	57.6%	15.2%	45.9%	8.3%	56.0%	-9.3%	3.8%	240.4K	15.2M	-63.5K	0.56	13.97	N/A	N/A	8	5	148	61
2009-10-15	$4828.00	$6000.00	51.4%	14.7%	47.3%	5.1%	56.3%	-15.0%	0.8%	193.7K	16.5M	-53.2K	0.47	19.94	N/A	N/A	8	4	147	60
2009-10-16	$4844.00	$6000.00	48.7%	14.0%	47.3%	4.1%	54.1%	-12.3%	5.0%	287.0K	14.9M	-59.4K	0.52	14.18	N/A	N/A	6	3	150	60
2009-10-19	$4740.00	$6000.00	49.6%	14.2%	46.8%	4.6%	53.5%	-13.1%	4.6%	163.9K	5.7M	-50.0K	0.44	14.98	N/A	N/A	8	3	86	34
2009-10-20	$4796.00	$6000.00	47.6%	13.6%	46.7%	3.4%	51.4%	-7.7%	5.3%	204.8K	4.2M	-57.2K	0.22	16.64	N/A	N/A	8	2	89	36
2009-10-21	$4840.00	$6000.00	48.1%	13.8%	44.2%	5.1%	52.8%	-13.6%	5.7%	209.8K	5.5M	-49.8K	0.28	18.47	N/A	N/A	8	2	92	37
2009-10-22	$4752.00	$6000.00	46.6%	13.3%	42.0%	3.9%	48.6%	-14.9%	4.5%	210.6K	5.2M	-53.4K	0.26	16.11	N/A	N/A	4	1	95	38
2009-10-23	$4944.00	$6000.00	45.3%	13.0%	45.6%	2.9%	50.1%	-10.9%	5.7%	278.7K	2.5M	-62.1K	0.22	18.55	N/A	N/A	8	2	96	38
2009-10-26	$5096.00	$6000.00	53.3%	15.3%	46.8%	9.4%	53.5%	-7.4%	1.3%	324.5K	-270.3K	-67.0K	0.21	17.86	N/A	N/A	14	3	97	39
2009-10-27	$5012.00	$5600.00	52.7%	15.1%	46.8%	8.8%	53.8%	-8.3%	4.9%	339.0K	139.1K	-66.0K	0.13	16.73	N/A	N/A	6	1	102	40
2009-10-28	$5312.00	$5600.00	54.2%	15.5%	51.9%	10.1%	55.3%	-5.8%	4.3%	441.4K	-5.6M	-77.2K	0.11	13.08	N/A	N/A	18	2	104	40
2009-10-29	$5080.00	$5600.00	53.5%	15.3%	48.6%	9.5%	56.3%	-10.0%	3.3%	385.3K	-1.1M	-72.1K	0.25	18.61	N/A	N/A	6	2	108	41
2009-10-30	$5440.00	$5600.00	63.5%	18.2%	55.5%	17.5%	64.4%	-9.3%	0.9%	498.9K	-9.7M	-88.8K	0.07	16.84	N/A	N/A	14	1	109	41